- Read the technical requirements and the general information that you will find in the virtual guidelines section carefully before entering the virtual room. Accessing this conference implies accepting the conditions.
- Log in to the registration tool and keep your session open. Only registered participants with a session open in the same browser will be able to access the virtual tutorials. Get the daily password there.
- Log in to Zoom (alternatively, you can join Zoom from your browser) and make sure you have the same first name and family name as for the conference so that the conference staff can identify you. You can rename yourself if needed. Otherwise, you will be required to identify yourself using the chat, and if you fail to do that, you will be removed from the tutorial.
- Click on the the tutorial title below, and once you are redirected to Zoom, type the Zoom password that you can find on the registration tool.
Prof. Yasuhiro Omori, Faculty of Economics, University of Tokyo, Japan.
Email: Contact
Description:
In financial markets, It is well-known that financial time series often exhibit a behaviour called volatility clustering, and that the volatility of the asset return changes randomly with high persistence. The stochastic volatility model describes such dynamic structures of the unobserved logarithm of the volatilities. In this tutorial, the recent developments in the stochastic volatility models for the asset returns such as returns of stocks, foreign currencies and interest rates are introduced. We first introduce the basic stochastic volatility model, and shall extend it to various volatility models. Noting that the realized volatility computed from the high frequency data has been used recently to estimate the true volatility, we also discuss the joint modelling of the asset return and the realized volatility, called the realized stochastic volatility. The computer codes such as R codes will be used to analyze dataset and to demonstrate the Markov chain Monte Carlo estimation method.
Detailed to access will be provided in due course.
| 15:00 - 17:00 | Session I |
| 17:00 - 17:30 | Break |
| 17:30 - 19:30 | Session II |