Topics in time varying coefficient models


George Kapetanios
George Kapetanios
  • Speaker
Queen Mary College, University of London

Event Information

Type
Research Seminar
Programme
None
Date
Thu. 7 Dec. 2017
Contact
Anneke Kop
Time
12:00-13:00
Location
H10-31


Abstract

This presentation discusses recent work on time varying coefficient models. The first parts discusses a test to distinguish between stationary and persistent volatility models. We find significant empirical evidence in favour of persistent volatility and against standard volatility models such as GARCH. The second part discusses a new method for estimating time varying models based on the  principles underlying the Hodrick Prescott filter. 

Andreas Pick
Associate Professor of Econometrics
  • Coordinator
Wendun Wang
Wendun Wang
  • Coordinator