Научный семинар департамента прикладной экономики - Д.И.Малахов. "The Good, the Bad, and the Asymmetric: Evidence from a New Conditional Density Model"

Уважаемые коллеги,
очередной семинар департамента прикладной экономики состоится 27 мая, в 13:00, в дистанционном формате на платформе Zoom. Ссылка для подключения -  https://zoom.us/j/93444706426
Пароль доступа будет разослан в анонсе мероприятия через корпоративную сеть НИУ ВШЭ. При необходимости его получения – обращаться к Шевелеву М.Б., mshevelev@hse.ru

В рамках семинара выступит Дмитрий Игоревич МАЛАХОВ, старший преподаватель нашего департамента.  Тема доклада  - "The Good, the Bad, and the Asymmetric: Evidence from a New Conditional Density Model"

Рабочий язык семинара - английский.

Аннотация:
"We propose a novel univariate conditional density model and decompose asset returns into a sum of copula-connected unobserved ‘good’ and ‘bad’ shocks. The novelty of this approach comes from two factors: we explicitly model correlation between unobserved shocks and allow for the presence of copula-connected discrete jumps. The proposed framework is very flexible and subsumes other models, such as ‘bad environments, good environments’. Our model shows certain hidden characteristics of returns, explains investors’ behaviour in greater detail, and yields better forecasts of risk measures. A Monte-Carlo simulation shows that the proposed model recovers the structural parameters of the unobserved dynamics. We estimate the model on S&P 500 data and find that the independence assumption for unobserved shocks does not hold. Time-dependent covariance with a leverage-like effect is an important component of total variance. The in-sample and out-of-sample performance of our model is better than that of 40 popular GARCH variants. We show that asymmetry should be considered for modelling market returns and conclude that continuous shocks are more important than discrete jumps."