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Description: |
Empirical properties systematically observed in time series of a certain field play an important part in scrutinizing models, as models proposed for them should be able to reproduce these, so called, stylized facts. The Taylor effect is a stylized fact regarding the autocorrelation structures of transformations of a time series and has been detected in data originating from such different areas as finance, where it is well-established, or physics, a more recent discovery. In this talk we focus on its theoretical counterpart known as Taylor property, revisiting the subject of a past CMUC seminar. We present the progress obtained since regarding the models examined within the class of the conditionally heteroscedastic and the current knowledge about the region of model parameterisations satisfying this property.
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Date: |
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| Start Time: |
11:30 |
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Speaker: |
Joana Leite (CMUC and Instituto Politécnico de Coimbra, ISCAC)
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Institution: |
CMUC and Instituto Politécnico de Coimbra, ISCAC
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Place: |
Sala 5.5
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| Research Groups: |
-Probability and Statistics
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See more:
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