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GARCH, Markov Switch GARCH, HYGARCH, Asymmetry and Smooth Transition
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报告主题:
     GARCH, Markov Switch GARCH, HYGARCH, Asymmetry and Smooth Transition
     报告人:Saeid Rezakhah,副教授,阿米尔卡比尔理工大学(德黑兰)
     照片:

邀请人:董从造  副教授
     报告时间:2019年04月03日(周三)下午14:30-16:00
     报告地点:信远楼II205数统院会议室
     报告人简介:
     Saeid Rezakhah 是伊朗德黑兰阿米尔卡比尔理工大学副教授(stage 32),博士生导师,1996年取得英国伦敦大学玛丽皇后和韦斯特菲尔德学院(Queen Mary and Westfield College, University of London)概率统计博士学位,先后在美国密歇根州立大学和英国伦敦大学做访问教授。Saeid Rezakhah教授研究兴趣包括Selfsimilar Process; Hidden Markov Mixture models, Periodically Correlated Processes, Stable distributions, Random Polynomials; Time-Series Analysis; Stable Process和 Information Theory等等,目前在国际学术期刊发表sci检索论文30余篇。
     报告摘要:
     In this talk a short description of ARCH, GARCH and Markov Switch GARCH processes are presented. Then based on our recent published papers we introduce previleges of the assumption of smooth transition between the effects of positive and negative shocks as the asymmetry property of these effects. We also study the Smooth transition HYGARCH and Markov Switch HYGARCH models which combines long memory and short memory effects. In both cases estimation of the parameters, their properties and forecasting based on these models are studied and some real data sets are used to show the efficiency of our models.

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