[CvGmt News] avviso NO FREE LUNCH SEMINAR seminari di finanza quantitativa prof. Roberto Renò (20.03.2015)

[Valeria Giuliani]

NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


Venerdì 20 marzo 2015

ore 13.00

*Scuola Normale Superiore*

Pisa

Aula Bianchi (Scienze)



*Roberto Renò*

*Dipartimento di Economia Politica e Statistica, Università di Siena*



Terrà un seminario dal titolo:



*“**Multi-jumps**”*



*Abstract:*

*The simultaneous occurrence of jumps in several stocks (multi-jumps) can
be associated to major nancial news, is correlated with sudden spikes of
the variance risk premium, and determines an increase in the stock
variances and correlations which signicantly deteriorates the diversication
potential of asset allocation. The latter evidence implies a reduction in
the demand of stocks by an aware risk-averse investor. These facts can be
easily overlooked by the usage of standard univariate jump statistics,
which just lack sucient power. They are instead revealed in a clearly cut
way by using a novel test based on smoothed estimators of the integrated
variance ofindividual stocks.*



*Joint work with Massimiliano Caporin and Aleksey Kolokolov.*





Tutti gli interessati sono invitati a partecipare.





Classe di Scienze Matematiche e Naturali


Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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