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Prof Petros Dellaportas, Athens University
Wednesday 27 October 2010, 14:15-15:15
Improving ARMA-GARCH Forecasting
- đ¤ Speaker: Prof Petros Dellaportas, Athens University
- đ Date & Time: Wednesday 27 October 2010, 14:15 - 15:15
- đ Venue: LR5, Engineering, Department of
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Rachel Fogg
Abstract
We exploit the partial exchangeability structure of the parameters of many ARMA -GARCH models to borrow strength for univariate forecasting. We adopt a challenging reversible jump MCMC scheme and we test our forecasts via a S&P100 dataset.
Series This talk is part of the Probabilistic Systems, Information, and Inference Group Seminars series.
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