Modeling and forecasting financial-market volatility
Basic data for this project
Type of project: Own resources project
Duration at the University of Münster: since 01/01/2020
Description
In all types of financial markets (stocks, currencies, commodities, energy), volatility is a key variable (i) for the valuation of contingent claims, and (ii) for measuring the effectiveness and credibility of policy shifts anticipated by market participants (e.g. announced regulatory interventions). In this project, we (i) design new (probabilistic) volatility models for (univariate and high-dimensional) financial-market time series, (ii) establish the associated estimation frameworks and forecasting tools, and (iii) apply our procedures to real-world financial data.
Keywords: Econometrics; time series analysis; stochastic volatility; conditional heteroscedasticity
Project management at the University of Münster
| Trede, Mark | Professur für VWL, Ökonometrie/Wirtschaftsstatistik (Prof. Trede) |
| Wilfling, Bernd | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) |
Research associates from the University of Münster
| Schulte genannt Tillmann, Björn | Chair of Empirical Economics |
| Segnon, Mawuli Kouami | Chair of Empirical Economics |