Joint research unit 7235

Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling

Nadia Boussaha, Faycal Hamdi, Saïd Souam

The contribution of this paper is twofold. In a first step, we propose the so called Periodic Multivariate Autoregressive Stochastic Volatility (PV ARSV) model, that allows the Granger causality in volatility in order to capture periodicity in stochastic conditional variance. After a thorough discussion, we provide some probabilistic properties of this class of models. We thus propose two methods for the estimation problem, one based on the periodic Kalman filter and the other on the particle filter and smoother with Expectation-Maximization (EM) algorithm. In a second step, we propose an empirical application by modeling oil price and three exchange rates time series. It turns out that our modeling gives very accurate results and has a well volatility forecasting performance.

AGENDA

Tuesday 7 February 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tristan Velardo (Sciences Po Bordeaux, Centre Emile Durkheim)

Report à une date ultérieure qui sera communiquée dès que possible

From the primitive mentality to the civilization of capitalism: Schumpeter, reader of Lévy-Bruh

Tuesday 7 February 2023

Flood Risk Information: Evidence from Paris Housing Markets

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Tuesday 7 February 2023

Développement Durable Environnement et Energie (DDEE)

Emmanuelle Lavaine (CEE-M - University of Montpellier)

Flood Risk Information: Evidence from Paris Housing Markets

Thursday 9 February 2023

Gender, competitiveness, and reaction to defeat

Claire Mollier

Gender, competitiveness, and reaction to defeat

Thursday 9 February 2023

Doctorants

Claire Mollier

Gender, competitiveness, and reaction to defeat

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

Friday 10 February 2023

Colloques et Workshops

Digital Economics Workshop

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