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Finance Research Seminars supported by Unigestion

The Swiss Finance Institute at EPFL and the University of Lausanne organize joint research seminars in finance. The seminars attract speakers from academic institutions around the world and cover a variety of topics of interest to both academics and research-oriented professionals.

Unigestion, an independent asset manager, is pleased to support this series of seminars. By encouraging academic research, the firm's aim is to foster innovation in the financial industry.

Information on the seminars is sent regularly via our mailing-list. Do not hesitate subscribe to our mailing-list if you would like to be informed about future seminars.

The seminars usually take place on Fridays from 10:30 am to 12:00 pm in room 126 at Extranef on the campus of the University of Lausanne. Please visit planete.unil.ch/plan for directions

 

How Crashes Develop: Intradaily Volatility and Crash Evolution

David BATES (University of Iowa, Henry B. Tippie College of Business)

June 2, 2017  -  10:30-12:00, room Extranef 126

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983-2008 can capture major daily outliers such as the 1987 stock market crash.  I find that intradaily jumps in futures prices are typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better.  Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out-of-sample over 2009-16.  The models capture reasonably well the conditional distributions of daily returns and of realized variance outliers, but underpredict realized variance inliers.

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