Lighthouse Lecture Series: Forecasting Realised Volatility

Date:
16 July 2018

Time:
12:00 pm - 2:00 pm

Location
Macquarie University City Campus, Level 24, 123 Pitt Street


Risk forecasting is of central importance to risk management and portfolio allocation. The long memory feature of realised volatility provides a significant challenge to risk forecasting.

Professor Sebastien Laurent will explore the source of long memory in a theoretical model and provide a simple yet effective econometric method for volatility forecasting.

Sebastien Laurent is a Professor of Financial Econometrics at the Aix Marseille University and a fellow at GREQAM. Professor Laurent is a world-leading financial econometrician. He is also the developer of G@RCH, a software used by many institutions (eg European Central Bank, Federal Reserve of Washington, ASEAN+3 Macroeconomic Research Office) for estimating and forecasting risk.

He has published over 50 articles in top-tier academic journals and has co-edited a handbook on volatility models (published by Wiley). He is an Associate Editor of the Journal of Business and Economic Statistics, International Journal of Forecasting, and Journal of Time Series Analysis, and also a member of the board of directors of Annals of Economics and Statistics.

When: 16 July 2018, 12pm – 2pm
Where: Macquarie University City Campus, Level 24, 123 Pitt Street, Sydney
RSVP: Please register by the 11 July to secure your place.

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Event contact

Kevin Newport

(02) 9850 4833