SMS scnews item created by Uri Keich at Thu 25 Feb 2010 1843
Type: Seminar
Distribution: World
Expiry: 5 Mar 2010
Calendar1: 5 Mar 2010 1400-1500
CalLoc1: Carslaw 173
Auth: uri@purix (assumed)

Statistics Seminar: Thomas Fung -- Modelling and Estimation for Bivariate Financial Returns

Thomas Fung Department of Statistics Macquarie University 

Location: Carslaw 173 

Time: 2pm Friday, March 5, 2010 

Title: Modelling and Estimation for Bivariate Financial Returns 

Abstract: Maximum likelihood estimates are obtained for long data sets of bivariate
financial returns using mixing representation of the bivariate (skew) Variance Gamma and
(skew) t distributions.  By analysing simulated and real data, issues such as asymptotic
lower tail dependence and competitiveness of the two models are illustrated.  A brief
review of the properties of the models is also included.

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