ECONOMETRICS RESEARCH SEMINAR	INVITATION
R E M I N D E R The Department of Economics and Finance at the Institute for Advanced Studies cordially invites you to the following Econometrics Research Seminar Thursday, October 8, 2015 Attention – New Address Institute for Advanced Studies Josefstädter Strasse 39, 1080 Vienna Lecture Room E02, ground floor 9:00 am (Please note that the seminar will start at 9 am sharp!) Hwai-Chung Ho Academia Sinica and National Taiwan University Value at Risk for Integrated Returns Abstract: This study investigates the distribution quantile for integrated portfolio returns that follow a general class of multivariate stochastic volatility model. We propose a non-parametric quantile estimate for the non-stationary sequence that incorporates the rate with which the true quantile diverges as the integration horizon expands. The asymptotic normality established for the estimate enables us to construct the confidence interval for the true quantile. Monte Carlo experiments are conducted to demonstrate both the consistency and the advantages of our approach. Results on quantile estimates for the return distribution of the S&P 500 index are also presented. Paper jointly with Hung-Yin Chen and Henghsiu Tsai We are looking forward to seeing you! Institute for Advanced Studies Department of Economics and Finance Josefstädter Straße 39, 1080 Vienna, Austria Tel.: +43 1 599 91 145 e-Mail: economics@ihs.ac.at http://economics.ihs.ac.at		LINKS DIRECTIONS TO IHS on Google maps ECONOMICS SEMINARS IN VIENNA on Google calendar IHS Department of Economics and Finance Dept of Economics and Finance @IHS_Eco_Fin Institute for Advanced Studies @IHS_Vienna
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