**14/10/09 - 15:30h** Ciclo de Palestras Pós Graduação em Estatística UFRJ

["Alexandra M. Schmidt" <alex@im.ufrj.br>]

Caros, 

Dando continuidade ao Ciclo de Palestras do Programa de Pós-Graduação em
Estatística do IM-UFRJ, nesta 4a feira, 14/10/09, as 15:30h, teremos a 
palestra do

Professor Carlos A. Abanto-Valle  (UFRJ)
Título:   Bayesian analysis of heavy-tailed stochastic volatility in mean
model using scale mixtures of normal distributions

O resumo segue abaixo. 

Contamos com a presenca de voces.

Acompanhem a atualizacao do programa do nosso ciclo de palestras  no sitio
www.dme.ufrj.br opcao Atividades subopcao Ciclo de Palestras.

Atenciosamente,

Alexandra

Ps.: Desculpem-me pela eventual duplicação da postagem desta mensagem.


Título:   Bayesian analysis of heavy-tailed stochastic volatility in mean
model using scale mixtures of normal distributions

Resumo
The stochastic volatility in mean (SVM) model using the class of symmetric
scale mixtures of normal (SMN) distributions is introduced. The SMN
distributions provide a robust alternative in the absence of normality.
Specific distributions examined include the normal, Student-t, slash, variance
gamma and contaminated normal. Using a Bayesian viewpoint, an efficient method
based on Markov chain Monte Carlo (MCMC) is developed for parameter
estimation. The methods developed are applied to analyze daily stock returns
data on São Paulo Stock, Mercantile & Futures Exchange index (IBOVESPA).
Bayesian model selection criteria as well as out-of- sample forecasting
results reveal that the SVM model with Slash distribution provides significant
improvement in model fit as well as prediction to the IBOVESPA data over the
usual normal model. This is joint work with Helio Migon and Victor Lachos.