<div dir="ltr"><table class="gmail-x_MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="540" style="font-variant-numeric:inherit;font-variant-east-asian:inherit;font-stretch:inherit;font-size:15px;line-height:inherit;color:rgb(32,31,30);width:405pt"><tbody><tr style="height:114.1pt"><td style="padding:0cm;height:114.1pt"><table class="gmail-x_MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="430" style="font:inherit;width:322.7pt"><tbody><tr style="height:22.5pt"><td style="padding:0cm;height:22.5pt"><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:18pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(192,0,38)">Data Science</span></b></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif;line-height:15.4px"><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:inherit;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(192,0,38)">Academic Seminar</span><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:16.8px;font-family:inherit;vertical-align:baseline;color:inherit"></span></p></td></tr><tr style="height:22.5pt"><td style="padding:0cm;height:22.5pt"><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:inherit;font-family:Arial,sans-serif;vertical-align:baseline;color:inherit"> </span><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:inherit;font-family:Arial,sans-serif;vertical-align:baseline;color:inherit"></span></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><span style="font-family:Roboto,RobotoDraft,Helvetica,Arial,sans-serif;font-size:inherit;font-style:inherit;font-variant-ligatures:inherit;font-variant-caps:inherit;font-weight:inherit">December 02, 2021</span></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><span style="color:rgb(0,0,0);font-family:Verdana,sans-serif;font-size:14px">10:00 a.m. de São Paulo, Brasil (UTC/GMT -03:00)</span><span style="font-family:Roboto,RobotoDraft,Helvetica,Arial,sans-serif;font-size:inherit;font-style:inherit;font-variant-ligatures:inherit;font-variant-caps:inherit;font-weight:inherit"><br></span></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif">Zoom link: <a href="https://zoom.us/j/95660781314">https://zoom.us/j/95660781314</a><u><br></u></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><br class="gmail-Apple-interchange-newline"></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)">Title: </span></b><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:inherit;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:gray">High-frequency realized stochastic volatility model</span></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)">Speaker:</span></b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:inherit"> </span><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:inherit"><a href="https://sites.google.com/site/jnakajimaweb/" target="_blank" rel="noopener noreferrer" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193)"><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline">Jouchi Nakajima</span></a></span><b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)"><br></span></b></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)">University:</span></b><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:inherit;font-family:Arial,sans-serif;vertical-align:baseline;color:inherit"> </span><u><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:inherit;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit"><a href="https://www.boj.or.jp/en/index.htm/" target="_blank" rel="noopener noreferrer" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193)"><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline">Bank of Japan</span></a></span></u></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif;text-align:justify"><b style="font-style:inherit;font-variant-ligatures:inherit;font-variant-caps:inherit;font-size:14.6667px"><span lang="EN-US" style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)">Abstrat: </span></b><span style="color:gray;font-family:Verdana,sans-serif;font-size:inherit;font-style:inherit;font-variant-ligatures:inherit;font-variant-caps:inherit;font-weight:inherit">A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intraday returns by extensively incorporating intraday volatility patterns. The daily realized volatility calculated using intraday returns is incorporated into the high-frequency stochastic volatility model by considering the bias in the daily realized volatility caused by microstructure noise. The volatility of intraday returns is assumed to consist of the autoregressive process, the seasonal component of the intraday volatility pattern, and the announcement component responding to macroeconomic announcements. A Bayesian method via Markov chain Monte Carlo is developed for the analysis of the proposed model. The empirical analysis using the 5-minute returns of E-mini S&P 500 futures provides evidence that our high-frequency realized stochastic volatility model improves in-sample model fit and volatility forecasting over the existing models.</span></p><p class="gmail-x_MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"></p></td></tr></tbody></table></td></tr></tbody></table><div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><br></div></div></div>