<div dir="ltr"><div><span style="color:rgb(0,0,0);font-family:Calibri,sans-serif;font-size:14.6667px">Academic Seminar of Data Science with Guilherme Moura of UFSC - Hybrid</span><br></div>Title: Regularized Wishart Stochastic Volatility Model<br>Speaker: Guilherme Moura<br>University: UFSC<br>Link do ZOOM para o seminário: <a href="https://zoom.us/j/95781336030">https://zoom.us/j/95781336030</a><div><div class="gmail_quote"><div class="msg-6982638769912210633"><div dir="ltr">
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<b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black">Title</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black">:
</span><span lang="EN-US" style="font-family:"Verdana",sans-serif">Regularized Wishart Stochastic Volatility Model</span><span lang="EN-US" style="font-family:"Verdana",sans-serif"></span></p>
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<p style="line-height:115%"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif">Speaker</span></b><b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black">:</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black"> </span><span style="font-family:"Verdana",sans-serif;color:black"><a href="https://cnm.ufsc.br/corpo-docente/guilherme-valle-moura/" target="_blank"><span lang="EN-US">Guilherme
Moura</span></a></span><span style="font-family:"Verdana",sans-serif;color:black">
<span lang="EN-US"></span></span></p>
<p style="line-height:18.0pt"><b><span lang="EN-US" style="font-family:"Verdana",sans-serif">University</span></b><b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black">:
</span></b><span style="font-family:"Verdana",sans-serif;color:black"><a href="https://ufsc.br/" target="_blank"><span lang="EN-US">UFSC</span></a></span><span style="font-family:"Verdana",sans-serif;color:black">
<span lang="EN-US"></span></span></p>
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<b><span lang="EN-US" style="font-family:"Verdana",sans-serif;color:black">Abstract:</span></b><span lang="EN-US" style="font-family:"Verdana",sans-serif"> We introduce an extension to Uhlig's (1994) Wishart Stochastic Volatility model, designed to regularize
its covariance predictions toward a specified prior reference matrix. This regularization ensures the stationarity of the observed process and stabilizes the eigenvalues of the predictions. Our method maintains closed-form sequential updating formulas for
filtering, prediction, and likelihood evaluation, facilitating practical implementation. Furthermore, we enhance the variance discounting scheme inherent in such models to accommodate varying forgetting rates over time and across different directions in the
vector space of observations via directional forgetting. In an empirical portfolio selection application involving up to 1,000 assets, we demonstrate the potential of our proposed approach. It effectively stabilizes the eigenvalues of covariance matrix predictions
and generates portfolios with lower risk compared to several benchmark models.<span> </span></span></p>
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<p><span style="font-family:"Verdana",sans-serif;color:black">April 4, 2024</span><span></span></p>
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<p><span style="font-family:"Verdana",sans-serif;color:black">12pm, São Paulo, Brasil (UTC/GMT -03:00)</span><span></span></p>
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</div></div><br clear="all"><div><br></div><span class="gmail_signature_prefix">-- </span><br><div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Hedibert Freitas Lopes, PhD</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Professor of Statistics and Econometrics</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">INSPER - Institute of Education and Research</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Phone: +55 11 4504-2343</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><a href="http://www.hedibert.org" target="_blank">www.hedibert.org</a></span><br></div></div></div></div>