[ABE-L] Ciclo de Seminários do PPGE/2026.1

['Francisco Cysneiros' via abe-l@ime.usp.br]

Ciclo de Seminários do PPGE/2026.1


Temos o prazer de anunciar que, no dia  08 de abril de 2026,
o seminário será ministrado pelo  Prof. Dr. Flavio Ziegelmann  - UFRGS


Detalhes da palestra:


A High-Frequency Semiparametric Dynamic Functional ARMA-GARCH-Copula
Approach for Risk Forecasting


Palestrante : Flavio Ziegelmann


Horário: 14hrs  forma remoto .

Quem desejar assistir pode entrar em contato através do e-mail
cysneiros em de.ufpe.br para obter o link.


Abstract

:

This paper introduces a novel Semiparametric Dynamic Functional (SDF)
ARMA-GARCH-Copula framework to forecast daily financial risk measures from
high-frequency intradaily data. Our proposed methodology is capable of
dealing with high-dimensional financial time series. It blends together a
high-frequency ARMA-GARCH-Copula structure and a flexible dynamic
nonparametric functional representation of the innovation distributions. We
approach probability density functions (PDFs) as time-varying curve time
series and employ functional factor models (FFM), with and without
sparsity, and dynamic functional principal components (DFPC) to capture the
PDFs dynamics, reduce dimensionality and forecast the PDFs curves
themselves. We finally obtain predictions for daily volatility,
Value-at-Risk (VaR), and Expected Shortfall (ES). Our empirical analysis is
performed for cryptocurrencies from January 2022 to July 2023. The results
suggest that our proposed approach outperforms a traditional benchmark in
terms of volatility forecasting and provides well-behaved risk forecasts.
Joint work with Klaus Boesch, Jean-David Fermanian and Hugo Inzirillo


-- 
Francisco José A. Cysneiros
Full professor
Departament of Statistics - UFPE
Co-Director of Graduate Studies, Statistics, UFPE
Editor in Chief of Brazilian Journal of Probability and Statistics
My URLs:
www.de.ufpe.br/~cysneiros  <http://www.de.ufpe.br/~cysneiros>
http://150.161.44.6/cysneiros

Lattes:

*ResearchedID:*
*Publons:*
http://lattes.cnpq.br/1313497098151734
http://www.researcherid.com/rid/G-6333-2012
https://publons.com/a/1540091
ORCID: http://orcid.org/0000-0001-6757-6969


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