<div dir="ltr"><div> </div><div class="gmail_quote"><div lang="EN-US" link="#0563C1" vlink="#954F72"><div class="m_-8373027938321788710WordSection1"> <div align="center"> <table border="0" cellspacing="0" cellpadding="0" width="600" style="width:450.0pt"> <tbody> <tr> <td valign="top" style="padding:0cm 0cm 0cm 0cm"> <img border="0" width="599" height="181" style="width:6.2395in;height:1.8854in" id="m_-8373027938321788710Imagem_x0020_1" src="cid:16ed73ba6df9374b66"> </td> </tr> </tbody> </table> </div> <div align="center"> <table border="0" cellspacing="0" cellpadding="0" width="600" style="width:450.0pt"> <tbody> <tr> <td style="background:white;padding:30.0pt 37.5pt 37.5pt 37.5pt"> Ciência de Dados e Decisão Seminários Acadêmicos Copula Stochastic Volatility in oil returns: Approximate Bayesian Computation with volatility prediction Palestrante: Audrone Virbickaite Universidade: Universidad de Las Islas Baleares Modeling the volatility of energy commodity returns has become a topic of increased interest in recent years, because of the important role it plays in today’s economy. In this paper we propose a novel copula-based stochastic volatility model for energy commodity returns that allows for asymmetric volatility persistence. We employ Approximate Bayesian Computation (ABC), a powerful tool to make inference and prediction for such highly-nonlinear model. We carry out two simulation studies to illustrate that ABC is an appropriate alternative to standard MCMC-based methods when the state transition process is challenging to implement. Finally, we model the volatility of WTI and Brent oil futures’ returns with the proposed copula based stochastic volatility model and show that such model outperforms symmetric alternatives in terms of in- and out-of-sample volatility prediction accuracy. (This is joint work with Ausín and Galeano). Para assistir a transmissão ao vivo, <a href="https://livestream.com/insper/events/8918082" target="_blank">clique aqui.</a> Data: 06/12/2019 Horário: 12h Local: Sala Paulo Renato de Souza - 2º andar - Insper <img border="0" width="19" height="19" style="width:.1979in;height:.1979in" id="m_-8373027938321788710Imagem_x0020_2" src="cid:16ed73ba6dfa18c377"> Rua Quatá, 300 – Vila Olímpia, São Paulo/SP Estacionamento: Rua Uberabinha, s/n </td> </tr> </tbody> </table> </div> <div align="center"> <table border="0" cellspacing="0" cellpadding="0" width="600" style="width:450.0pt"> <tbody> <tr> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://facebook.com/insper" target="_blank"><img border="0" width="83" height="154" style="width:.8645in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_3" src="cid:16ed73ba6dfafa3b88"></a> </td> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://www.youtube.com/insperedu?gl=BR&hl=pt" target="_blank"><img border="0" width="36" height="154" style="width:.375in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_4" src="cid:16ed73ba6dfbdbb399"></a> </td> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://twitter.com/insper" target="_blank"><img border="0" width="33" height="154" style="width:.3437in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_5" src="cid:16ed73ba6e01f3c04fa"></a> </td> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://www.instagram.com/insperedu" target="_blank"><img border="0" width="36" height="154" style="width:.375in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_6" src="cid:16ed73ba6e0201d7d0b"></a> </td> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://www.linkedin.com/company/1134427" target="_blank"><img border="0" width="33" height="154" style="width:.3437in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_7" src="cid:16ed73ba6e020fef51c"></a> </td> <td style="padding:0cm 0cm 0cm 0cm"> <img border="0" width="78" height="154" style="width:.8125in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_8" src="cid:16ed73ba6e021e06d2d"> </td> <td style="padding:0cm 0cm 0cm 0cm"> <a href="http://www.insper.edu.br/" target="_blank"><img border="0" width="300" height="154" style="width:3.125in;height:1.6041in" id="m_-8373027938321788710Imagem_x0020_9" src="cid:16ed73ba6e022c1e53e"></a> </td> </tr> </tbody> </table> </div> <div align="center"> <table border="0" cellspacing="0" cellpadding="0" width="600" style="width:450.0pt"> <tbody> <tr> <td style="background:white;padding:7.5pt 7.5pt 7.5pt 7.5pt"> É de conhecimento do participante que eventuais filmagens e/ou fotografias realizadas no evento poderão ser utilizadas em qualquer meio de mídia para uso institucional. </td> </tr> <tr> <td style="background:#c00026;padding:0cm 0cm 0cm 0cm"> </td> </tr> </tbody> </table> </div> </div> </div> </div> <div> </div>-- <div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr">Hedibert Freitas Lopes, PhD Professor of Statistics and Econometrics INSPER - Institute of Education and Research Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil Phone: +55 11 4504-2343 <a href="http://www.hedibert.org" target="_blank">www.hedibert.org</a> </div></div></div>