| Grant number: | 13/23524-5 |
| Support Opportunities: | Scholarships abroad - Research Internship - Doctorate |
| Start date: | March 01, 2014 |
| End date: | July 31, 2014 |
| Field of knowledge: | Physical Sciences and Mathematics - Probability and Statistics - Statistics |
| Principal Investigator: | Luiz Koodi Hotta |
| Grantee: | Carlos Cesar Trucios Maza |
| Supervisor: | Esther Ruiz |
| Host Institution: | Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil |
| Institution abroad: | Universidad Carlos III de Madrid (UC3M), Spain |
| Associated to the scholarship: | 12/09596-0 - Bootstrap prediction in univariate and multivariate volatility models, BP.DR |
Abstract The project to be developed at the Department of Statistics of the Universidad Carlos III de Madrid, Spain, aims to discuss the gains of obtain bootstrap prediction intervals for forecast portfolio value-at-risk using a multivariate model of the family MGARCH. The forecast intervals will be compared with bootstrap prediction intervals for forecast portfolio value-at-risk using a univariate model of the GARCH family fitted the models directly the return of the portfolio. The comparison will be in terms of the intervals coverage, the length of the intervals and other possible criteria which will be discussed during the stage in Spain. Other issues that may be considered include the effects of outliers and misspecification and proof of the bootstrap convergence for some models. (AU) | |
| News published in Agência FAPESP Newsletter about the scholarship: | |
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