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Let us  invite you to a Brown Bag Seminar next Wednesday, June 15th, from 13:00 to 14:00. The presentation will be "offline" in room 8 and given by Michal Hakala (CERGE-EI Ph.D. student).

Presenter: Michal Hakala

Title: "Marginal Model of Intraday Returns"

Abstract:
I propose a new semi-parametric framework for distributional modeling of intraday returns. The framework relies on a two-step procedure. The first step is non-parametric estimation of marginal distribution. The cumulative distribution function from the first is then used to transform the series of returns, what potentially generates a series with no diurnal patterns. The second step of the procedure is using parametric model to capture dynamics of the generated series. Using a dataset of the most liquid stocks, I perform an empirical exercise with a moving window. Out-of-sample expected shortfall forecasts based on the proposed framework show improved performance compared to the common models used in the intraday setup. Therefore, the modeling framework may be useful for applications in risk management.

This project is co-financed by the European Union.