BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv4.9.9//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:http://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Paris
BEGIN:DAYLIGHT
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
TZNAME:CEST
DTSTART:20180325T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
DTSTART:20181028T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Paris:20181018T103000
DTEND;TZID=Europe/Paris:20181018T233000
DTSTAMP:20191018T110247
CREATED:20180924T064254Z
LAST-MODIFIED:20180926T083732Z
UID:9547-1539858600-1539905400@crest.science
SUMMARY:Sébastien FRIES (CREST) "Path prediction of aggregated alpha-stable moving averages using semi-norm representations"
DESCRIPTION:\nFINANCIAL ECONOMETRICS SEMINAR \nTime: 10:30 am – 11.30 pm\nDate:18th of October 2018\nPlace: Room 3001 \nSébastien FRIES (CREST) “Path prediction of aggregated alpha-stable moving averages using semi-norm representations” \nAbstract: For (Xt) a two-sided alpha-stable moving average\, this paper studies the conditional distribution of future paths given a piece of observed trajectory when the process is far from its central values. Under this framework\, vectors of the form Xt = (Xt-m\, … \, Xt\, Xt+1\, … \, Xt+h)\, m ≥ 0\, h ≥ 1\, are multivariate alpha-stable and the dependence between the past and future components is encoded in their spectral measures. A new representation of stable random vectors on unit cylinders -or “unit spheres” relative to adequate semi-norms- is proposed in order to describe the tail behaviour of vectors Xt when only the first m+1 components are assumed to be observed and large in norm. Not all stable vectors admit such a representation and the process (Xt) will have to be «anticipative enough» for the vector Xt to admit one. The conditional distribution of future paths during extreme events can then be explicitly derived using the regularly varying tails property of stable vectors and has a natural interpretation in terms of pattern identification. The approach extends to processes resulting from the linear combination of stable moving averages which feature much richer dynamics and applied to several examples. \n \nOrganizers:\nJean-Michel ZAKOIAN (CREST ) \nSponsors:\nCREST and ILB \nLocation:\nAddress : ENSAE ParisTech\n5\, avenue Henry Le Chatelier\n91120 Palaiseau\nHow to come? \n \n\n
URL:http://crest.science/event/francisco-blasques-vu-university-amsterdam-tinbergen-institute-transformed-polynomials-for-semi-nonparametric-conditional-volatility-models-2-2-2-2-2-2-2-2
CATEGORIES:Econometrics of Finance,Finance
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR