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DTSTART;TZID=UTC+1:20180215T173000
DTEND;TZID=UTC+1:20180215T183000
DTSTAMP:20180224T021842
CREATED:20180201T074428Z
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SUMMARY:Alexis DERUMIGNY (CREST) "About Kendall's Regression".
DESCRIPTION:\nFINANCIAL ECONOMETRICS SEMINAR \nTime: 17:30 pm – 18h30 pm\nDate: 15th of February 2018\nPlace: Room 3001. \nAlexis DERUMIGNY (CREST) “About Kendall’s Regression”. \nAbstract: Conditional Kendall’s tau is a measure of dependence between two random variables\, conditionally on some observed covariates. We propose and study nonparametric estimators of such quantities using kernel smoothing techniques. Then\, we assume a regression-type relation between conditional Kendall’s tau and covariates\, in a parametric setting with possibly a large number of regressors. This model may be sparse\, and the underlying parameter is estimated through a penalized criterion. The theoretical properties of all the estimators are stated. We prove non-asymptotic bounds with explicit constants that hold with high probability. We derive their consistency\, their asymptotic law and some oracle properties. \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
CATEGORIES:Econometrics of Finance,Finance
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