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Events for January 25, 2018

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4:15 pm

Donatien HAINAUT (Université Catholique de Louvain, Belgium) “A Self-Excited Switching Jump Diffusion (SESJD): Properties, Calibration and Hitting Time.

January 25, 4:15 pm - 5:15 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 16:15 pm - 17:15 pm Date: 25th of January 2018 Place: Room 3001. Donatien HAINAUT (Université Catholique de Louvain, Belgium) "A Self-Excited Switching Jump Diffusion (SESJD): Properties, Calibration and Hitting Time". Abstract: A way to model the clustering of jumps in asset prices consists in combining a diffusion process with a […]

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5:30 pm

Jean-Marc BARDET (Paris I) “Non-Parametric Estimation of Time Varying AR(1)-Processes with Local Stationarity and Periodicity”.

January 25, 5:30 pm - 6:30 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 17:30 pm - 18h30 pm Date: 25th of January 2018 Place: Room 3001. Jean-Marc BARDET (Paris I) ""Non-Parametric Estimation of Time Varying AR(1)-Processes with Local Stationarity and Periodicity". Abstract: Extending the ideas of Dalhaus (2012), this paper aims at providing a kernel based non-parametric estimation of a new class of time varying […]

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