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Events for July 17, 2019 › Econometrics of Finance

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3:30 pm

Archil GULISASHVILI (Ohio University) “Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions”

May 13, 3:30 pm - 4:30 pm

1st Monday of each month Time: 3:30 pm – 4:30 pm Date: 13th of May 2019 Place: Room 3105 Archil GULISASHVILI (Ohio University) "Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions" Abstract : In a Gaussian stochastic volatility model, the evolution of volatility is described by a stochastic process that can be represented […]

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Pierre CARDALIAGUET (Université Paris-Dauphine) “Jeux à champs moyen avec un agent majeur”

April 1, 3:30 pm - 4:30 pm

1st Monday of each month Time: 3:30 pm – 4:30 pm Date: 01th of April 2019 Place: Room 3105 Pierre CARDALIAGUET (Université Paris-Dauphine) "Jeux à champs moyen avec un agent majeur" Abstract : Les jeux à champs moyen (MFG pour mean field games) s'intéressent aux problèmes de contrôle optimal avec un nombre infini de petits contrôleurs […]

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Christian ROBERT (Université Lyon 1) « How large is the jump discontinuity in the diffusion coefficient of an to diffusion?”

March 4, 3:30 pm - 4:30 pm

1st Monday of each month Time: 3:30 pm – 4:30 pm Date: 04th of March 2019 Place: Room 3105 Christian ROBERT (Université Lyon 1)« How large is the jump discontinuity in the diffusion coefficient of an Ito diffusion?" Abstract : We consider high frequency observations from a one-dimensional diffusion process Y. We assume that the diffusion coefficient […]

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11:30 am

Iryna OKHRIN (Dresden University of Technology, Germany) “On LASSO-GARCH Approach”

June 20, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR Time:11:30 Date: 20th of June 2019 Place: Room 3001 Iryna OKHRIN (Dresden University of Technology, Germany) "On LASSO-GARCH Approach" Abstract : It is a stylized fact that GARCH type models are good at describing the characteristics of financial data (leverage effects, volatility clustering, etc.). List of various GARCH models has increased tremendously […]

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10:30 am

Ostap OKHRIN (Dresden University of Technology, Germany) “Stochastic Volatility with Jump Models: Moments, Simulation, and Estimation”

June 20, 10:30 am - 11:30 am

FINANCIAL ECONOMETRICS SEMINAR Time:10:30 Date: 20th of June 2019 Place: Room 3001 Ostap OKHRIN (Dresden University of Technology, Germany) "Stochastic Volatility with Jump Models: Moments, Simulation, and Estimation" Abstract : In this paper we consider a stochastic volatility with jumps-in-the-mean equation. Our aim is to develop a laboratory for simulation of times series with exactly […]

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11:00 am

Kris JACOBS (University of Houston) “Estimation and Filtering with Big Option Data : Implications for Asset Pricing”

May 28, 11:00 am - 12:00 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 11H00 Date: 28th of May 2019 Place: Institut Louis Bachelier, Paris 75002. Kris JACOBS (University of Houston) "Estimation and Filtering with Big Option Data : Implications for Asset Pricing" Abstract : The computational cost of estimating option valuation models is very high. We propose to address these constraints by _ltering the […]

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11:30 am

Erwan KOCH (EPFL, Lausanne) “Infinitesimal Perturbation Analysis for Risk Measures Based on the Smith Max-Stable Random Field”

May 9, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 11:30 Date: 09th of May 2019 Place: Room 3001 Erwan KOCH (EPFL, Lausanne) "Infinitesimal Perturbation Analysis for Risk Measures Based on the Smith Max-Stable Random Field" Abstract : When using risk or dependence measures based on a given underlying model, it is essential to be able to quantify the sensitivity or […]

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10:30 am

Rogier QUAEDVLIEG (Erasmus University Rotterdam, Netherlands) “Conditional Superior Predictive Ability”

May 9, 10:30 am - 11:30 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 11:30 Date: 09th of May 2019 Place: Room 3001 Rogier QUAEDVLIEG (Erasmus University Rotterdam, Netherlands) "Conditional Superior Predictive Ability" Abstract : This paper proposes tests for the conditional superior predictive ability (CSPA) of a family of forecast methods with respect to a benchmark method. The null hypothesis of the CSPA test asserts that […]

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11:30 am

Jean-Paul RENNE (Lausanne University, Swiss) “Fiscal Limits and Sovereign Credit Spreads”

April 11, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR Time: 11:30 Date: 11th of April 2019 Place: Room 3001 Jean-Paul RENNE (Lausanne University, Swiss) "Fiscal Limits and Sovereign Credit Spreads" Abstract : This paper presents a novel sovereign-credit-risk model aimed at extracting information from the term structure of credit spreads. At the heart of the model lies the fiscal limit, defined as […]

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10:30 am

Veronika CZELLAR (EDHEC, France) “Limited participation in the joint behavior of asset prices and individual consumptions”

April 11, 10:30 am - 11:30 am

FINANCIAL ECONOMETRICS SEMINAR Time: 10:30 Date: 11th of April 2019 Place: Room 3001 Veronika CZELLAR (EDHEC, France) "Limited participation in the joint behavior of asset prices and individual consumptions." Abstract : We propose an asset pricing model featuring both limited participation and heterogeneity, in which agents randomly participate in the bond and stock markets according […]

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