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DTSTART;TZID=Europe/Helsinki:20230511T103000
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SUMMARY:Dick VAN DIJK (Erasmus University Rotterdam) "Robust Observation-Driven Models Using Proximal-Parameter Updates"
DESCRIPTION:Finance & Financial Econometrics: \nTime: 10.30 am\nDate: 11th of May 2023\nRoom 3001 \nDick VAN DIJK (Erasmus University Rotterdam) “Robust Observation-Driven Models Using Proximal-Parameter Updates” \nAbstract : We propose an observation-driven modelling framework that permits time variation in the model’s parameters using a proximal-parameter (ProPar) update. ProPar maximizes the observation log-density with respect to the parameter vector\, while penalizing the weighted L2-norm relative to the one-step-ahead prediction. This yields an implicit stochastic-gradient update; taking instead the explicit version would produce the popular class of score-driven models. For log-concave observation densities (even when misspecified)\, ProPar’s robustness is evident from its muted response to outliers\, stability under poorly specified learning rates\, and global contractivity towards a pseudo-truth. We illustrate ProPar’s usefulness for estimating time-varying regressions\, volatility\, and quantiles. \nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/dick-van-dijk-erasmus-university-rotterdam-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics
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