BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20260329T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20261025T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20260108T100000
DTEND;TZID=Europe/Helsinki:20260108T230000
DTSTAMP:20260709T225056
CREATED:20251210T084714Z
LAST-MODIFIED:20251229T075205Z
UID:18642-1767866400-1767913200@crest.science
SUMMARY:Enzo d'INNOCENZO (Bologna University\, Italy) "Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:08th of January 2025\nRoom 3049 \nEnzo D’Innocenzo  (Bologna University\, Italy) “Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference” \nAbstract : We propose a dynamic factor model for high-dimensional time series where the dynamics of the latent factors is non-linear and generated by a multivariate score-driven model\, thus allowing to model non-linearities and heavy tails. Estimation is in two-steps: first the factors are extracted either via Principal Components or alternative robust methods and then the parameters of the score-driven model for the estimated factors are estimated via Quasi Maximum Likelihood. Models for the conditional mean and the conditional variance are considered. Consistency and asymptotic normality for the parameters hold as both the number of time series and the sample size diverge to infinity. Moreover\, valid asymptotic prediction intervals are built. Numerical results confirm the goodness of our estimator. \nJoint work : Matteo Barigozzi\, (University of Bologna). \n  \nOrganizers:  Jean-Michel ZAKOIAN & Christian FRANCQ \n  \n
URL:https://crest.science/event/enzo-dinnocenzo-bologna-university-italy-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR