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DTSTART:20250330T010000
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DTSTART:20251026T010000
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DTSTART;TZID=Europe/Helsinki:20250213T100000
DTEND;TZID=Europe/Helsinki:20250213T230000
DTSTAMP:20260710T092518
CREATED:20250107T073642Z
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UID:17732-1739440800-1739487600@crest.science
SUMMARY:Matthias R. FENGLER (University of St.Gallen) "Proxy-identification of a structural MGARCH model for asset returns"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 10.30 am\nDate: 13th of February 2025\nRoom 3001 \nMatthias R. FENGLER (University of St.Gallen) “Proxy-identification of a  structural MGARCH model for asset returns” \nAbstract :  \nOrganizers: We extend the multivariate GARCH (MGARCH) specification for volatility modeling by developing a structural MGARCH model that targets the identification of shocks and volatility spillovers in a speculative return system. Similarly to the proxy-SVAR framework\, we leverage auxiliary proxy variables to identify the underlying shock system. The estimation of structural parameters\, including an orthogonal matrix\, is achieved through techniques derived from Riemannian optimization. Our analysis of daily S&P 500 returns\, 10-year Treasury yields\, and the U.S. Dollar Index\, employing news-driven instrument variables\, identifies an equity and a bond market shock.\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/matthias-r-fengler-university-of-st-gallen-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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