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:20240331T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20241027T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240523T102000
DTEND;TZID=Europe/Helsinki:20240523T231000
DTSTAMP:20260710T185101
CREATED:20240214T083751Z
LAST-MODIFIED:20240517T091000Z
UID:16692-1716459600-1716505800@crest.science
SUMMARY:Gabriele MINGOLI (Vrije Universiteit Amsterdam) "Non-Stationary Factors for Common Bubbles"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10:20 am\nDate: 23th of May 2023\nRoom 3001 \nGabriele MINGOLI (Vrije Universiteit Amsterdam) “Non-Stationary Factors for Common Bubbles” \nAbstract : This paper proposes a novel multivariate time-series model with common stochastic trends and locally explosive mixed causal non-causal dynamics while allowing for idiosyncratic non-stationarities and explosive episodes. This model allows the description of common bubbles in high dimensional settings through common factors\, with every non-stationary process that experience local explosive episodes\, either common or idiosyncratic\, being modeled according to an additive structure between a fundamental value and a bubble component. We provide sufficient conditions for consistency of the estimated factors and parameters. A Monte Carlo simulation confirms the good finite sample properties. An empirical study shows that our approach models correctly bubbles present in the monthly prices of stock from the energy sector. \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/siem-jan-koopman-vu-amsterdam-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR