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:20230326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20231029T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20230413T113000
DTEND;TZID=Europe/Helsinki:20230413T123000
DTSTAMP:20260711T074238
CREATED:20230407T043140Z
LAST-MODIFIED:20230407T043140Z
UID:14851-1681385400-1681389000@crest.science
SUMMARY:Yuichi GOTO (Kyushu Univ.) "The Existence and Uniqueness of Lagged Spectrum"
DESCRIPTION:Finance & Financial Econometrics: \nTime: 11.30 am\nDate: 13th of April 2023\nRoom 3001 \nYuichi GOTO (Kyushu Univ.) “The Existence and Uniqueness of Lagged Spectrum” \nAbstract : TCoherence is a similarity measure between two time series and takes the form of the time series extension of Pearson’s correlation. However\, only a linear relationship between two time series can be measured by coherence. In this talk\, we introduce a lagged spectrum in order to measure non-linear relationships and show the existence and uniqueness of a lagged spectrum by decomposing the regression model we consider into orthogonal processes. We also propose a test for the existence of the lagged process and apply our test to economic data.\nJoint work : Xuze Zhang (Univ. of Maryland)\, Benjamin Kedem (Univ. of Maryland) and Shuo Chen (Univ. of Maryland) \nOrganizers:\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/yuichi-goto-kyushu-univ-the-existence-and-uniqueness-of-lagged-spectrum/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR