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DTSTART:20220327T010000
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DTSTART;TZID=Europe/Helsinki:20220127T110000
DTEND;TZID=Europe/Helsinki:20220127T120000
DTSTAMP:20260719T090107
CREATED:20220110T074710Z
LAST-MODIFIED:20220124T052416Z
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SUMMARY:Jihyun Kim (TSE) "Heavy Factor Models : Identification and Estimation via PCA"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:00 pm\nDate: 27th of January 2022\nZoom\n\nJihyun Kim (TSE) “Heavy Factor Models : Identification and Estimation via PCA” \nAbstract : This paper considers a factor model with heavy factors that have potentially unbounded variance. For the factor model\, we revisit the validity of the PCA based identification and estimation methods. Under the unbounded variance\, the usual L2-projection based methods\, such as the PCA\, are not well defined in a population. However\, we find that the factors and factor loadings are well identified by the PCA method regardless of the boundedness of the factors’ variance. Moreover\, we obtain the asymptotic distributions of the estimated factors and factor loadings by the PCA method. We also provide a structural interpretation of the factor model and model selection criteria for the number of factors as well as the number of structural factors under our structural interpretation of the model. As an empirical application\, we apply our methods to the FRED-MD data\, and find that some macro factors are highly fat tailed and/or highly persistent. \nJoint work : Nour MEDDAHI (TSE)\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n\n
URL:https://crest.science/event/jihyun-kim-tse-heavy-factor-models-identification-and-estimation-via-pca/
CATEGORIES:Finance-Insurance,Financial Econometrics
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DTSTART;TZID=Europe/Helsinki:20220127T120000
DTEND;TZID=Europe/Helsinki:20220127T131500
DTSTAMP:20260719T090107
CREATED:20220111T125836Z
LAST-MODIFIED:20220118T065332Z
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SUMMARY:CANCELLED - Lucas DROUHOT (Utrech University) - “Intergenerational Social Mobility Among the Children of Immigrants in Western Europe: Between Assimilation and Disadvantage ”
DESCRIPTION:Sociology Seminar: Thursdays\nTime: 12:00 pm – 1:15 pm – \nDate: 27th of January 2022\nPlace: Visio \nLucas DROUHOT (Utrech University) – “ Intergenerational Social Mobility Among the Children of Immigrants in Western Europe: Between Assimilation and Disadvantage ” \nAbstract : \nAre Western European countries successfully incorporating their immigrant populations? Past research efforts are abundant\, but yield a mixed picture of either worse\, comparable or better outcomes in schools\, neighborhoods and labor markets among the children of immigrants compared to native populations. In this paper\, we approach immigrant incorporation as a process of intergenerational social mobility and argue that mobility trajectories are uniquely suited to measure assimilation and gauge the influence of immigrant origins on life chances. We analyze absolute and relative levels of intergenerational mobility among second-generation and native populations in seven European countries\, and report two major findings. First\, we document a master trend of assimilation\, in which the destiny of the second-generation is primarily determined by social class – rather than immigrant – background. However\, disaggregating results by regional origins reveal substantially worse mobility outcomes among the African-origin second generation\, for whom class of origin has a weaker influence on class of destination. We document substantial penalties in class attainment\, and find that children of African immigrants originating from the top are much less likely than upper-class natives to reproduce their class status in adulthood. Such second-generation disadvantage strongly qualifies the aggregate pattern of assimilation we otherwise document. \n(Co-authored with Mauricio Bucca). \nOrganizers : \nSofian EL ATIFI\, Etienne OLLION\, Patrick PRÄG (Pôle de Sociologie du CREST)\nSponsors :\nCREST \n
URL:https://crest.science/event/lucas-drouhot-utrech-university-intergenerational-social-mobility-among-the-children-of-immigrants-in-western-europe-between-assimilation-and-disadvantage/
CATEGORIES:Sociology
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