10:30 am
Yang Zu (University of Nottingham) “Estimation of the variance function in bubble models with applications.”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 17th of February 2022 Zoom Yang Zu (University of Nottingham) "Estimation of the variance function in bubble models with applications." Abstract :In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple […]
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Ibragimov, Rustam (Imperial College London) “New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence”. “
The Financial Econometrics Seminar: Time: 11:30 pm Date: 17th of February 2022 Room 3001 Ibragimov, Rustam (Imperial College London) "New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence". " Abstract : Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the […]
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