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Events for April 14, 2022

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10:30 am

Leopoldo CATANIA (Aarhus University) “The Leverage Effect and Propagation”

April 14, 2022 @ 10:30 am - 11:30 am

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 14th of April 2022 Room 3001+ zoom Leopoldo CATANIA (Aarhus University) "The Leverage Effect and Propagation" Abstract : This paper proposes a new way to measure the leverage effect and its propagation over time. We also show that, with respect to the newly proposed measure, common volatility […]

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Frederik OKSLUND (Aarhus University) “In Search of Regimes in Log-Realized Volatility”

April 14, 2022 @ 10:30 am - 11:30 am

The Financial Econometrics Seminar:  Time: 11:30 pm Date: 14th of April 2022 Room 3001+ zoom Frederik OKSLUND (Aarhus University) "In Search of Regimes in Log-Realized Volatility" Abstract :We investigate whether regimes exist in the realized log-volatility processes of a number of stock indices by applying a handful of dynamic mixture models to this process in […]

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