11:30 am
Sullivan HUE (Marseille University) “GAM(L)A: AN ECONOMETRIC MODEL FOR INTERPRETABLE MACHINE LEARNING”
The Financial Econometrics Seminar: Time: 11:30 pm Date: 9th of June 2022 Room 3001+ zoom Sullivan HUE (Marseille University) "GAM(L)A: AN ECONOMETRIC MODEL FOR INTERPRETABLE MACHINE LEARNING" Abstract :Despite their high predictive performance, random forest and gradient boosting are often considered as black boxes or uninterpretable models which has raised concerns from practitioners and regulators. […]
Find out more »12:15 pm
Arnaud DUFAYS (EDHEC) “FACTOR DYNAMICS, RISK PREMIA, AND HIGHER MOMENTS IN MULTI-FACTOR OPTION PRICING MODELS”
The Financial Econometrics Seminar: Time: 12:15 - 13.30 pm Date: 9th of June 2022 Room 3001+ zoom Arnaud DUFAYS (EDHEC) "FACTOR DYNAMICS, RISK PREMIA, AND HIGHER MOMENTS IN MULTI-FACTOR OPTION PRICING MODELS" Abstract :The cross-section of options holds great promise for identifying return distributions and risk premiums, but estimating dynamic option valuation models with latent […]
Find out more »