Notice: Utilizing the form controls will dynamically update the content
10:30 am
Thomas GIROUX (CREST & MIROVA) “TAIL RISK SYSTEMIC FACTORS”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 20th of October 2022 Room 3001 + Zoom Thomas GIROUX (CREST & MIROVA) "TAIL RISK SYSTEMIC FACTORS" Abstract :We develop a two-step econometric procedure, based on hidden factor estimation, to identify common factors driving the tail risk of asset returns. Applied to more than 1500 US stocks, […]
Find out more »11:30 am
Baye Matar KANDJI (CREST) ” STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS”
The Financial Econometrics Seminar: Time: 11:30 pm Date: 20th of October 2022 Room 3001 + Zoom Baye Matar KANDJI (CREST) "STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS" Abstract : We consider random coefficient autoregressive models with non-negative coefficients in Banach lattice. We develop a method using functional analysis tools to […]
Find out more »