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10:30 am
Giuseppe Cavaliere (University of Bologna)”The Econometrics of Financial Duration Modeling”
Finance & Financial Econometrics: Time: 10.30 am Date: 1th of June 2023 Room 3001 Giuseppe Cavaliere (University of Bologna)"The Econometrics of Financial Duration Modeling" Abstract :We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For […]
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Alessandra LUATI (University of Bologna) “On the optimality of score driven models”
Finance & Financial Econometrics: Time: 11.30 am Date: 1th of June 2023 Room 3001 Alessandra LUATI (University of Bologna) "On the optimality of score driven models" Abstract :Score-driven models have been recently introduced as a general framework to specify time-varying parameters of conditional densities. The score enjoys stochastic properties that make these models easy to […]
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