Ongoing
Dynamic Factor Models, Matteo Barigozzi (Università di Bologna)
SCHEDULE Monday 4th March 2024 11th March 2024 From 13:00 to 16:45 Room 2033 Thursday 7th March 2024 From 13:00 to 16:15 Room 2033 Aims and objectives The aim of this course is to provide an introduction to factor models in time series analysis […]
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Davide LA VECCHIA (University of Geneva) “GLAMLE: INFERENCE FOR MULTIVIEW NETWORK DATA IN THE PRESENCE OF LATENT VARIABLES, WITH APPLICATION TO COMMODITIES TRADING”
Finance & Financial Econometrics : Time: 10.00 am Date: 07th of March 2023 Room 3001 Davide LA VECCHIA (University of Geneva) "GLAMLE: INFERENCE FOR MULTIVIEW NETWORK DATA IN THE PRESENCE OF LATENT VARIABLES, WITH APPLICATION TO COMMODITIES TRADING" Abstract : The statistical analysis of import/export data is helpful to understand the mechanism that determines exchanges […]
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Jeroen ROMBOUTS (ESSEC) – “Modeling Higher Moments and Risk Premiums for S&P 500 Returns”
Finance & Financial Econometrics : Time: 11.00 am Date: 07th of March 2023 Room 31001 Jeroen ROMBOUTS (ESSEC) - "Modeling Higher Moments and Risk Premiums for S&P 500 Returns" Abstract : Using joint estimation on a large sample of index option prices and the underlying returns, we study how multifactor models capture time-series and cross-sectional […]
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