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DTSTART;TZID=Europe/Helsinki:20240404T100000
DTEND;TZID=Europe/Helsinki:20240404T230000
DTSTAMP:20260710T204150
CREATED:20240214T082417Z
LAST-MODIFIED:20240326T110855Z
UID:16688-1712224800-1712271600@crest.science
SUMMARY:Andre LUCAS (VU Amsterdam) "Consistency\, distributional convergence\, and optimality of score-driven filters
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 10.00 am\nDate: 04th of April 2024\nRoom 3001 \nAndre LUCAS (VU Amsterdam) “Consistency\, distributional convergence\, and optimality of score-driven filters” \nAbstract : We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification\, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path\, which minimizes the pointwise KL divergence between the statistical model and the unknown dynamic data generating process. This directly implies that for a correctly specified predictive conditional density\, score-driven filters consistently estimate the time-varying parameter path even if the model is mis-specified in other respects. We also obtain distributional convergence results for the filtering errors and derive the filter that minimizes  the asymptotic filter error variance. Score-driven filters turn out to be optimal under correct specification of the predictive conditional density. The results considerably generalize earlier\nfindings on the continuous-time consistency of volatility filters under mis-specification: they apply to biased filters\, use weaker assumptions\, allow for more general forms of mis-specification\, and consider general time-varying parameters in non-linear time series models beyond the volatility case. Several examples are used to illustrate the theory\, including time-varying tail shape models\, dynamic copulas\, and time-varying regression models. \nJoint work: E. Beutner and Y. Lin \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/andre-lucas-vu-amsterdam-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20240404T100000
DTEND;TZID=Europe/Helsinki:20240404T110000
DTSTAMP:20260710T204150
CREATED:20240318T125933Z
LAST-MODIFIED:20240322T093030Z
UID:16850-1712224800-1712228400@crest.science
SUMMARY:Anne BELLON (University of Technology of Compiègne) - Careers linking fields. Ministerial special advisers and the government’s field environment
DESCRIPTION:[vc_row][vc_column][vc_column_text]\nSociology seminar – Thursdays\nTime: 10:00 am – 11:00 am \nDate: 4th April 2024\nPlace: room 3060 \n  \nAnne BELLON (University of Technology of Compiègne) – Careers linking fields. Ministerial special advisers and the government’s field environment\nAbstract: \nWhile the social influence of the state over society is a common assumption in sociology\, the mechanisms through which the state relates to other social spaces still remain an open question. The sociology of fields has offered new theoretical perspectives in order to understand how fields interact\, without addressing the specificities of the nation-state\, both regarding its structure – formed by various institutions whose boundaries may be unclear – and its relationships with other fields. In this context\, the article articulates an agenda and a methodology for the analysis of fields’ relationship based on the study of cross-field careers. Focusing on the government as a key organization within the state\, it examines the job careers of the 769 ministerial special advisers who made up the French government between May 2012 and March 2014. Coming from various social spaces  \, these advisers experienced at the same time a job mobility from one field to a ministerial office. Career patterns of these advisers thus differ both relative to the fields they worked in and relative to patterns of mobility and stability between and within these fields. In this article\, we assume that these various patterns give us a strong insight into the relationship between the government and its field environment. \n  \nThe article operationalizes the study of “careers linking field” by using a mobility-oriented dissimilarity measure between sequences of job positions. That enables us to identify and describe 22 consistent career patterns within and between fields proximate to the government\, shedding a new light on the job careers of special advisers. Besides\, using regression models\, the article also demonstrates that these patterns are key to understand the division of work and the allocation to power positions within the offices. These results raise insights on the spatial extension of the State in France\, and its strong autonomy\, despite several decades of neoliberal transformation. \n  \n  \n  \nOrganizers: Annina Cleasson\, Paola Tubaro\, Patrick Präg (CREST Sociology unit) \n  \nSponsors: CREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/anne-bellon-university-of-technology-of-compiegne-careers-linking-fields-ministerial-special-advisers-and-the-governments-field-environment/
CATEGORIES:Seminars,Sociology
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DTSTART;TZID=Europe/Helsinki:20240404T110000
DTEND;TZID=Europe/Helsinki:20240404T120000
DTSTAMP:20260710T204150
CREATED:20240214T082259Z
LAST-MODIFIED:20240326T111116Z
UID:16687-1712228400-1712232000@crest.science
SUMMARY:Leopoldo CATANIA (Aarhus University)	" A new way to Regime Switching Autoregressions
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 04th of April 2024\nRoom 3001 \nLeopoldo CATANIA (Aarhus University) “A new way to Regime Switching Autoregressions” \nAbstract : We discuss a new way to construct Regime Switching Autoregressions making use of a non-Markovian unobserved process. We show that\, in a special case\, the likelihood implied by this new specification is identical to the classical Markov Switching Autoregression one. The general case leads to more flexible specifications with tractable likelihood functions. We discuss the statistical properties of the model and establish conditions for the consistency and asymptotic normality of the Maximum Likelihood Estimator. An application to macro-economic variables shows that the new specification leads to better estimates and predictions. \nOrganizers: \n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/leopoldo-catania-aarhus-universityt-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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