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X-WR-CALDESC:Events for CREST
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DTSTART:20240101T000000
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DTSTART;TZID=UTC:20240506T130000
DTEND;TZID=UTC:20240523T161500
DTSTAMP:20260710T184958
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SUMMARY:Estimation of Functionals of High-Dimensional Parameters: Bias Reduction and Concentration\, Vladimir Koltchinskii (Georgia Institute of Technology)
DESCRIPTION:  \n\n\n\n  \n  \nSCHEDULE\n  \nMonday\n  \n6th May 2024 \n13th May 2024\n  \nFrom 13:00 to 16:15\n  \nRoom 2033\n\n\n  \nThursday\n  \n16th May 2024 \n23rd May 2024\n  \nFrom 13:00 to 16:15\n  \nRoom 2033\n\n\n\nAims and objectives\nThe aim of this course will be on a circle of problems related to estimation of real valued functionals of parameters of high-dimensional statistical models. In such problems\, it is of interest to estimate onedimensional features of a high-dimensional parameter that are often represented by nonlinear functionals of certain degree of smoothness defined on the parameter space. The functionals of interest could be estimated with faster convergence rates than the whole parameter (sometimes\, even with parametric rates). The examples include\, for instance\, such problems as estimation of linear functionals of principal components (that are nonlinear functionals of unknown covariance) in high-dimensional PCA. The goal is to discuss several mathematical methods that provide a way to develop estimators of functionals of highdimensional parameters with optimal error rates in classes of functionals of some Hölder smoothness.\nMoreover\, when the degree of smoothness of the functional is above certain threshold\, the estimators in question have parametric √𝑛 error rate and are asymptotically efficient\, whereas the error rates become slower than √𝑛 when the degree of smoothness is below the threshold.\nThe following topics will be covered (at least\, to some extent):\n• preliminaries in high-dimensional probability and analysis (concentration inequalities\, comparison inequalities\, Hölder smoothness of operator functions\, etc);\n• non-asymptotic bounds and concentration inequalities for sample covariance in high-dimensional and dimension-free frameworks;\n• some approaches to concentration inequalities for smooth functionals of statistical estimators;\n• higher order bias reduction methods in functional estimation;\n– methods based on Taylor expansion and estimation of polynomials with reduced bias;\n– iterative bias reduction and bootstrap chains;\n– linear aggregation of plug-in estimators with different sample sizes and jackknife estimators;\n• minimax lower bounds in functional estimation (applications of van Trees inequality\, Nemirovski’s construction of least favorable functionals\, etc);\n• Examples:\n– high-dimensional and infinite dimensional Gaussian models: functionals of mean and of covariance;\n– log-concave models\, in particular\, log-concave location families;\n– high-dimensional exponential families;\n– nonparametric models\, functionals of unknown density;\n– linear functionals of spectral projections of matrix parameters. \n\n
URL:https://crest.science/event/estimation-of-functionals-of-high-dimensional-parameters-bias-reduction-and-concentration-vladimir-koltchinskii-georgia-institute-of-technology/
LOCATION:2033
CATEGORIES:Doctoral Courses,Statistics
ORGANIZER;CN="Alexandre%20Tsybakov":MAILTO:alexandre.tsybakov@ensae.fr
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240523T093000
DTEND;TZID=Europe/Helsinki:20240523T222000
DTSTAMP:20260710T184958
CREATED:20240214T083551Z
LAST-MODIFIED:20240517T092143Z
UID:16691-1716456600-1716502800@crest.science
SUMMARY:Susana CAMPOS-MARTIN (Oxford University) "Novel Global and Regional Risk Factors"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 09.30 am\nDate: 23th of May 2023\nRoom 3001 \nSusana CAMPOS-MARTIN (Oxford University) “Novel Global and Regional Risk Factors” \nAbsract : A global factor may not be enough to capture worldwide common variation in financial volatilities or correlation of shocks to those volatilities. A two-factor model of financial volatilities is developed to measure the common volatility shocks to sovereign bond indices. We observe that their volatilities are driven by not only a global but also a group-specific\, presumably European\, volatility factor. Some of the events that would have been identified as global\, such as presidential elections\, turn out to have a much lower impact globally. Other events have an amplified effect when group-specific common effects are allowed. European countries are much more impacted by shocks such as the 2016 European Union membership referendum in the United Kingdom than the rest of the world. While the global volatility factor seems to predict global economic crises\, the regional factor shows predictive power for the European sovereign debt crisis. \nJoint work with R.F. Engle \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/susana-campos-martin-oxford-university-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240523T102000
DTEND;TZID=Europe/Helsinki:20240523T231000
DTSTAMP:20260710T184958
CREATED:20240214T083751Z
LAST-MODIFIED:20240517T091000Z
UID:16692-1716459600-1716505800@crest.science
SUMMARY:Gabriele MINGOLI (Vrije Universiteit Amsterdam) "Non-Stationary Factors for Common Bubbles"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10:20 am\nDate: 23th of May 2023\nRoom 3001 \nGabriele MINGOLI (Vrije Universiteit Amsterdam) “Non-Stationary Factors for Common Bubbles” \nAbstract : This paper proposes a novel multivariate time-series model with common stochastic trends and locally explosive mixed causal non-causal dynamics while allowing for idiosyncratic non-stationarities and explosive episodes. This model allows the description of common bubbles in high dimensional settings through common factors\, with every non-stationary process that experience local explosive episodes\, either common or idiosyncratic\, being modeled according to an additive structure between a fundamental value and a bubble component. We provide sufficient conditions for consistency of the estimated factors and parameters. A Monte Carlo simulation confirms the good finite sample properties. An empirical study shows that our approach models correctly bubbles present in the monthly prices of stock from the energy sector. \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/siem-jan-koopman-vu-amsterdam-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240523T112000
DTEND;TZID=Europe/Helsinki:20240523T121000
DTSTAMP:20260710T184958
CREATED:20240517T083243Z
LAST-MODIFIED:20241104T113756Z
UID:17032-1716463200-1716466200@crest.science
SUMMARY:Chiara Colesanti (University of Zurich - LSE\, Grantham Institute)  "A study of nature risk pricing"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 11.20 am\nDate: 23th of May 2024\nRoom 3005 \nChiara Colesanti (University of Zurich – LSE\, Grantham Institute) “A study of nature risk pricing” \nAbstract :We introduce a novel dataset provided by S&P Global that contains company-level information on nature dependence and nature impact. Based on these metrics we construct nature and climate factors. To test whether these factors earn a risk premium\, we rely on a factor-mimicking portfolio approach. We show that whether investors require a premia depends on the specific nature and climate risk considered\, which stressed the importance of using granular information when looking at these risks. \nOrganizers:\n\nPeter TANKOV (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/chiara-colesanti-t-b-a/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240523T121000
DTEND;TZID=Europe/Helsinki:20240523T130000
DTSTAMP:20260710T184958
CREATED:20240517T083537Z
LAST-MODIFIED:20241104T110117Z
UID:17033-1716466200-1716469200@crest.science
SUMMARY:Emanuele Campiglio (University of Bologna) "Warning words in a warming world"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 12.10 pm\nDate: 23th of May 2024\nRoom 3005 \nEmanuele Campiglio (University of Bologna) “Warning words in a warming world” \nAbstract :We study climate-related central bank communication using a novel dataset containing 32\,359 speeches from 131 central banks over the 1986-2021 period. We employ natural language processing techniques to identify three evolving climate-related narratives centered around ‘sustainable development’\, ‘green finance’ and ‘climate-related financial risks’. We find central bank public communication strategies to be primarily driven by underlying institutional factors. Finally\, we study the impact of communication on equity prices and find that firms characterized by better environmental scores benefit from the more frequent and intense engagement of central banks on climate-related topics. \nOrganizers:\n\nPeter TANKOV (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/emanuele-campiglio/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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