All Day
Alessandra Luati (Imperial College London): “Inference in Time-Varying Parameter Models”
Alessandra Luati (Imperial College London): "Inference in Time-Varying Parameter Models 31/03/2025 - 03/04/2025 - 07/04/2025 - 10/04/2025 Referent: Christian Francq
Find out more »10:00 am
Alessandra LUATI ( Imperial College) “Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models”
Finance-Insurance Time: 10.00 am Date: 03th of April 2025 Room 3001 Alessandra LUATI ( Imperial College) "Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models" Abstract : State estimation in unobserved component models with parameter uncertainty is traditionally performed through approximate filters, where Gaussian distributions with given moments are employed to replace otherwise intractable […]
Find out more »11:00 am
Mattheo BARIGOZZI (Università di Bologna) “Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference”
Finance-Insurance Time: 11.00 am Date: 03th of April 2025 Room 3001 Mattheo BARIGOZZI (Università di Bologna) "Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference" Abstract : We propose a dynamic factor model for high-dimensional time series where the dynamics of the latent factors is non-linear and generated by a multivariate score-driven model, thus allowing […]
Find out more »