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Enzo d’INNOCENZO (Bologna University, Italy) “Score-Driven High-Dimensional Approximate Dynamic Factor Models: Estimation and Inference”
Finance-Insurance Time: 10.00 am Date:08th of January 2025 Room 3049 Enzo D'Innocenzo (Bologna University, Italy) "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 to model […]
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Shixuan WANG (University of Reading, UK) “Multiscale Change Point Detection for Functional Time Series “
Finance-Insurance Time: 11.00 am Date:08th of January 2026 Room 3049 Shixuan WANG (University of Reading, UK) "Multiscale Change Point Detection for Functional Time Series " Abstract : We study the problem of detecting and localizing multiple changes in the mean parameter of a Banach space–valued time series. The goal is to construct a collection of […]
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