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Frederik KRABBE (Aarhus University) “Causal Non-causal State Space Models and the Modelling of Financial Bubbles”
Finance-Insurance Time: 10.00 am Date:02th of April 2026 Room 3001 Frederik KRABBE (Aarhus University) "Causal Non-causal State Space Models and the Modelling of Financial Bubbles" Abstract : In this paper, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock […]
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Gilles DE TRUCHIS DE VARENNE (LEO) “Prediction of bubbles in presence of alpha-stable aggregates moving averages”
Finance-Insurance Time: 11.00 am Date:02th of April 2026 Room 3001 Gilles DE TRUCHIS DE VARENNE (LEO) "Prediction of bubbles in presence of alpha-stable aggregates moving averages" Abstract : Financial markets frequently exhibit dramatic episodes where asset prices undergo rapid growth followed by abrupt collapses, that are incompatible with standard linear time series models. While anticipative […]
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