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DTSTART:20230326T010000
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DTSTART:20231029T010000
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DTSTART;TZID=Europe/Helsinki:20231207T103000
DTEND;TZID=Europe/Helsinki:20231207T113000
DTSTAMP:20260819T092829
CREATED:20230725T113724Z
LAST-MODIFIED:20231103T133341Z
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SUMMARY:Massimiliano CAPORIN (Univ. Padova) "Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10.30 am\nDate: 07th of December 2023\nRoom 3001 \nMassimiliano CAPORIN (Univ. Padova) “Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach” \nAbstract : We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. We propose a post forecasting approach that utilizes bottom-up and regression-based reconciliation methods. By using data referred to the Dow Jones Industrial Average Index and to its constituents we show that exploiting the informative content of hierarchies improves the forecast accuracy. Forecasting performance is evaluated out-of-sample based on the empirical MSE and QLIKE criteria as well as using the Model Confidence Set approach. \nJoint work with : T. Di Fonzo\, and D. Girolimetto \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/massimiliano-caporin-univ-padova-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20231207T113000
DTEND;TZID=Europe/Helsinki:20231207T123000
DTSTAMP:20260819T092829
CREATED:20230725T113837Z
LAST-MODIFIED:20231103T133323Z
UID:15293-1701948600-1701952200@crest.science
SUMMARY:Weifeng JIN (Univ.  of Barcelona ) "Estimation of Time Series Models Using the Empirical Distribution of Residuals"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11.30 am\nDate: 07th of December 2023\nRoom 3001 \nWeifeng JIN (Univ. of Barcelona ) “Estimation of Time Series Models Using the Empirical Distribution of Residuals” \nAbstract : Nonfundamental representations of univariate processes have been applied in the fields of Macroeconomics and Finance to describe nonlinear dynamics resulting from future shocks. This paper introduces a novel estimation technique for general linear time series models\, potentially noninvertible and noncausal\, by utilizing the empirical cumulative distribution function of residuals. The proposed method relies on the generalized spectral cumulative function to characterize the pairwise dependence of residuals at all lags. Model identification can be achieved by exploiting the information in the joint distribution of residuals under the iid assumption. The asymptotic properties of the estimates are investigated without imposing stringent conditions on the higher-order moments or any distributional assumptions on the innovations beyond non-Gaussianity. We also explore finite sample properties through Monte Carlo simulations. Some empirical applications are provided to illustrate the competence of noncausal processes in modeling clustering volatility and local explosiveness. \n\nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/weifeng-jin-univ-of-barcelona-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20231207T120000
DTEND;TZID=Europe/Helsinki:20231207T133000
DTSTAMP:20260819T092829
CREATED:20231025T131200Z
LAST-MODIFIED:20231120T133005Z
UID:16161-1701950400-1701955800@crest.science
SUMMARY:Loïc Wacquant - In Praise of "Thick Construction" in Ethnography
DESCRIPTION:Sociology seminar – Thursdays\nTime: 12:00 pm – 1:30 pm \nDate: 7th December 2023\nPlace: room 3105 \nZOOM  : https://zoom.us/j/98771927131?pwd=NHorM3ZNWWlkd0cxMjlqMEhoTStoZz09 \nLoïc Wacquant – In Praise of “Thick Construction” in Ethnography\n  \nAbstract: \nWhat are the specific virtues and perennial dangers of ethnography as an “embedded and embodied” modality of social inquiry and analysis. I recapitulate a full century of urban ethnography in the United States\, the worldwide hegemonic pole in this domain\, to elaborate a neo-Bourdieusian approach I call “thick construction” by opposition to Clifford Geertz’s “thick description.” I review the five fallacies of “ethnographism” and I illustrate how to fuse theory and empirics\, reason and observation\, model and data with examples drawn from a recent field project on the crafting of law in the criminal court of a California county. \n  \nOrganizers: Annina Cleasson\, Paola Tubaro\, Patrick Präg (CREST Sociology unit) \n  \nSponsors: CREST \n  \n
URL:https://crest.science/event/lea-pessin-ensae-crest-racial-ethnic-stratification-in-work-family-strategies-among-black-hispanic-and-white-couples/
CATEGORIES:Seminars,Sociology
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