11:00 am
Benjamin POIGNARD (Osaka University) – “Factor multivariate stochastic volatility models”
Finance & Financial Econometrics : Time: 11.00 am Date: 28th of March 2023 Room 3001 Benjamin POIGNARD (Osaka University) - "Factor multivariate stochastic volatility models" Abstract :Factor modelling provides a pertinent compromise between parsimony and flexibility when specifying the co-movements of high-dimensional random vectors. We accommodate a factor structure on multivariate stochastic volatility (MSV) models […]
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Antoine MAILLARD (ETH Zurich) – From the theory of disordered systems to the mathematics of data science
Statistical Seminar: Every Monday at 2:00 pm. Time: 2:00 pm - 3:15 pm Date: 28th March 2024 Place : 3001 Antoine MAILLARD (ETH Zurich) - From the theory of disordered systems to the mathematics of data science Abstract: I will introduce a connection between statistical learning or high-dimensional inference, and models of statistical mechanics […]
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