10:00 am
Andre LUCAS (VU Amsterdam) “Consistency, distributional convergence, and optimality of score-driven filters
Finance & Financial Econometrics : Time: 10.00 am Date: 04th of April 2024 Room 3001 Andre LUCAS (VU Amsterdam) "Consistency, distributional convergence, and optimality of score-driven filters" Abstract : We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) […]
Find out more »Anne BELLON (University of Technology of Compiègne) – Careers linking fields. Ministerial special advisers and the government’s field environment
Sociology seminar - Thursdays Time: 10:00 am - 11:00 am Date: 4th April 2024 Place: room 3060 Anne BELLON (University of Technology of Compiègne) - Careers linking fields. Ministerial special advisers and the government’s field environment Abstract: While the social influence of the state over society is a common assumption in sociology, the mechanisms […]
Find out more »11:00 am
Leopoldo CATANIA (Aarhus University) ” A new way to Regime Switching Autoregressions
Finance & Financial Econometrics : Time: 11.00 am Date: 04th of April 2024 Room 3001 Leopoldo CATANIA (Aarhus University) "A new way to Regime Switching Autoregressions" Abstract : We discuss a new way to construct Regime Switching Autoregressions making use of a non-Markovian unobserved process. We show that, in a special case, the likelihood implied […]
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