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X-WR-CALDESC:Events for CREST
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DTSTART:20250330T010000
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DTSTART:20251026T010000
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DTSTART;TZID=Europe/Helsinki:20250626T100000
DTEND;TZID=Europe/Helsinki:20250626T110000
DTSTAMP:20260817T115245
CREATED:20250321T110443Z
LAST-MODIFIED:20250619T134113Z
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SUMMARY:Jian CHEN (University of Sussex Business School)  "Group Network Multivariate GARCH"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:26th of June 2025\nRoom 3001 \nJian CHEN (University of Sussex Business School) “Group Network Multivariate GARCH” \nAbstract : Traditional multivariate generalised autoregressive conditional heteroskedasticity (GARCH) models (e.g.\, BEKK\, DCC model) often suffer from the curse of dimensionality. A group network multivariate GARCH model is proposed in which the transitions of past variance and return shocks among assets are subject to an adjacency matrix and a latent group structure. This approach significantly reduces the number of parameters in high dimensions\, thus facilitating estimation and forecasting. The theoretical properties of an estimator are developed that uses an optimisation algorithm estimating parameters and group memberships simultaneously. Simulation results confirm our theoretical findings. An empirical analysis is conducted on the S&P 100 constituents from 2015 to 2022 and shows that the model improves portfolio selection in out-of-sample forecasts compared to other models. \nJoint work : Weidong Ma\, University of Pennsylvania\, Ganggang Xu\, University of Miami \n  \n
URL:https://crest.science/event/jian-chen-university-of-sussex-business-school-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20250626T110000
DTEND;TZID=Europe/Helsinki:20250626T120000
DTSTAMP:20260817T115245
CREATED:20250321T110708Z
LAST-MODIFIED:20250611T084352Z
UID:17992-1750935600-1750939200@crest.science
SUMMARY:Gilles DE TRUCHIS (University de Nanterre)  "Prediction of bubbles in presence of alpha-stable aggregates moving averages"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate:26th of June 2025\nRoom 3001 \nGilles DE TRUCHIS (University de Nanterre) “Prediction of bubbles in presence of alpha-stable aggregates moving averages” \nAbstract : Financial markets frequently exhibit boom-and-bust cycles that are incompatible with standard linear time series models. While anticipative heavy-tailed linear processes offer a promising alternative for modeling such phenomena\, they impose uniform bubble patterns across different episodes\, contradicting empirical evidence. This paper introduces a new model based on $\alpha$-stable moving average aggregates that accommodates heterogeneous bubble dynamics. We establish the theoretical properties of this model\, demonstrating that it admits a semi-norm representation on a unit cylinder\, thereby enabling the prediction of extreme trajectories with varying growth dynamics. We develop a minimum distance estimation procedure based on the joint characteristic function and establish its asymptotic properties. Monte Carlo simulations confirm the estimator’s good finite-sample performance across various specifications. Our empirical application to the CBOE Crude Oil ETF Volatility Index successfully decomposes observed volatility dynamics into distinct components with different persistence properties\, revealing that what appears as a single bubble episode actually consists of multiple superimposed processes with heterogeneous growth rates and crash probabilities.\n \nOrganizers:  Jean-David FERMANIAN \n  \n
URL:https://crest.science/event/gilles-de-truchis-university-de-nanterre-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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