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Jian CHEN (University of Sussex Business School) “Group Network Multivariate GARCH”
Finance-Insurance Time: 10.00 am Date:26th of June 2025 Room 3001 Jian CHEN (University of Sussex Business School) "Group Network Multivariate GARCH" Abstract : 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 […]
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Gilles DE TRUCHIS (University de Nanterre) “Prediction of bubbles in presence of alpha-stable aggregates moving averages”
Finance-Insurance Time: 11.00 am Date:26th of June 2025 Room 3001 Gilles DE TRUCHIS (University de Nanterre) "Prediction of bubbles in presence of alpha-stable aggregates moving averages" Abstract : 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 […]
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