Events

Christian Francq (ENSAE)   "Realized autoregressive conditional betas by Mariia Artemova, Christian Francq and Sébastien Laurent" We propose a new model called RACB (Realized Autoregressive Conditional Beta) to model the dynamics of slope parameters (or betas) in a linear regression model with heteroscedastic errors. The proposed model is a quasi score-driven model obtained by modelling […]

Timo Dimitriadis (University Frankfurt)   "TBA"   Face to face 15.2.71  -  Room 15.1.39

Yannick Hoga (Universität Duisburg-Essen)   "Tail Index Regression for Extremal Dependence" (joint work with Paulo M. M. Rodrigues from Banco de Portugal and NOVA School of Business and Economics)"  Face to Face Room 15.2.71   -   Room 15.1.39