Econometrics seminar

Carlos Lamarche (University of Kentucky)   "Partitioned Wild Bootstrap for Panel Data Quantile Regression (joint work with Antonio Galvao and Tom Parker)"   Face-to-face Seminar - Room 15.1.39

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)   "A Non-Crossing Quantile and Expected Shortfall Regression" Abstract: Recently proposed joint and two-step estimators for Expected Shortfall (ES) and Value-at-Risk (VaR) regressions often exhibit crossings of the estimated regression functions in finite samples, analogous to the classical quantile crossing problem. We propose an M-estimator for joint VaR and ES regression […]

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