Tinbergen Institute Time Series Econometrics Theory Workshop
SeriesEconometrics Seminars and Workshop Series
Speaker(s)Christian Francq (CREST-ENSAE & University of Lille, France) Andrew Harvey (University of Cambridge, United Kingdom), Alessandra Luati (University of Bologna, Italy and Imperial College London, United Kingdom) and Peter Boswijk (University of Amsterdam)
LocationVrije Universiteit Amsterdam, main building, room HG 2A-33
Date and time
October 18, 2023
14:45 - 17:15
14:45-15:15 Peter Boswijk (University of Amsterdam ), “Characteristic function-based factor modelling of affine jump diffusions using options”, joint paper with Roger Laeven, Niels Marijnen, and Evgenii Vladimirov .
15:15-15:45 Christian Francq (CREST-ENSAE & University of Lille ), "Detection of breaks in weak location time series models with quasi-Fisher scores" joint paper with Lorenzo Trapani and Jean-Michel Zakoian
15:45-16:15 Coffee break
16:15-16:45 Alessandra Luati (University of Bologna & Imperial College London ) “On the optimality of score-driven models ” joint paper with Paolo Gorgi and Sacha Lauria
16:45-17:15 Andrew Harvey (University of Cambridge ) “Forever blowing bubbles: modelling prices from speculative markets"
Janneke van Brummelen
Siem Jan Koopman