Tinbergen Institute Time Series Econometrics Theory Workshop
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SeriesEconometrics Seminars and Workshop Series
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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)
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FieldEconometrics
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LocationVrije Universiteit Amsterdam, main building, room HG 2A-33
Amsterdam -
Date and time
October 18, 2023
14:45 - 17:15
Program
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"
Organizers
Francisco Blasques
Janneke van Brummelen
Paolo Gorgi
Siem Jan Koopman