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Workshop

Tinbergen Institute Time Series Econometrics Theory Workshop

  • Series
    Econometrics 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)
  • Field
    Econometrics
  • Location
    Vrije 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