unisa ITA  unisa ENG


Frontiers in Time Series Analysis with Applications to Economics and Finance

Program

  • 09:30 - 10:00  Registration/opening
  • 10:00 - 11:00  Soren Johansen, University of Copenhagen and CREATES.
    "Likelihood inference for a vector autoregressive model for fractional and cofractional processes"
  • 11:00 - 11:15 Coffee Break
  • 11:15 - 12:15 Luc Bauwens, Université Catholique de Louvain.
    "Incorporating structural breaks in GARCH models"
  • 12:15 - 12:30 Coffee Break
  • 12:30 - 13:30 Wolfgang Härdle, Humboldt-Universitat zu Berlin.
    "CoVar with very high dimensional risk factor"
  • 13:30 - 15:00 Lunch & Poster Session
  • 15:00 - 16:00 Giampiero Gallo, Università di Firenze.
    "Regimes and Components in Volatility Modeling"
  • 16:00 - 16:15 Coffee Break
  • 16:15 - 17:15 Christian Hafner, Université Catholique de Louvain.
    "A new approach to multivariate volatility modelling"
  • 17:15 - 17:30 Closing