• Graduate Program
    • Why study Business Data Science?
    • Program Outline
    • Courses
    • Course Registration
    • Admissions
    • Facilities
  • Research
  • News
  • Events
  • Alumni
Home | Events | Tinbergen Institute Time Series Econometrics Theory Workshop
Workshop

Tinbergen Institute Time Series Econometrics Theory Workshop


  • Series
  • Speakers
    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)

TBA

16:45-17:15 Andrew Harvey (University of Cambridge)

TBA

Organizers

Francisco Blasques

Janneke van Brummelen

Paolo Gorgi

Siem Jan Koopman