Tinbergen Institute Time Series Econometrics Theory Workshop

Series

Econometrics Seminars and 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 ) “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