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Home | Events | Workshop on Developments in observation-driven time series models
Workshop

Workshop on Developments in observation-driven time series models

  • Series
    Econometrics Seminars and Workshop Series
  • Speakers
    Alessandra Luati (University of Bologna, Italy and Imperial College London, United Kingdom), Sébastien Laurent (Aix-Marseille University, France), and Dick van Dijk (Erasmus University Rotterdam)
  • Field
    Econometrics
  • Location
    Tinbergen Institute Amsterdam, room 1.01
    Amsterdam
  • Date and time

    March 24, 2025
    16:30 - 18:00

Program

16:30 -17:00 Alessandra Luati (University of Bologna & Imperial College London),

Title: TBA

17:00-17:30 Sébastien Laurent (IAE Aix-en-Provence & Aix-Marseille Université),

“Penalized QMLE and model selection of time series regressions”

joint paper with Christian Francq and Julie Schnaitmann

17:30-18:00 Dick van Dijk (Erasmus University Rotterdam)

“Implicit score-driven filters”