Giacomo Bormetti (Università di Bologna) on "Modeling correlation dynamics with canonical Vines" (Brown Bag Seminar)

Speaker
 Giacomo Bormetti - University of Bologna

Date
 Sep 27, 2018 - Time: 12:00 Polo Santa Marta, Via Cantarane 24, Sala Vaona

When modeling correlation dynamics, tackling the issue of positive definiteness is a challenging task. 
At high frequencies in a multivariate financial setting, observational noise and asynchronicity makes the goal even more difficult. 
After reviewing different observation-driven approaches available in literature, I will focus on a recently proposed modeling framework based on regular vines.
Data pubblicazione
Sep 11, 2018

Contact person
Roberto Renò
Department
Economics