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

Speaker:  Giacomo Bormetti - University of Bologna
  Thursday, September 27, 2018 at 12:00 PM 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.

Programme Director
Roberto Renò

Publication date
September 11, 2018