Relatore:
Giacomo Bormetti
- University of Bologna
giovedì 27 settembre 2018
alle ore
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.
