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

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.

Referente
Roberto Renò

Referente esterno
Data pubblicazione
11 settembre 2018

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