Dear all,

Professor Mark Podolskij (https://wwwen.uni.lu/research/fstm/dmath/people/mark_podolskij) will give a seminar on Thursday, April 20 at noon in room 205:

Title 

On Estimation of the Maximal Rank of Stochastic Volatility

 Abstract
In this talk we address the question of how many Brownian motions are required to model a multivariate price process of diffusion type. It turns out that this question is equivalent to estimation of the maximal rank of the volatility component. We solve this mathematical problem in the high frequency regime and provide a formal estimation and testing procedure. If the time allows we touch upon high dimensional aspects of the problem.

 Please, find here the link to the seminar virtual room:

Link room 205 B: https://luiss.webex.com/luiss-en/j.php?MTID=me3d961dc4b3575085d5d4b6a304e2ded

 guest username: w_guest@luiss.it

                     pw : i7G3HiAKq2Q

Best regards,

Sara