Dear all,

On Thursday 27 September 2018 at 12.00 - Polo Santa Marta, Via Cantarane 24, Sala Vaona

Prof. Giacomo Bormetti - University of Bologna

will give the seminar 

"Modeling correlation dynamics with canonical Vines"

Abstract:

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.

Please also find attached the full list of our Finance seminars.