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.

Feel free to forward this announcement to your colleagues.

Best Regards,