VTSS
VTSS
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Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions
Speaker: Stefán Guðmundsson (Aarhus)
Guest Panellist: Bjarni Einarsson (Central Bank of Iceland)
Переглядів: 23

Відео

Common Trends and Long-Run Identification in Nonlinear Structural VARs1:03:33Common Trends and Long-Run Identification in Nonlinear Structural VARs
Common Trends and Long-Run Identification in Nonlinear Structural VARs
Переглядів 11119 годин тому
Speaker: James Duffy (Oxford) Guest Panellist: Peter Boswijk (Amsterdam)
Intervention analysis, causality and generalized impulse responses in VAR models: theory & inference56:30Intervention analysis, causality and generalized impulse responses in VAR models: theory & inference
Intervention analysis, causality and generalized impulse responses in VAR models: theory & inference
Переглядів 6714 днів тому
Speaker: Jean-Marie Dufour (McGill) Guest Panellist: Carlos Velasco (UC3M)
High-Dimensional Dynamic Factor Models: A Selective Survey1:00:56High-Dimensional Dynamic Factor Models: A Selective Survey
High-Dimensional Dynamic Factor Models: A Selective Survey
Переглядів 10421 день тому
Speaker: Manfred Deistler (Vienna) Guest Panellist: Marco Lippi (EIEF)
Optimal Granular Instrumental Variables55:57Optimal Granular Instrumental Variables
Optimal Granular Instrumental Variables
Переглядів 7928 днів тому
Full Title: Optimal Granular Instrumental Variables: Sequential Estimation of Long Panels with Finite Cross Section Speaker: Kenichi Nagasawa (Warwick) Guest Panellist: Prosper Dovonon (Concordia)
Testing Predictive Accuracy with Penalized Regression49:16Testing Predictive Accuracy with Penalized Regression
Testing Predictive Accuracy with Penalized Regression
Переглядів 46Місяць тому
Speaker: Valentina Corradi (Surrey) Guest Panellist: Daniele Massacci (KCL)
Efficient two-sample instrumental variable estimators with change points & near-weak identification59:23Efficient two-sample instrumental variable estimators with change points & near-weak identification
Efficient two-sample instrumental variable estimators with change points & near-weak identification
Переглядів 62Місяць тому
Speaker: Bertille Antoine (Simon Fraser) Guest Panellist: Daniel Lewis (UCL).
Perceived shocks and impulse responses46:48Perceived shocks and impulse responses
Perceived shocks and impulse responses
Переглядів 1742 місяці тому
Speaker: Raffaella Giacomini (UCL). Guest Panellist: Tatevik Sekhposyan (TAMU)
Inference on breaks in weak location models with quasi Fisher scores1:01:20Inference on breaks in weak location models with quasi Fisher scores
Inference on breaks in weak location models with quasi Fisher scores
Переглядів 802 місяці тому
Speaker: Lorenzo Trapani (Leicester) Guest Panellist: Alessandro Casini (Rome Tor Vergata)
Conformal Quantile Estimation in Economics18:44Conformal Quantile Estimation in Economics
Conformal Quantile Estimation in Economics
Переглядів 4227 місяців тому
Speaker: Martin Fankhauser (Bocconi)
The causal interpretation of Panel Vector Autoregressions17:16The causal interpretation of Panel Vector Autoregressions
The causal interpretation of Panel Vector Autoregressions
Переглядів 2137 місяців тому
Speaker: Raimondo Pala (Rome Tor Vergata)
NIRVAR: Network Informed Restricted Vector Autoregression19:39NIRVAR: Network Informed Restricted Vector Autoregression
NIRVAR: Network Informed Restricted Vector Autoregression
Переглядів 987 місяців тому
Speaker: Brendan Martin (Imperial)
Integration of European electricity markets in a reverse mixed-frequency panel17:26Integration of European electricity markets in a reverse mixed-frequency panel
Integration of European electricity markets in a reverse mixed-frequency panel
Переглядів 497 місяців тому
Speaker: Andrea Viselli (Milan)
Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models16:56Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models
Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models
Переглядів 387 місяців тому
Speaker: Sinian Zheng (UCD)
An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity20:27An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity
An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity
Переглядів 437 місяців тому
Speaker: Andrey Ramos (UC3M)
Asymptotic Properties of the MLE for Markov-switching Observation-driven Models17:35Asymptotic Properties of the MLE for Markov-switching Observation-driven Models
Asymptotic Properties of the MLE for Markov-switching Observation-driven Models
Переглядів 947 місяців тому
Asymptotic Properties of the MLE for Markov-switching Observation-driven Models
New rank-based tests and estimators for Common Dynamic Factors17:13New rank-based tests and estimators for Common Dynamic Factors
New rank-based tests and estimators for Common Dynamic Factors
Переглядів 317 місяців тому
New rank-based tests and estimators for Common Dynamic Factors
Estimating high-dimensional Markov-switching VARs18:21Estimating high-dimensional Markov-switching VARs
Estimating high-dimensional Markov-switching VARs
Переглядів 1007 місяців тому
Estimating high-dimensional Markov-switching VARs
Realized Candlestick Wicks19:37Realized Candlestick Wicks
Realized Candlestick Wicks
Переглядів 407 місяців тому
Realized Candlestick Wicks
Intraday Variation in Systematic Risks and Information Flows23:35Intraday Variation in Systematic Risks and Information Flows
Intraday Variation in Systematic Risks and Information Flows
Переглядів 967 місяців тому
Intraday Variation in Systematic Risks and Information Flows
Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction1:16:27Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction
Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction
Переглядів 1257 місяців тому
Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction
The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models1:02:18The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models
The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models
Переглядів 1408 місяців тому
The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models
Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation58:39Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation
Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation
Переглядів 838 місяців тому
Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation
Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity1:01:07Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Переглядів 2618 місяців тому
Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Auto-Distance Covariance Function for Time Series Analysis53:18Auto-Distance Covariance Function for Time Series Analysis
Auto-Distance Covariance Function for Time Series Analysis
Переглядів 809 місяців тому
Auto-Distance Covariance Function for Time Series Analysis
Nonparametric Estimation of Trawl Processes: Theory and Applications52:27Nonparametric Estimation of Trawl Processes: Theory and Applications
Nonparametric Estimation of Trawl Processes: Theory and Applications
Переглядів 1059 місяців тому
Nonparametric Estimation of Trawl Processes: Theory and Applications
Unravelling Dynamic Interactions of Economic Activity and Climate Change1:04:12Unravelling Dynamic Interactions of Economic Activity and Climate Change
Unravelling Dynamic Interactions of Economic Activity and Climate Change
Переглядів 21811 місяців тому
Unravelling Dynamic Interactions of Economic Activity and Climate Change
Inference in Non-stationary High-Dimensional VARs1:00:51Inference in Non-stationary High-Dimensional VARs
Inference in Non-stationary High-Dimensional VARs
Переглядів 20111 місяців тому
Inference in Non-stationary High-Dimensional VARs
Explicit Minimal Representation of Variance Matrices and Implication for Dynamic Volatility Models52:56Explicit Minimal Representation of Variance Matrices and Implication for Dynamic Volatility Models
Explicit Minimal Representation of Variance Matrices and Implication for Dynamic Volatility Models
Переглядів 120Рік тому
Explicit Minimal Representation of Variance Matrices and Implication for Dynamic Volatility Models
Bootstrapping GMM tests for an Unknown Threshold58:14Bootstrapping GMM tests for an Unknown Threshold
Bootstrapping GMM tests for an Unknown Threshold
Переглядів 133Рік тому
Bootstrapping GMM tests for an Unknown Threshold

КОМЕНТАРІ

  • @curtiskennedy1481
    @curtiskennedy1481 11 місяців тому

    *PromoSM* 🍀

  • @ay5960
    @ay5960 Рік тому

    I would be interested to know, what are the cointegration coefficients between the time series? Are they supposed to be given eigenvectors of the product of the four matrices? (doesn't seem to be the case)

  • @ay5960
    @ay5960 Рік тому

    Is the third matrix among the four (page 10) X_{-1}M \Delta X^{t}? instead of the way it is written? the delta X should be transposed I think?

  • @rvanegasp
    @rvanegasp Рік тому

    how funny! with data science and data models , these human biased mathematical verbatim is now obsolete

  • @pshr2447
    @pshr2447 Рік тому

    thanks!

  • @sojinlee2665
    @sojinlee2665 2 роки тому

    I would really like to watch this talk, but the video seems all broken..

    • @ovtss
      @ovtss 2 роки тому

      Hi sojin lee, the video is working fine. Please check your settings.

  • @mathiasbarding8542
    @mathiasbarding8542 2 роки тому

    Exciting stuff!