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The Cambridge-INET Institute

 

 

Conference details


Organisers:

Francisco Blasques
Andrew Harvey
Siem Jan Koopman
Andre Lucas

Dates: 27th - 29th March 2019

Venue: Winstanley lecture theatre, Trinity College, Cambridge

Programme:

Download Programme pdf


Slides:

Modeling directional (circular) time series, Andrew Harvey (with Stan Hurn and Stephen Thiele)

Hawkes Processes – with applications to High Frequency Finance, Paul Embrechts (joint work with Matthias Kirchner)

Papers:

A nonparametric dynamic causal model for macroeconometrics, Ashesh Rambachan and Neil Shephard, 2019.

Hawkes graphs, Paul Embrechts and Matthias Kirchnery, 2017