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:
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