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Workshop on score-driven time series models (27-29 March 2019)

When Mar 27, 2019 04:00 PM to
Mar 29, 2019 01:00 PM
Where Winstanley lecture theatre, Trinity College, Cambridge
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Workshop on Score-driven Time Series Models

 

Organisers: Francisco Blasques, Andrew Harvey, Siem Jan Koopman, 
Andre Lucas

Registration is now closed

There will be a dinner at Corpus Christi College on March 28 2019 

Click here to see the 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