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SUMMARY:Masterclass with Wolfgang Härdle (28 - 29 May) - Wolfgang Karl Ha
 erdle (Humboldt\, Berlin)
DTSTART:20140528T083000Z
DTEND:20140528T160000Z
UID:TALK52708@talks.cam.ac.uk
CONTACT:Cambridge-INET Institute\, Faculty of Economics
DESCRIPTION:Class Title: Copulae and time varying non Gaussian Dependency 
 Structures\nTime-varying and non-Gaussian dependencies for multivariate ti
 me-series are in demand for many economic models.  Current models availabl
 e suffer from the misfortune of dimensionality or restrictive assumptions 
 on the parameters and the distribution.  New promising classes of models a
 re copulae that allow for non-exchangeable and non Gaussian dependency str
 uctures with a small number of parameters.  For Hierarchical Archimedean C
 opulae (HAC) a novel adaptive estimation technique based on Local Likeliho
 od Approximation (LPA) for the parameters and of the structure of HAC in a
  time varying context is presented.  Typical applications are in the finan
 cial field but also more recently in the spatial analysis of climate param
 eters.  An analysis of time varying dependency structure of stock indices 
 and exchange rates reveals periods with constant and turmoil dependencies.
   The economic significance of the suggested modelling is evaluated using 
 Value-at-Risk of a portfolio and the correction of the implied correlation
  smile of\, for example\, CDO’s.  
LOCATION:Winstanley Lecture Theatre\, Trinity College\, Cambridge CB2 1TQ
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