Keynote speakers
Keynote speakers
Professor Luis Alberiko Gil-Alaña
University of Navarra, Spain
Professor Luis Alberiko Gil-Alaña is a Faculty Fellow of the Navarra Center for International Development and a full Professor of Econometrics and Quantitative Methods in the School of Economics and Business Administration at the University of Navarra. He completed his Ph.D. at the London School of Economics, in 1997, in the area of Econometrics and Quantitative Methods. He obtained the Ely Devons prize in Econometrics at the LSE in 1993. He has also been researcher at the European University Institute, the London Business School and the Humboldt Univesität zu Berlin. He has published extensively in theoretical and applied econometrics and also in macroeconomics with an emphasis on financial economics. Most recently he has published in the International Journal of Finance and Economics, Journal of Banking and Finance, Journal of Time Series Analysis, Journal of Forecasting, Theoretical and Applied Climatology, Energy Economics, Resources Policy, Annals of Tourism Research and the Journal of International Development.
TITLE OF THE TALK: FRACTIONAL INTEGRATION AND COINTEGRATION IN FINANCIAL TIME SERIES DATA
Summary: We examine financial time series modeling using new approaches based on the concepts of fractional integration and cointegration. With respect to the univariate work, these methods depart from the conventional approaches based on stationary I(0) and nonstationary I(1) by allowing the number of differences to be a fractional value. We extend these models in several fronts, including structural breaks, non-linearities, seasonality, cyclicity, volatilities, etc. An overview of the applications of these techniques to financial time series will also be conducted. In particular, we examine variables such as stock market prices, returns, and their associated volatilities measured in terms of squared and absolute value returns; dividens, earnings, a consumer price index and a long term interest rate. With respect to the multivariate work, the most recent techniques based on fractional cointegration will be examined, including stationary and nonstationary weak and strong cointegration.
Professor Jean-Marc Bardet
Université Paris 1 - Panthéon-Sorbonne, France
Short Bio: Jean-Marc Bardet is a full professor of applied mathematics in University Paris 1-Panthéon-Sorbonne since 2003. He completed his Ph.D. at the University Paris Sud-Orsay in 1997 under the supervision of D. Dacunha-Castelle. He also was an assistant professor in University Toulouse 3. His main thematics of research is "limit theorems, statistics and applications for time series and stochastic processes". He has published several articles in Annals of Statistics, Bernoulli, Stochastic Processes and Applications, Electronic Journal of Statistics, Journal of Time Series Analysis, Journal of Multivariate Analysis ...
TITLE OF THE TALK: OFFLINE AND ONLINE MULTIPLE CHANGE DETECTION FOR CAUSAL TIME SERIES
Summary: consider time series belonging to a large class of causal models including, AR(∞), ARCH(∞), TARCH(∞), ARMA-GARCH(∞) processes. We first suppose that certain parameters of a fixed model change at each break-point and that there is a number K of changes, K unknown. It can be underlined that after a change-point, the model depends on previous data built with other parameters. Therefore between two successive break-points, the time series is generally not stationary. All the unknown parameters (K, the change dates and the successive parameters of the model) are estimated using a penalized contrast built from a Gaussian quasi-likelihood. Under conditions, we show that we obtain the same convergence rates that in the case of independent random variables. Numerically, we added a data-driven procedure of choice of the penalty which allows to obtain extremely convincing results. We secondly consider a sequential procedure for detecting changes in parameters of causal time series. In this framework, we construct a test statistics based on Gaussian log-likelihood and we study its asymptotic behavior. Simulations are also realized.
(Joint works with William Kengne (Cergy) and Olivier Wintenberger (Paris 6))