Sumários
Affina processes
21 Outubro 2024, 17:30 • Szabolcs Sebestyén
Affine Processes: Overview
Continuous-Time Affine Processes
Discrete-Time Affine Processes
Transforms For Affine Processes
Model specification and estimation strategies
14 Outubro 2024, 19:00 • Szabolcs Sebestyén
MCMC applications
- Geometric Brownian motion
- Time-varying equity premium
- Stochastic volatility
Model specification and estimation strategies
14 Outubro 2024, 17:30 • Szabolcs Sebestyén
Kalman filtering
- Application: Stock and Watson's dynamic factor model
- A more efficient algorithm
Model specification and estimation strategies
7 Outubro 2024, 19:00 • Szabolcs Sebestyén
Kalman filtering
- State-space models
- The linear Kalman filter
Model specification and estimation strategies
7 Outubro 2024, 17:30 • Szabolcs Sebestyén
MCMC estimation of DAPMs
- Metropolis-Hastings