ARS Session (Financial) Time Series

Organiser :  In-Kwon YEO
                      Sookmyung Women's University Seoul, Republic of Korea

14h-15h 30      Wednesday, August 25

Chairperson :   In-Kwon YEO       Room :  Abbé Grégoire (C)

261 (slides)
Multivariate stochastic volatility  model with cross leverage
Tsunehiro Ishihara and Yasuhiro Omori
University of Tokyo, Japan

156 
Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method
Jiazhu Pan¹, Wolfgang Polonik² and Qiwei Yao^3
1University of Strathclyde, United Kingdom
²University of California at Davis, United States
³ London School of Economics, United Kingdom
 
42 
Semiparametric Seasonal Cointegrating Rank Selection
Byeongchan Seong¹, Sung K. Ahn² and Sinsup Cho^3
1Chung-Ang University, Republic of Korea
²Washington State University, United States
³Seoul National University, Republic of Korea