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
"Multivariate stochastic volatility model with cross leverage" Tsunehiro Ishihara and Yasuhiro Omori
University of Tokyo, Japan
"Estimating Factor Models for Multivariate Volatilities: An Innovation Expansion Method" Jiazhu Pan1, Wolfgang Polonik2 and Qiwei Yao3 1University of Strathclyde, United Kingdom 2University of California at Davis, United States 3
London School of Economics, United Kingdom
"Semiparametric Seasonal Cointegrating Rank Selection" Byeongchan Seong1, Sung K. Ahn2 and Sinsup Cho3 1Chung-Ang University, Republic of Korea 2Washington State University, United States 3Seoul National University, Republic of Korea