[Forum SIS] Avviso di seminario: DeLuca a DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)

[Fulvia Pennoni]

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Dipartimento di Statistica e Metodi Quantitativi
Via Bicocca degli Arcimboldi, 8 - 20126 Milano
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“Dependence structure in multivariate time-series and copula functions”

Prof. Gianni De Luca
Professor in Economic Statistics at Department of Management and 
Quantitative Studies,
University of Naples "Parthenope",
Naples (Italy)

Venerdi’ 16 Settembre 2016 ore 12.00  Ed. U7  IV piano  (stanza 4054)
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Abstract:

Copula functions are largely used for describing the dependence 
structure of multivariate time series. The success is due to their high 
flexibility.
The dependence structure is defined separately from the marginal 
distributions.
Moreover, different copulas with the same linear correlation can exhibit 
very different dependence between extreme values.
In this seminar an overview of the copula functions is provided 
considering both the class of Archimedean copulas and the class of 
elliptical copulas.
The most popular estimation strategies are commented. Finally, two 
applications in financial econometrics are presented: a bivariate GARCH 
model with the joining distribution
of the returns described by a copula function and a clustering of 
financial time series given tail dependence-based dissimilarity measures.
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Si allega la locandina.

Cordiali saluti

Fulvia Pennoni




-- 
Fulvia Pennoni
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
http://www.statistica.unimib.it/utenti/pennoni/

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