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<title>SEMINARIO di Arnoldo Frigessi - Pair Copula Construction: an
introduction to models and inference </title>
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*********AVVISO DI SEMINARIO************<br>
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Sorry for cros-posting<br>
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<font color="#000080"><font face="Arial"><span style="font-size:
12pt;">A tutti gli interessati, <br>
</span></font></font><font face="Arial"><span style="font-size:
12pt;"><br>
<font color="#000090">nell’ambito del Dottorato in Metodi
Statistici per l’Economia e l’Impresa,</font> <font
color="#000090">presso il Dipartimento di Economia – Via
Silvio D’Amico 77, Roma</font> <font color="#000090">si terrà
il seminario<br>
<b> <br>
</b></font><b><font color="#800000">Pair Copula Construction:
an introduction to models and inference</font></b><font
color="#800000"> <br>
</font> <br>
<font color="#000090">Arnoldo Frigessi</font> <br>
</span><font color="#000090"><span style="font-size: 11pt;"><i>Director
"Statistics for Innovation" University of Oslo, Norway</i></span></font><span
style="font-size: 12pt;"> <br>
<font color="#000090"> <br>
<b>Martedì 7 dicembre 2010 ore 15.00 aula 24 (3° piano)<br>
</b> <br>
</font></span><font color="#000090"><font size="2"><span
style="font-size: 10pt;"><b>Abstract<br>
</b>We show how multivariate data, which exhibit complex
patterns of dependence - especially but not solely in the
tails - can be modelled using a cascade of pair-copulae,
acting on two variables at a time. The pair-copula
construction is hierarchical in nature, the various levels
corresponding to the incorporation of more variables in the
conditioning sets, using pair-copulae as simple building
blocs. We shall introduce the modelling framework, discuss
inference and properties of estimators. <br>
We show an application to a financial data set. This is
joint work with Ingrid H. Haff and Kjersti Aas. </span></font></font></font>
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style="font-size: 10pt;"><b> </b></span></font></font></font>
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<font face="Arial"><font color="#000090"><span style="font-size:
12pt;">La partecipazione è aperta a tutti gli interessati<br>
</span></font><span style="font-size: 12pt;"><br>
<font color="#000080">Cordialmente<br>
Armando Corsi<br>
</font></span></font><font size="1"><font face="Verdana,
Helvetica, Arial"><span style="font-size: 9pt;">______________________________<br>
</span><span style="font-size: 7.5pt;"><img
src="cid:part1.01000800.08040305@uniroma3.it"><br>
</span></font></font><font face="Verdana, Helvetica, Arial"><font
size="2"><span style="font-size: 10pt;"><br>
</span></font></font><font size="2"><span style="font-size:
10pt;"><font color="#00007d"><font face="Arial"><b>Armando
Corsi <br>
</b></font></font></span></font><font face="Arial"><font
color="#00007f"><font size="1"><span style="font-size: 7.5pt;"><i>Responsabile<br>
Segreteria di Direzione del Dipartimento di Economia<br>
<br>
</i></span></font></font><font size="1"><span
style="font-size: 7.5pt;"><font color="#00007e">Facoltà di
Economia "F. Caffé"<br>
Via Silvio D'Amico, 77 - 00145 Roma <br>
</font></span></font></font><font size="1"><span
style="font-size: 7.5pt;"><font color="#00007d"><font
face="Wingdings">(</font></font><font color="#00007e"><font
face="Arial"> tel. 06 5733.5655 - fax. 065733.5771 <br>
</font></font><font face="Arial Narrow"> </font><font
color="#00007d"><font face="Wingdings">*</font></font><font
color="#00007e"><font face="Arial"> e-mail: </font></font><font
face="Arial"><font color="#0000fd"><u><a
moz-do-not-send="true" href="acorsi@uniroma3.it">acorsi@uniroma3.it</a>
<br>
</u></font></font><font face="Verdana, Helvetica, Arial">___________________________________</font></span><font
face="Verdana, Helvetica, Arial"><span style="font-size: 9pt;">
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