Séminaire COURNOT – Greta GORACCI (Free U. of Bozen Bolzano)

Détails de l'événement :

Autoregressive moving-average models: probabilistic properties and econometric developments for finance

The complexity of real-world phenomena calls in for non-linear modelling and the class of threshold models has been recognized to be a flexible tool to describe complex features that characterize economic and financial phenomena. Since their introduction in late 1970s by Howell Tong Tong [1990], Threshold Autoregressive Moving-Average (TARMA) models have gained popularity in economics and finance, especially in their autoregressive specification, the so called Threshold Autoregressive (TAR) model. Despite the fact that the TARMA model is much more general and parsimonious than the TAR model, its theoretical developments was stuck for many years, due to unsolved theoretical problems, mainly due to its non-Markovian nature. Chan and Goracci [2019] solved the long-standing open problem regarding the probabilistic structure and made the first major breakthrough in TARMA modelling, thereby opening the door for substantial theoretical inferential developments and practical applications.

Information pour le zoom : https://us02web.zoom.us/j/84441093898?pwd=bG5sMHh3N3FHeUk0TkF4S0JWbkdHZz09

Lien vers la page web du séminaire : https://beta-economics.fr/seminaires-cournot-2023-2024/

Lien vers la page web de Greta GORACCI : https://www.unibz.it/it/faculties/economics-management/academic-staff/person/46136-greta-goracci