[datascience] Next seminar on Friday April 17 at 6 pm at Luiss

["Gianluca Cubadda" < >]

Dear all,

Please be reminded that the next seminar will take place on Friday April 17 at 6 pm at Luiss, Department of Economics and Finance, Aula 206b.

Speaker: Gregor Kastner, University of Klagenfurt

Title: High-Dimensional Statistical Learning for (Financial and Economic) Time Series: A Bayesian's View

Abstract: We address typical challenges that arise when dealing with multivariate and potentially high-dimensional time series data. By taking a Bayesian stance and carefully balancing model complexity with parameter sparsity, remedies to (some of) those challenges are proposed. A particular focus is placed on time-varying (co)variance estimation and prediction. In addition, we shed light on the computational issues that appear when implementing our proposals. Throughout the talk, the efficacy of the models and methods proposed is illustrated through applications in economics, finance, and beyond.

 

Please note that one cannot enter Luiss unless registered in advance at

https://luiss.formstack.com/forms/high_learning_financial

 

We look forward to seeing you there.

The Organizing Committee

 

Christian T. Brownlees
Gianluca Cubadda

Massimo Franchi
Tommaso Proietti
Paolo Santucci de Magistris

Giuseppe Ragusa

 

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