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UID:event-11399@www.amse-aixmarseille.fr
DTSTAMP:20260422T165316Z
CREATED:20260422T165316Z
LAST-MODIFIED:20260422T165316Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:big data and econometrics seminar - Francesco Violante
DTSTART:20241001T120000Z
DTEND:20241001T133000Z
DESCRIPTION:We propose a new class of observation-driven models\, the Gener
 alized Autoregressive Conditional Betas\, which describe the joint dynamics
  of the time-varying slopes in a system of conditionally heteroskedastic si
 multaneous multiple regressions. The model accommodates large dimensions\, 
 parametric longitudinal restrictions\, exogenous variables\, and the coexis
 tence of constant and time-varying slopes. It also introduces new mechanism
 s for the transmission of shocks\, namely beta spillovers. We derive statio
 narity and uniform invertibility conditions and present beta and covariance
  tracking constraints. We show consistency and asymptotic normality of the 
 Gaussian quasi-maximum likelihood estimator\, and propose several computati
 onally convenient quasi-maximum likelihood estimators\, both parallel and s
 equential. Their finite sample properties are evaluated by Monte Carlo expe
 riments. Finally\, we illustrate the usefulness of modeling beta spillovers
  in the Fama-French three-factor asset pricing model. The results show that
  our model is useful for describing the transmission of shocks in financial
  markets.\\n\\nContact: Sullivan Hué: sullivan.hue[at]univ-amu.frMichel Lu
 brano: michel.lubrano[at]univ-amu.fr\n\nPlus d'informations: https://www.am
 se-aixmarseille.fr/en/events/francesco-violante-0
LOCATION:Îlot Bernard du Bois - Salle 21\, AMU - AMSE\, 5-9 boulevard Maur
 ice Bourdet\, 13001 Marseille
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/francesco-violante-0
CONTACT:Sullivan Hué: sullivan.hue[at]univ-amu.frMichel Lubrano: michel.lu
 brano[at]univ-amu.fr
TRANSP:OPAQUE
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