- This event has passed.
Seminar about large dynamic covariance matrices
21 September, 2017 @ 13:00 - 14:00 UTC+1
“Large Dynamic Covariance Mtrices” is the title of the lecture that the Professor Michale Wolf (University of Zurich) is going to present in the Department of Economics of the University of Cantabria.This is a joint work with the professors Oliver Ledoit (University of Zurich) and Robert F. Engle (University of New York and Laureate Nobel prize in Economics).
The talk will take place next September 21st at 13.00 in the Degree Room of the Faculty of Economic and Business.
This research seminar is part of the activities of the research project “New methods for the empirical analysis of the financial markets” financed by the Santander Financial Institute (SANFI) within the strategic line of the SANFI called Global Markets. This research project is led by Professor Oliver Linton (University of Cambridge) and has as coordinators Professors Juan Rodriguez-Poo (University of Cantabria) and Francisco Peñaranda (City University of New York). Specifically, the objective of this research project is mainly focused on the development of new techniques of estimation of application both in the valuation of financial assets and in the management of risks and portfolios.
Michael Wolf is a Professor of Econometrics and Applied Statistics at the University of Zurich. Previously, he has been assistant professor at the University Carlos III and at the Universitat Pompeu Fabra. He holds a master’s degree in Statistics from the Stanford University and a PhD in Statistics from the Standford University.
His research interests are nonparametric inference methods, multiple testing procedures, financial econometrics, and large-dimensional covariance matrices. He publishes widely on a broad range of topics, including: time series analysis; GARCH models; volatility modeling; and financial econometrics. Further, he has published extensively in top-ranked international journals such as Journal of Business & Economic Statistics, Review of Financial Studies, Journal of Econometrics, Journal of Time Series Analysis, Econometrics, Annals of Statistics, and Journal of Empirical Finance.
In addition, he is Associate Editor of Annals of Statistics and Statistics and Probability Letters.