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Hao Fang studies the evaluation of density forecasts and conditional dependence structures for multivariate time series. One of the questions he tries to answer is, supposing there are several candidate distributions for a given portfolio of financial assets, what the most appropriate distribution is to assume, and whether univariate or multivariate modeling is most relevant for the purpose of risk management.

Event details of Evaluating density forecasts
Date 27 March 2018
Time 10:00 -11:00
Location Agnietenkapel
Room Location

H. Fang: Multivariate Density Forecast Evaluation and Nonparametric Granger Causality Testing. 

Supervisor

Prof. C.G.H. Diks

Co-supervisor

Dr D.J.C. van Dijk

 

Agnietenkapel

Room Location

Oudezijds Voorburgwal 229 - 231
1012 EZ Amsterdam

Entrance

This event is open to the public.