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.
H. Fang: Multivariate Density Forecast Evaluation and Nonparametric Granger Causality Testing.
Prof. C.G.H. Diks
Dr D.J.C. van Dijk
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