Stollenwerk
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Recent & Upcoming Talks
2022
Probability Distributions and GAS Models for Realized Covariance Matrices
All hitherto used probability distributions for Realized Covariance matrices (RCs) are compared in the framework of a general, newly derived Generalized Autoregressive Score (GAS) model.
Jul 21, 2022 2:00 PM — 3:30 PM
Albert-Ludwigs-Universität Freiburg
Michael Stollenwerk
Probability Distributions and GAS Models for Realized Covariance Matrices
All hitherto used probability distributions for Realized Covariance matrices (RCs) are compared in the framework of a general, newly derived Generalized Autoregressive Score (GAS) model.
Jun 21, 2022 2:40 PM — 3:20 PM
National Bank of Belgium
Slides
Probability Distributions and GAS Models for Realized Covariance Matrices
All hitherto used probability distributions for Realized Covariance matrices (RCs) are compared in the framework of a general, newly derived Generalized Autoregressive Score (GAS) model.
Jun 16, 2022 10:15 AM — 10:45 AM
Aix-Marseille School of Economics
Slides
2021
Probability Distribution for Realized Covariance Matrices
Realized covariance matrices (RCs) are an important input to asses the risks involved in different investment allocations and it is …
Dec 18, 2021 12:00 AM — Dec 20, 2021 11:59 PM
King's College London
Michael Stollenwerk
Slides
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