lCARE - localising Conditional AutoRegressive Expectiles

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lCARE - localising Conditional AutoRegressive Expectiles

lCARE - localising Conditional AutoRegressive Expectiles

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  • 0 Reviews
  • 2 Students Enrolled
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Courselet Content

1 components

Requirements

  • Excellent MVA knowledge https://quantinar.com/course/540/multivariate-statistical-analysis?q=mva

General Overview

Description

Risk Exposure, Measure tail events,  Conditional autoregressive expectile (CARE) model Expectiles

Time-varying parameters, Time-varying parameters in CARE Parameter Dynamics, Interval length reflects the structural changes in economy

Localising CARE Models, Local parametric approach (LPA), Balance between modelling bias and parameter variability

Tail Risk Dynamics, Estimation windows with varying lengths, Time-varying expectile parameters

Econometrics: Modelling bias vs. parameter variability, Interval length and economic variables

Risk Management: Parameter dynamics

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Meet the instructors !

instructor
About the Instructor

Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn.  He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”.  He directs  IDA Institute for Digital Assets,  

  University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance.  He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com  He is 玉山学者 (Yushan Scholar), web page hu.berlin/wkh