From whom?
Rustam Ibragimov (Professor of Finance and Econometrics, Imperial College Business School)Course language
English
Course Description
The seminar will discuss modern approaches to modeling and the analysis of the effects of heavy-tailedness, heterogeneity, dependence and contagion on the properties of key economic, financial and econometric models. We will also discuss modern approaches to statistical and econometric analysis of the above properties of economic and financial markets, including the degree of heavy-tailedness, probability of crises and structures of dependence. The talks at the seminar will further discuss modern methods of robust statistical and econometric analysis of economic and financial models (e.g., predictive regressions for financial returns and foreign exchange rates) that can be used under the problems of heterogeneity, heavy-tailedness, autocorrelation and dependence observed in the dynamics of key indicators of different economies, including those of the countries of the former USSR.Date: 6 - 7, 9 January, 2023
Schedule