Online Course Heavy-tailedness, dependence and robustness in finance and economics by Ibragimov Rustam Maratovich

Lecturer: Ibragimov Rustam Maratovich - professor, Imperial College London, UK; Chief Researcher, Center for Econometrics and Business Analytics, St. Petersburg State University.

Time: March 7-18, 6-9pm

Course program:

07.03.2022: Introduction. Stylized facts of financial and economic markets: Crises, heavy tails, nonlinear dependence and volatility clustering. Implications of heavy-tailedness and dependence for economic and financial models and standard statistical and econometric methods.

11.03.2022: Modern approaches to modeling and inference on heavy-tailedness in economic and financial markets. Empirical results: The likelihood of crises and heavy tails in developed and emerging economies, including Russia.

15.03.2022: Econometric approaches to modeling stylized facts of financial markets and their key time series, including nonlinear dependence, volatility clustering, heavy tails and contagion. Univariate and multivariate GARCH models.

16.03.2022: Robust inference under heterogeneity and autocorrelation. Heteroskedasticity and autocorrelation consistent (HAC) standard errors and HAC inference approaches. New approaches to robust inference using t-statistics in group estimators of parameters of interest. Applications: Robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence, predictive regressions for asset and cryptocurrency prices and returns and economic inequality; empirical analysis of real-world economic and financial markets, including those in Russia and its regions.

18.03.2022: Modern approaches to modeling contagion and interdependence in financial markerts. Copula models and inference on copula dependence structures. Open research problems. Conclusion.

Working language – English

Zoom link: https://us02web.zoom.us/j/4025278369?pwd=bXdaWTc2WGhmS1ZieUl1Mzk5R25uUT09

Meeting ID: 402 527 8369
Passcode: hsw4KW

For more information, please, contact the lab manager Marina Rezanova(mrezanova@hse.ru)