In an upcoming seminar on October 27, 2015, Nobel Prize in Economics Laureate, Robert Engle will discuss “Systemic Risk and the Prospect for Global Financial Stability” (Link) and his paper on “Dynamic Conditional Beta” (Link).
The following is the abstract taken from the latter.
“Dynamic Conditional Beta (DCB) is an approach to estimating regressions with time varying parameters. The conditional covariance matrices of the exogenous and dependent variable for each time period are used to formulate the dynamic beta. Joint estimation of the covariance matrices and other regression parameters is developed. Tests of the hypothesis that betas are constant are non-nested tests and several approaches are developed including a novel nested model. The methodology is applied to industry multifactor asset pricing and to global systemic risk estimation with non-synchronous prices.”
Professor Engle received his Nobel Prize in Economics in 2003 for his discovery of methods of analyzing unpredictable movements in financial asset prices and interest rates. He also participated in the round table discussion on “the Future of Quantitative Finance” organized by our program in 2011.
Date: Tuesday, October 27, 2015
365 Fifth Avenue, New York, NY
Please be sure to arrive early; seating is limited and cannot be guaranteed.