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UID:20250914T152415EDT-0920AuA0Rj@132.216.98.100
DTSTAMP:20250914T192415Z
DESCRIPTION:A Geometric Framework for Covariance Dynamics.\n\nThis paper pr
 oposes a new approach to modeling covariance dynamics by employing methods
  of differential geometry. Our approach respects intrinsic geometric prope
 rties of covariance space and allows economically meaningful modeling of c
 ovariance dynamics. We develop covariance models that utilize either asset
  returns or realized covariances and propose new parameter estimation and 
 performance evaluation methods. Empirical studies suggest that our models 
 outperform existing models and realized covariance-based models outperform
  return-based ones. We also show that the time-series variation of a covar
 iance matrix can be identified by a small number of principal components\,
  implying potential for a parsimonious specification of covariance dynamic
 s. This paper is joint work with Frank C. Park (Seoul National University)
 \n
DTSTART:20180323T183000Z
DTEND:20180323T193000Z
LOCATION:Room LB 921-4\, CA\, Concordia University\, Pavillon J.W. McConnel
  (Library)
SUMMARY:Chulwoo Han\, Durham University
URL:/mathstat/channels/event/chulwoo-han-durham-univer
 sity-285896
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