The Essex Centre for Macro and Financial Econometrics (ECMFE) warmly invite you to join their first research seminar of the Autumn Term, with guest speaker Professor Lorenzo Trapani from the University of Nottingham.
14:00 - 15:00
Professor Lorenzo Trapani, University of Nottingham
Lectures, talks and seminars
Essex Centre for Macro and Financial Econometrics Research Seminar Series
Essex Business School
Dr Yuqian Zhao firstname.lastname@example.org
The Essex Centre for Macro and Financial Econometrics (ECMFE) brings together academic and industry expertise from inside and outside of the University of Essex to research and help solve important issues in financial markets.
The paper presented proposes a conditional model of asset returns in the presence of common factors and downside risk.
Specifically, generalising existing latent factor models in three ways;
The usefulness of this generalised model is illustrated through two applications to low-dimensional, medium-sized, and large cross-sections of asset returns.
This seminar is free to attend with no need to book in advance.
Lorenzo Trapani is a Professor of Econometrics at the University of Nottingham, where he is also Director of the Granger Centre for Time Series Econometrics.
He was previously Professor at Cass Business School.
Professor Trapani's main research interests are in econometric theory and statistics, including;
His works have been published in the Journal of the American Statistical Association, Journal of Econometrics and Econometric Theory.