Factor Models with Downside Risk

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.

  • Wed 21 Oct 20

    14:00 - 15:00

  • Online

    Via Zoom

  • Event speaker

    Professor Lorenzo Trapani, University of Nottingham

  • Event type

    Lectures, talks and seminars
    Essex Centre for Macro and Financial Econometrics Research Seminar Series

  • Event organiser

    Essex Business School

  • Contact details

    Dr Yuqian Zhao

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.

Seminar abstract

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;

  1. allowing for downside risk via a threshold specification which allows for the estimation of the (usually set a priori) 'disappointment' event,
  2. permitting different factor structures (and number of factors) in different regimes,
  3. show how to recover the observable factors risk premia from the estimated latent ones in different regimes.

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. 


Speaker bio

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;

  • large factor models
  • randomised tests
  • the change point problem
  • panel data
  • cointegration and aggregation
  • the random coefficient autoregressive model

His works have been published in the Journal of the American Statistical Association, Journal of Econometrics and Econometric Theory.