2nd GAS Workshop

Workshop on Generalized Autoregressive Score Models

VENUE: IME-USP, Auditório Antonio Gilioli (bloco A, sala 247)

DATE: April 16-18, 2015
REGISTRATION FEE: Free

OBJECTIVE:

This workshop aims to bring together researchers with an interest in Generalized Autoregressive Score (GAS) models to discuss new ideas and statistical techniques along this area of expertise.

ORGANIZATION:

· IME-USP and Graduate Program of Statistics (MAE);

· Risk Assessment Group at CEPID-CeMEAI;

· Projeto Temático: “Séries temporais, ondaletas e análise de dados funcionais”.

WORKSHOP PROGRAMME:

Thursday 16/04/2015

10:30 – 12:00 Cristiano Fernandes (PUC-Rio)

Introduction to GAS Models (Tutorial, Part 1)

12:00 – 14:00 Lunch

14:00 – 15:30 Introduction to GAS Models (Tutorial, Part 2)

15:30 – 16:30 Flavio Zingelmann (UFRGS)

From Dynamic Vine Copula to Dynamic Factor Models

16:30 – 18:00 Round Table

Friday 17/05/2015

10:00 – 12:00 Leandro Ferreira and Rafael Aguilera (IME-USP)

Introduction to Copulas and Applications

12:00 – 14:00 Lunch

14:00 – 15:30 Nikolai Kolev (IME-USP)

Time-invariant Copulas in GAS Models

15:30 – 16:30 Marinho de Andrade (ICMC-USP)

GAS Conf 4
16:30 – 18:00 Round Table

Saturday 18/05/2015

09:00 – 12:00 Discussion on Hazard Version of GAS Models