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