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VERSION:2.0
PRODID:-//AMSE//Event Calendar//FR
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UID:event-13117@amse-aixmarseille.fr
DTSTAMP:20260429T170723Z
CREATED:20260429T170723Z
LAST-MODIFIED:20260429T170723Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:big data and econometrics seminar - Gilles de Truchis
DTSTART:20260505T120000Z
DTEND:20260505T133000Z
DESCRIPTION:Financial markets frequently exhibit dramatic episodes where as
 set prices undergo rapid growth followed by abrupt collapses\, that are inc
 ompatible with standard linear time series models. While anticipative heavy
 -tailed linear processes offer a promising alternative for modeling such ph
 enomena\, they impose uniform bubble patterns across different episodes\, c
 ontradicting empirical evidence. This paper introduces a new model\, based 
 on alpha-stable moving average aggregates\, that accommodates heterogeneous
  bubble dynamics. We establish the theoretical properties of this model\, d
 emonstrating that it admits a semi-norm representation on a unit cylinder\,
  thereby enabling the prediction of extreme trajectories with varying growt
 h dynamics. We develop a minimum distance estimation procedure based on the
  joint characteristic function and establish its asymptotic properties. Mon
 te Carlo simulations confirm the estimator's good finite-sample performance
  across various specifications\, and we implement a subsampling methodology
  to empirically verify the convergence to asymptotic normality. Our empiric
 al application to the CBOE Crude Oil ETF Volatility Index successfully deco
 mposes observed volatility dynamics into distinct components with different
  persistence properties\, revealing that what appears as a single bubble ep
 isode actually consists of multiple superimposed processes with heterogeneo
 us growth rates and crash probabilities.\\n\\nContact: Sullivan Hué: sulli
 van.hue[at]univ-amu.frMichel Lubrano: michel.lubrano[at]univ-amu.fr\n\nPlus
  d'informations: https://amse-aixmarseille.fr/en/events/gilles-de-truchis
LOCATION:Îlot Bernard du Bois - Salle 21\, AMU - AMSE\, 5-9 boulevard Maur
 ice Bourdet\, 13001 Marseille
URL;VALUE=URI:https://amse-aixmarseille.fr/en/events/gilles-de-truchis
CONTACT:Sullivan Hué: sullivan.hue[at]univ-amu.frMichel Lubrano: michel.lu
 brano[at]univ-amu.fr
TRANSP:OPAQUE
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