BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//AMSE//Event Calendar//FR
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
UID:event-13046@amse-aixmarseille.fr
DTSTAMP:20260414T003133Z
CREATED:20260414T003133Z
LAST-MODIFIED:20260414T003133Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:big data and econometrics seminar - Sébastien Laurent
DTSTART:20260317T130000Z
DTEND:20260317T143000Z
DESCRIPTION:This presentation first introduces the Autoregressive Condition
 al Beta (ACB) framework of Blasques\, Laurent and Christian Francq (2024\, 
 JoE)\, for modeling time-varying regression coefficients in (financial) tim
 e series. The ACB is a score-driven model allowing conditional betas to evo
 lve dynamically with a structure similar to GARCH models. We then discuss t
 he penalized QMLE of ACB models for identifying zero\, constant\, and time-
 varying betas as recently introduced by Francq\, Laurent and Schnaitmann (2
 025). Finally\, we extend the framework to the Realized ACB model as propos
 ed by Artemova\, Francq and Laurent (2026). The RACB jointly exploits retur
 ns and realized beta measures. Monte Carlo evidence and financial applicati
 ons illustrate the benefits of dynamic\, penalized\, and realized-informati
 on-based beta modeling.\\n\\nContact: Sullivan Hué : sullivan.hue[at]univ-
 amu.frMichel Lubrano : michel.lubrano[at]univ-amu.fr\n\nPlus d'informations
 : https://amse-aixmarseille.fr/fr/evenements/sebastien-laurent-0
LOCATION:Îlot Bernard du Bois - Salle 16\, AMU - AMSE\, 5-9 boulevard Maur
 ice Bourdet\, 13001 Marseille
URL;VALUE=URI:https://amse-aixmarseille.fr/fr/evenements/sebastien-laurent-0
CONTACT:Sullivan Hué : sullivan.hue[at]univ-amu.frMichel Lubrano : michel.
 lubrano[at]univ-amu.fr
TRANSP:OPAQUE
END:VEVENT
END:VCALENDAR