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PRODID:-//AMSE//Event Calendar//FR
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UID:event-9086@amse-aixmarseille.fr
DTSTAMP:20260430T140244Z
CREATED:20260430T140244Z
LAST-MODIFIED:20260430T140244Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:big data and econometrics seminar - Kris Jacobs
DTSTART:20220531T120000Z
DTEND:20220531T133000Z
DESCRIPTION:The cross-section of options holds great promise for identifyin
 g return distributions and risk premiums\, but estimating dynamic option va
 luation models with latent statevariables is challenging when using large o
 ption panels. We propose a particle MCMC framework with a novel ltering app
 roach and illustrate our method by estimatingworkhorse index option pricing
  models. Estimates of the variance risk premium\, variance mean reversion\,
  and higher moments differ from the literature. We show thatthese differenc
 es are due to the composition of the option sample. Restrictions on the opt
 ion sample's maturity dimension have the strongest impact on parameter infe
 rencein these models.\\n\\nContact: Michel Lubrano : michel.lubrano[at]univ
 -amu.frPierre Michel : pierre.michel[at]univ-amu.fr\n\nPlus d'informations
 : https://amse-aixmarseille.fr/fr/evenements/kris-jacobs
LOCATION:Îlot Bernard du Bois - Salle 21\, AMU - AMSE\, 5-9 boulevard Maur
 ice Bourdet\, 13001 Marseille
URL;VALUE=URI:https://amse-aixmarseille.fr/fr/evenements/kris-jacobs
CONTACT:Michel Lubrano : michel.lubrano[at]univ-amu.frPierre Michel :&nbsp\
 ;pierre.michel[at]univ-amu.fr
TRANSP:OPAQUE
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