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UID:20250729T164909EDT-0384iWP8nN@132.216.98.100
DTSTAMP:20250729T204909Z
DESCRIPTION:Title: GARCH copulas\, v-transforms and D-vines.\n\nAbstract:\n
 \nStationary models from the GARCH class have proved to be extremely usefu
 l for forecasting volatility and measuring risk in financial time series. 
 However\, the nature of their implied copulas is opaque.\n\nWe analyse the
  serial dependence structure of first-order GARCH-type models in terms of 
 the implied bivariate copulas that describe the dependence and partial dep
 endence of pairs of variables at different lags. Our aim is to understand 
 whether such dependence structures could be approximated with appropriatel
 y chosen bivariate copulas arranged in D-vines.\n\nWe find that uniformity
 -preserving transformations\, known as v-transforms\, are implicitly embed
 ded in the copulas of classical GARCH models and we propose that they coul
 d be used as explicit modelling elements to construct vine copulas for app
 lications.\n\nOur aim is to develop more flexible models that can improve 
 upon the GARCH class in situations where the latter does not work well. Ou
 r results suggest that D-vine models with appropriately chosen pair copula
 s can rival and often surpass the performance of GARCH processes for many 
 volatile financial return series.\n\nSpeaker:\n\nAlexander McNeil has been
  Professor of Actuarial Science at the University of York since September 
 2016. Educated at Imperial College London and Cambridge University\, he wa
 s formerly Assistant Professor in the Department of Mathematics at ETH Zur
 ich and Maxwell Professor of Mathematics in the Department of Actuarial Ma
 thematics and Statistics at Heriot-Watt University. He founded and led the
  Scottish Financial Risk Academy (SFRA) between 2010 and 2016.\n\nHis rese
 arch interests lie in the development of quantitative methodology for fina
 ncial risk management and include models for market\, credit and insurance
  risks\, financial time series analysis\, models for extreme risks and cor
 related risks and enterprise-wide models for solvency and capital adequacy
 . He has published papers in leading actuarial\, statistics\, econometrics
  and financial mathematics journals and is a regular speaker at internatio
 nal risk management conferences.\n\nHe is joint author\, together with Rüd
 iger Frey and Paul Embrechts\, of the book “Quantitative Risk Management: 
 Concepts\, Techniques and Tools”\, published by Princeton University Press
  (2005/2015). He is also an Honorary Fellow of the Institute and Faculty o
 f Actuaries and a Corresponding Member of the Swiss Association of Actuari
 es.\n\nIn person Burnside 1104 or by zoom https://mcgill.zoom.us/j/8962629
 9031\n\n \n\n \n
DTSTART:20250523T193000Z
DTEND:20250523T203000Z
LOCATION:Room 1104\, Burnside Hall\, CA\, QC\, Montreal\, H3A 0B9\, 805 rue
  Sherbrooke Ouest
SUMMARY:Alexander McNeil (The University of York)
URL:/mathstat/channels/event/alexander-mcneil-universi
 ty-york-365430
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