Séminaire FDD-FiME // M. Hoffmann

Marc Hoffmann (Ceremade, Université Paris Dauphine - PSL) Title : Disentangling endogenous and exogenous correlations of low frequency data using high frequency information Abstract : Given empirical data of two times series, we address the problem of extracting the part of endogenous and exogenous dynamics that altogether form the empirical correlation of the time series. In this formulation, our question is ill-posed and our purpose hopeless without an additional structure. We assume Read more [...]