应数学系田波平教授邀请，爱尔兰考克大学（University College Cork）Bernard Hanzon教授将于近期访问我系并作学术报告，欢迎感兴趣的师生参加。相关信息如下： 

题目：Maximum likelihood estimation of the State Space Cointegration Model: the optimization problem and the role of parametrization

时间：2016年3月27日下午16:00-17:30

地点：格物楼503

摘要：In economic and financial time series analysis, the phenomenon of cointegration is well-known. The concept was introduced by Granger and Engle (for which they received the Nobel prize). The concept concerns the effect that in a non-stationary economic or financial time series, one may find linear combinations of outputs which are stationary. This can be interpreted as the effect of an equilibrium relation between the outputs involved. In practice the equilibrium relation does not hold exactly, but rather there is a drive towards the equilibrium relation over time, in case the observed variable values deviate from the equilibrium relation. A well-known form of the model that stresses this interpretation is the so-called error-correction formulation of the model. In the literature up till now the VAR (vector-autoregressive) model has been dominant in the cointegration literature. In two papers, available on SSRN, the Th.Ribarits and the speaker have generalized the prevailing VAR approach to state-space models with, by introducing the state-space error correction model for cointegration analysis, and by describing a methodology for finding the Maximum Likelihood Estimator for this model. In this talk we will explain how the state-space error correction model can be derived and how one can approach the problem of finding the corresponding maximum like lihoodestimator by using a special suitable parametrization of the model involved. The parametrizations emphasized in the talk are different from those used in the SSRN papers. The new approach uses a more flexible class of linear dynamical models to analyse cointegration. We argue that especially for models of high-frequency data the new approach can be preferable over the classical VAR approach,as it allows for larger delays without having to use very large order models. If time permits some remarks will be made about the possible application to global models of financial liquidity.

The talk is based on joint work with Thomas Ribarits (EIB, Luxembourg) and joint work with Ralf Peeters (Univ Maastricht, Netherlands) and Martine Olivi (INRIA, Sophia Antipolis, France).