Asymptotics of Cholesky GARCH models and time-varying conditional betas
Résumé
The 70th European Meeting of the Econometric Society (ESEM) will take place in Lisbon, Portugal, August 21-25, 2017. The Meeting is hosted by ISCTE - IUL and the University of Lisbon and will run in parallel with the 32nd Annual Congress of the European Economic Association (EEA). Participants will be able to attend all sessions of both events. The program chairs are Kfir Eliaz (Tel Aviv University and University of Michigan) and Imran Rasul (University College London and Institute for Fiscal Studies). The members of the local organizing committee from ISEG-UTL and the University of Lisbon are Mário Centeno, Vitor Escária, Alexandra Ferreira Lopes, Francisco Lima, and Luís Martins.