{"id":7282,"date":"2023-04-18T09:37:49","date_gmt":"2023-04-18T07:37:49","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/"},"modified":"2024-02-22T09:30:03","modified_gmt":"2024-02-22T08:30:03","slug":"df-lunch-seminar-adaptive-factor-modeling","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/","title":{"rendered":"DF Lunch Seminar: Adaptive Factor Modeling"},"content":{"rendered":"\n<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\">\n<p>Abstract:<\/p>\n\n\n\n<p>We consider the classical factor model due to J\u00f6reskog (1969) within a sequential change point detection framework which discovers intervals of local homogeneity. Our tests for structural breaks in the variance (homogeneity in variance) as well as both in the mean and the variance (complete homogeneity) are based on a maximum statistic of sequential generalized likelihood ratios small-sample distribution of which we approximate by means of a multiplier bootstrap. To handle the high-dimensional parameter problem, we suggest a novel multiplicative bias correction for the multiplier bootstrap. Simulations show that the tests perform very well in terms of size and power. In our empirical application, we study structural breaks for moderately sized equity portfolios.<\/p>\n\n\n\n<p>The seminar will be held in place.<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><i>This event is Supported by the Luxembourg National Research Fund (2022\/17573036)<\/i><\/p>\n\n\n\n<p><i><\/i><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n<\/div><\/section>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":47,"featured_media":7283,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2023-05-16 12:15:00","event_end_date":"2023-05-16 13:30:00","event_speaker_name":"Prof. Ostap Okhrin","event_speaker_link":"","event_is_online":false,"event_location":"Room Nancy \/ Metz","event_street":"29, avenue John F. Kennedy","event_location_link":"","event_zip_code":"1855","event_city":"Luxembourg","event_country":"LU"},"events-topic":[301],"events-type":[],"organisation":[116],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>DF Lunch Seminar: Adaptive Factor Modeling - FDEF events I 成人头条.lu<\/title>\n<meta name=\"description\" content=\"Abstract: We consider the classical factor model due to J\u00f6reskog (1969) within a sequential change point detection framework which discovers intervals of\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"DF Lunch Seminar: Adaptive Factor Modeling\" \/>\n<meta property=\"og:description\" content=\"Abstract: We consider the classical factor model due to J\u00f6reskog (1969) within a sequential change point detection framework which discovers intervals of\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/\" \/>\n<meta property=\"og:site_name\" content=\"FDEF EN\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.FDEF.lu\" \/>\n<meta property=\"article:modified_time\" content=\"2024-02-22T08:30:03+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/04\/df_lunch_seminar_adaptive_factor_modeling.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"800\" \/>\n\t<meta property=\"og:image:height\" content=\"600\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-adaptive-factor-modeling\/\",\"name\":\"DF Lunch Seminar: Adaptive Factor Modeling - 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