Dynamic Conditional Correlation: New Results
|Date||23 October 2002|
|Time||13:00-14:00 (Timezone: Europe/London)|
|Venue||ICMA Centre, Room G03/04|
Prior to this he was Chair of Economics at the University of California, San Diego. Following a BS and MS in Physics he obtained his PhD in Economics from Cornell University. He is a Fellow of the American Academy of Arts and Sciences and Fellow of American Statistical Association. Rob has been and continues to be one of the great academic leaders in financial econometrics, from his pioneering work on autoregressive conditional heteroskedasticity and cointegration, to his current work on statistical modeling of volatility and correlation.