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Investigating Dynamic Dependence between Non-Gaussian Assets Using Copulae

Event information
Date 19 June 2002
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

Prior to this he was Professor of Economics at the European University Institute in Florence and has also acted as Chairman of the Economics Department there from 1993-1995. From 1990-1992, he was the Director of the Global Warming Policy Analysis Research Project based in the European Policy Unit. Mark's graduate text on Financial Econometrics will be published with CUP in 2002. His research interests have recently concentrated on the analysis of transactions level data, copulae and applications of Knightian Uncertainty to finance.