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New models for the analysis of dynamic processes: An OxMetrics Showcase - 21 May 2015, New York City

Free Seminar

Date: 21 May 2015 - 9.30am-12.30pm
Location: New York University, Silver School of Social Work, 1 Washington Square North, Room 101, New York, 10003

We are pleased to offer this free seminar, open to all interested that will showcase OxMetrics software and the new approaches to the analysis of mean and volatility modeling in the social sciences. In this presentation open to the general public, prominent new features of this suite of software are introduced.

>More on OxMetrics, an integrated solution for econometric analysis

The AutoMetrics package in this suite features for automatic modeling with comprehensive specification testing, impact analysis with impulse saturation, predictive validation, and forecasting for time series data.

The volatility package G@RCH will be covered. First, we will start with an overview of its main financial econometrics tools, i.e. the main GARCH models, univariate and multivariate, realized volatility and jumps, as well as value-at-risk/expected shortfall. In a second part, we will focus on G@RCH novelties. This will include an introduction to generalized autoregressive score (GAS) models.
We will also present a new (beta version) microsoft EXCEL add-in tool that allows to work with G@RCH from within EXCEL, together with new tools to import data from online feed.

More models have been added to the regime-switching model menu. In addition to the Hamilton Markov-Switching models, those with Bai-Perron structural break identification, change point modeling, regime switching with heteroskedasticity and multifractal volatility has been added.

If time permits, there will be a demonstration of state space modeling with the STAMP 8.3 package as well.

Registrations

We welcome delegates to find out more and register interest for the meeting by contacting our sales and training team either by email: info@timberlake-consultancy.com or call: +1 908 681 1251.

Or alternatively please fill in and submit the form below.





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