Laissez-faire or policing social networks?

June 3, 2020

#4 worldwide in 2019 QS ranking Masters in Business Analytics

September 26, 2018

Et si on réinitialisait les réseaux sociaux

September 23, 2018

Beware of weak links in large datasets

August 7, 2018

Data Science and Artistic Creation

January 12, 2018

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March 19, 2015

I have now arrived in Oslo for the 23rd Symposium of the Society for Nonlinear Dynamics & Econometrics. This is a conference that I like very much for it's always a nice mix of theory and empirical work from people in academia and Central banks the world over. The BI Norwegian Business School has an impressive architecture.

 

The paper I present shows an interesting source of dependence over long period. We show (with my two coauthors Alain Hecq from Maastricht University and Sébastien Laurent from Aix-Marseille University and GREQAM) that types of persistence that are commonly observed (e.g. the so called Golden Rule of realized volatilities) can actually arise from dependence across a very large number of variables (such as traded assets in financial ma...

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