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Friday, 2 June 2017
Aula, VU University Amsterdam, De Boelelaan 1105, 1081 HV AmsterdamAmsterdamNetherlands
VU Amsterdam

How to measure financial portolio diversification benefits, cross-country spill-overs, herding and contagion effects? Answers to these questions hinge upon assumptions on volatilities, correlations and predictive relationships. The often unstable empirical nature of measuring financial comovement necessitates the development of novel econometric models. By adopting recently popularized class of score driven filtering models, Erkki Silde discusses the theoretical advances and address empirical questions — ranging from measuring risk premia in option markets to pinning down international volatility spillovers.

The author holds a B.A. in Economics (2009), a B.Sc. in Mathematical Finance (2010) from University of Konstanz, and an M.Phil. in Finance (2012) from the Tinbergen Institute. He has refereed for international peer-reviewed journals, his work has been presented at various international conferences. Chapter 2 of this monograph is published in \textit{Econometric Reviews}.