The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Damir Filipovic (EPFL Lausanne and Swiss Finance Institute):
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
Wednesday, March 19, 2025, 17:15, in Building D4, Room D4.0.127.

Abstract:

We develop a nonparametric, kernel-based joint estimator for conditional mean and covariance matrices in large and unbalanced panels. The estimator is supported by rigorous consistency results and finite-sample guarantees, ensuring its reliability for empirical applications in Finance. We apply it to an extensive panel of monthly US stock excess returns from 1962 to 2021, using macroeconomic and firm-specific covariates as conditioning variables. The estimator effectively captures time-varying cross-sectional dependencies, demonstrating robust statistical and economic performance. We find that idiosyncratic risk explains, on average, more than 75% of the cross-sectional variance.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar