<div dir="ltr"><p style="line-height:150%;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin-right:0cm;margin-left:0cm;font-size:12pt;font-family:"Times New Roman",serif">Prezados, <p style="line-height:150%;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin-right:0cm;margin-left:0cm;font-size:12pt;font-family:"Times New Roman",serif">Temos o prazer de convidar a todos para participação no décimo seminário do Ciclo de Seminários 2020 do Programa de Pós-Graduação em Estatística da UFRGS (PPGEst-UFRGS). Informações abaixo: Evento: Ciclo de Seminários 2020 do PPGEst-UFRGS Palestrante: Prof. Jean-David Fermanian (CREST/Ensae - France) Título: High dimensional penalized ARCH processes Resumo: We introduce a general methodology to consistently estimate multidimensional ARCH models equation-by-equation, possibly with a very large number of parameters through penalization (sparse group-lasso). Some families of multidimensional ARCH models are proposed to tackle homogeneous or heterogeneous portfolios of assets. The corresponding conditions of stationarity and of positive definiteness are studied. We evaluate the relevance of such a strategy by simulation. The relative forecasting performances of our models are compared through the management of financial portfolios. Data: 31 de agosto de 2020 (segunda-feira) Horário: 14h00 às 15:20 (1 hora de apresentação e 20 min para perguntas) Local: Ambiente virtual Zoom (Acesso pelo link <span style="font-family:Arial,sans-serif;color:rgb(17,85,204);background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><a href="https://us02web.zoom.us/j/89532173261">https://us02web.zoom.us/j/89532173261</a><span style="font-size:12pt;line-height:150%;color:rgb(51,51,51);background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">) Moderador: Prof. Flávio Augusto Ziegelmann (A palestra será proferida em inglês) OBS 1: A agenda de seminários pode ser acessada em <a href="https://www.ufrgs.br/ppgest/seminarios/" style="color:blue">https://www.ufrgs.br/ppgest/seminarios/</a> OBS 2: Abaixo os links para acessar as palestras anteriores autorizadas: Seminário 1 (Profa. Dra. Taiane Schaedler Prass, UFRGS) Link: <a href="https://youtu.be/_-DGDNepTno" target="_blank" style="color:blue">https://youtu.be/_-DGDNepTno</a> Seminário 3 (Prof. Dr. Marcelo Bourguignon Pereira, UFRN) Link: <a href="https://youtu.be/lYqEw_VZqV4" target="_blank" style="color:blue">https://youtu.be/lYqEw_VZqV4</a> Seminário 4 (Prof. Dr. Hedibert Freitas Lopes, Insper) Link: <a href="https://youtu.be/8PYG89fD8jQ" target="_blank" style="color:blue">https://youtu.be/8PYG89fD8jQ</a> Seminário 5 (Prof. Dr. Marcelo Fernandes, FGV) Link: <a href="https://youtu.be/hzJu8D9qc2I" style="color:blue">https://youtu.be/hzJu8D9qc2I</a> Seminário 6 (Prof. Dr. Francisco Cribari, FGV) Link: <a href="https://youtu.be/AM-NBUrADLg" target="_blank" style="color:blue">https://youtu.be/AM-NBUrADLg</a> Seminario 8 (Profa. Dra. Linda Lee Ho, USP) <a href="https://youtu.be/UHql_Uu1L3Y" target="_blank" style="color:blue">https://youtu.be/UHql_Uu1L3Y</a> Seminário 9 (<a name="_Hlk46857167">Dr. Kevin L. Keys, Ambys Medicines)</a> <a href="https://youtu.be/_mHUWGgjElA">https://youtu.be/_mHUWGgjElA</a> Contamos com a presença de todos. PPGEst-UFRGS<div> </div>-- <div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><div><div dir="ltr"><div><div dir="ltr"><div><div dir="ltr"><div><div dir="ltr"><div> <div><div dir="ltr"><div dir="ltr">Danilo Marcondes Filho<div style="font-size:small">Department of Statistics Universidade Federal do Rio Grande do Sul (UFRGS)</div><div style="font-size:small"> Av. Bento Gonçalves, 9500 - Prédio 43-111 - Agronomia 91509-900 Porto Alegre - RS - BRAZIL Tel: <a href="tel:+55%2051%203308-7301" value="+555133087301" style="color:rgb(17,85,204)" target="_blank">+</a><a href="tel:+55%2051%203308-6194" value="+555133086194" style="color:rgb(17,85,204)" target="_blank">55 51 3308 62</a><a href="tel:+55%2051%203308-6194" value="+555133086194" style="color:rgb(17,85,204)" target="_blank">14</a> <a href="tel:+55%2051%203308-6194" value="+555133086194" style="color:rgb(17,85,204)" target="_blank">/</a> <a href="tel:+55%2051%203308-7301" value="+555133087301" style="color:rgb(17,85,204)" target="_blank">+</a><a href="tel:+55%2051%203308-6194" value="+555133086194" style="color:rgb(17,85,204)" target="_blank">55 51 999622276</a></div><div> </div></div></div></div></div><div> </div></div></div></div></div></div></div></div></div></div></div></div>