##### Department of Mathematics,

University of California San Diego

****************************

### The Murray and Adylin Rosenblatt Endowed Lectures in Applied Mathematics

## Robert Engle

#### New York University (Emeritus Professor, UCSD)

## Dynamic Conditional Beta

##### Abstract:

Dynamic Conditional Beta (DCB) is an approach to estimating regressions with time varying parameters. The conditional covariance matrices of the exogenous and dependent variable for each time period are used to formulate the dynamic beta. Joint estimation of the covariance matrices and other regression parameters is developed. Tests of the hypothesis that betas are constant are non-nested tests and several approaches are developed including a novel nested model. The methodology is applied to industry multifactor asset pricing and to global systemic risk estimation with non-synchronous prices. Free registration is required to attend. Registration information is available at http://www.math.ucsd.edu/$\sim$rosenblattconf/rosenblattlecture.html

Hosts: Department of Mathematics, Department of Economics, UCSD Division of Physical Sciences

### October 20, 2016

### 5:00 PM

### GH 242 (Galbraith Hall Auditorium)

****************************