Open Lecture by Svetlana Bryzgalova
Svetlana Bryzgalova, graduate of HSE Nizhny Novgorod, and Assistant Professor in the Graduate School of Business at Stanford University, conducted a seminar on theoretical and empirical studies in economics and finance at HSE Nizhny Novgorod. The seminar ‘GEL class of estimators: theory and applications’ was attended by both HSE students and lecturers.
The seminar was dedicated to the estimation of the model parameters using the generalized empirical likelihood methods (Empirical Likelihood, Exponentially Tilted, Continuously Updated GMM, etc). The participants discussed not only the asymptotic properties of this approach but also its application (in particular, numerical optimization methods).
These methods of estimation have numerous applications in financial studies (models of financial asset pricing, valuation of the risk-neutral volatility from option prices and others); some of these applications were also discussed during the seminar.
Andrey Maksimov, Professor at the Department of Economic Theory and Econometrics, said that Svetlana’s visit is very important for students, as she is an example of a lecturer whose academic career has been very successful. For lecturers, her seminar was a great opportunity to meet a specialist in the estimation and testing of asset pricing models that are widely studied today and have both advantages and disadvantages. He notes that what we read in books and scientific articles often turns out to be outdated, while Svetlana’s seminar reflected the current situation at the cutting edge of this science.