Institute for Mathematical Sciences Event Archive
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Workshop I on Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
( 4 - 7 Jun 2012 )
Venue: IMS Auditorium
Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries
09:05am - 09:20am |
Registration |
09:20am - 09:30am |
Opening Remarks |
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Chair: Matteo Barigozzi, London School of Economics, UK |
09:30am - 10:30am |
CAW-DCC: A dynamic model for vast realized covariance matrices Luc Bauwens, Université Catholique de Louvain, Belgium |
10:30am - 11:00am |
--- Group Photo & Coffee Break --- |
11:00am - 12:00nn |
Volatility of price indices for heterogeneous goods Christian Hafner, Université Catholique de Louvain, Belgium |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Piotr Fryzlewicz, London School of Economics, UK |
02:30pm - 03:30pm |
Asymptotic theory of the QMLE for GARCH-X Models with stationary and nonstationary covariates Hee Joon Han, National University of Singapore |
03:30pm - 04:00pm |
--- Coffee Break --- |
04:00pm - 05:00pm |
Kevin Sheppard, University of Oxford, UK |
Tuesday,
5 Jun 2012 |
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09:15am - 09:30am |
Registration |
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Chair: Qiwei Yao, London School of Economics, UK |
09:30am - 10:30am |
Jianqing Fan, Princeton University, USA |
10:30am - 11:00am |
--- Coffee Break --- |
11:00am - 12:00nn |
Dynamic modeling and prediction of risk neutral densities Rong Chen, Rutgers University, USA |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Christian Hafner, Université Catholique de Louvain, Belgium |
02:30pm - 03:30pm |
Matteo Barigozzi, London School of Economics, UK |
03:30pm - 04:00pm |
--- Coffee Break --- |
04:00pm - 05:00pm |
The value of model sophistication: an application to pricing Dow Jones industrial average options Jeroen Rombouts, HEC Montréal, Canada |
Wednesday,
6 Jun 2012 |
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09:15am - 09:30am |
Registration |
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Chair: Piotr Fryzlewicz, London School of Economics, UK |
09:30am - 10:30am |
Sudden changes in the structure of time series Jürgen Franke, Universität Kaiserslautern, Germany |
10:30am - 11:00am |
--- Coffee Break --- |
11:00am - 12:00nn |
Testing for structural change in quantile regression models Tatsushi Oka, National University of Singapore |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Jeroen Rombouts, HEC Montréal, Canada |
02:30pm - 03:30pm |
Jun Yu, Singapore Management University |
03:30pm - 04:00pm |
--- Coffee Break --- |
04:00pm - 05:00pm |
Jin-Chuan Duan, National University of Singapore |
Thursday,
7 Jun 2012 |
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09:15am - 09:30am |
Registration |
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Chair: Luc Bauwens, Université Catholique de Louvain, Belgium |
09:30am - 10:30am |
Mixed frequency vector autoregressive models and the consequences of ignoring high frequency data Eric Ghysels, University of North Carolina, USA |
10:30am - 11:00am |
--- Coffee Break --- |
11:00am - 12:00nn |
A Quasi-maximum likelihood approach for covariance matrix with high frequency data Chengyong Tang, National University of Singapore |
12:00nn - 01:30pm |
--- Lunch --- |
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Chair: Ying Chen, National University of Singapore |
01:30pm - 02:30pm |
Some computations in the credit derivatives pricing Yongjin Wang, Nankai University, China |
02:30pm - 03:30pm |
Denis Belomestny, Universität Duisburg-Essen, Germany |
Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries
