Institute for Mathematical Sciences Event Archive
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Workshop II on Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
( 19 - 22 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: Piotr Fryzlewicz, London School of Economics, UK |
09:30am - 10:30am |
Discrete Fourier transform methods in the analysis of nonstationary time series Suhasini Subba, Rao Texas A&M University, USA |
10:30am - 11:00am |
--- Group Photo & Coffee Break --- |
11:00am - 12:00nn |
Application of functional data analysis to intraday financial data Piotr Kokoszka,Colorado State University, USA |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Ying Chen, National University of Singapore |
02:30pm - 03:30pm |
Large volatility matrix estimation for high-frequency financial data Yazhen Wang, University of Wisconsin-Madison, USA |
03:30pm - 04:00pm |
--- Coffee Break --- |
04:00pm - 05:00pm |
Fourier analysis of extreme events Thomas Mikosch, Københavns Universitet, Denmark |
Wednesday,
20 Jun 2012 |
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09:15am - 09:30am |
Registration |
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Chair: Vladimir Spokoiny, Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany |
09:30am - 10:30am |
Time-varying multivariate spectral analysis with applications to evolutionary factor analysis Rainer von Sachs, Université Catholique de Louvain, Belgium |
10:30am - 11:00am |
--- Coffee Break --- |
11:00am - 12:00nn |
Sparse vector autoregressive modeling Richard Davis, Columbia University, USA |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Rainer von Sachs, Université Catholique de Louvain, Belgium |
02:30pm - 03:30pm |
Factor modeling for high dimensional time series Clifford Lam, London School of Economics, UK |
03:30pm - 04:00pm |
--- Coffee Break --- |
04:00pm - 05:00pm |
The low-rank correlation matrix problems: nonconvex regularization and successive convex relaxations Defeng Sun, National University of Singapore |
Thursday,
21 Jun 2012 |
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09:15am - 09:30am |
Registration |
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Chair: Liangjun Su, Singapore Management University |
09:30am - 10:30am |
Bernstein von Mises theorem and model calibration Vladimir Spokoiny, Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany |
10:30am - 11:00am |
--- Coffee Break --- |
11:00am - 12:00nn |
On estimation of the population spectrum from large dimensional covariance matrices Jianfeng Yao, The University of Hong Kong, Hong Kong |
12:00nn - 02:30pm |
--- Lunch --- |
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Chair: Qiwei Yao, London School of Economics, UK |
02:30pm - 03:30pm |
Specification test for panel data models with interactive fixed effects Liangjun Su, Singapore Management University
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03:30pm - 04:00pm |
--- Coffee Break --- |
Friday,
22 Jun 2012 |
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Free Discussion |
Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries
