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ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS
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Venue: |
IMS Auditorium |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
10:00am - 11:00am |
An
integrated smoothed maximum score estimator for a
generalized censored Quantile regression model |
11:00am - 12:00nn |
The
BSP’s structural long-term inflation forecasting model
for the Philippines |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
03:00pm - 04:00pm |
Wavelet transform for log periodogram
regression in long memory stochastic volatility model |
04:00pm - 05:00pm |
Statistical analysis of high frequency financial data
and modeling of financial time series |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
02:00pm - 03:00pm |
Intraday
periodicity, long memory volatility, and macroeconomic
announcement effects on China Treasury bond market |
03:00pm - 04:00pm |
A smooth
test for density forecast evaluation |
04:00pm - 05:00pm |
Constructing a coincident index of business cycles
without assuming a one-factor model |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
10:45am - 12:00nn |
Forecasting seasonal time series
(Tutorial lecture 1) |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Univariate and multivariate analysis and modeling of
high-frequency financial data (Tutorial lecture 1) |
Tuesday, 27 Apr 2004 |
|
10:45am - 12:00nn |
Forecasting seasonal time series
(Tutorial lecture 2) |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Univariate and multivariate analysis and modeling of
high-frequency financial data (Tutorial lecture 2) |
Wednesday, 28 Apr 2004 |
|
10:45am - 12:00nn |
Forecasting seasonal time series
(Tutorial lecture 3) |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Univariate and multivariate analysis and modeling of
high-frequency financial data (Tutorial lecture 3) |
Thursday, 29 Apr 2004 |
|
10:45am - 12:00nn |
Forecasting seasonal time series
(Tutorial lecture 4) |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Univariate and multivariate analysis and modeling of
high-frequency financial data (Tutorial lecture 4) |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
|
09:00am - 10:15am |
Forecast uncertainty, its
representation and evaluation |
10:15am - 10:45am |
--- Tea Break --- |
10:45am - 12:00nn |
Econometric analysis of high- frequency
financial data |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Affine processes with financial
applications
(Tutorial lecture 1) |
Tuesday, 4 May 2004 |
|
|
09:00am - 10:15am |
Forecast uncertainty, its
representation and evaluation |
10:15am - 10:45am |
--- Tea Break --- |
10:45am - 12:00nn |
Econometric analysis of high- frequency
financial data |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Affine processes with financial
applications
(Tutorial lecture 2) |
Wednesday, 5 May 2004 |
|
|
09:00am - 10:15am |
Forecast uncertainty, its
representation and evaluation |
10:15am - 10:45am |
--- Tea Break --- |
10:45am - 12:00nn |
Econometric analysis of high- frequency
financial data |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Affine processes with financial
applications
(Tutorial lecture 3) |
03:15pm - 03:40pm |
--- Tea Break --- |
|
03:40pm - 04:30pm |
A
comparison of U.S. and Hong Kong cap-floor volatility
dynamics |
|
04:30pm - 05:20pm |
How
volatile are East Asian stocks during high volatility
periods? |
Thursday, 6 May 2004 |
|
|
09:00am - 10:15am |
Forecast uncertainty, its
representation and evaluation |
10:15am - 10:45am |
--- Tea Break --- |
10:45am - 12:00nn |
Econometric analysis of high- frequency
financial data |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 03:15pm |
Affine processes with financial
applications (Tutorial lecture 4) |
03:15pm - 03:40pm |
--- Tea Break --- |
|
03:40pm - 04:30pm |
The University of Pennsylvania models
for high-frequency macroeconomic modeling |
|
04:30pm - 05:20pm |
Temporal aggregation, causality distortions, and a sign
rule |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
Friday, 7 May 2004 |
|
|
Symposium (Day 1) |
|
|
Venue: |
IMS Auditorium |
|
08:30am - 08:50am |
Registration |
|
08:50am - 09:00am |
Opening Address |
|
09:00am - 09:50am |
An assessment of Bank
of England and National Institute inflation forecast
uncertainties |
|
09:50am - 10:40am |
Forecasting jumps in
conditional volatility: The GARCH-IE model |
10:40am - 11:00am |
--- Tea Break --- |
11:00am - 11:50am |
Using
out-of-sample mean squared prediction errors to test the
martingale difference hypothesis |
11:50am - 12:40pm |
Are
the directions of stock price changes predictable?
Statistical theory and evidence |
12:40pm - 02:00pm |
--- Lunch break --- |
02:00pm - 02:50pm |
Microstructure noise, realized volatility, and optimal
sampling |
02:50pm - 03:40pm |
Intraday diversified world stock indices: dynamics,
return distributions, dependence structure |
03:40pm - 04:00pm |
--- Tea Break --- |
|
04:00pm - 04:50pm |
A
multivariate threshold GARCH model with time-varying
correlations |
|
04:50pm - 05:40pm |
Dynamic leverage and threshold effects in stochastic
volatility models |
Saturday, 8 May 2004 |
|
|
Symposium (Day 2) |
|
|
Venue: |
SMU Auditorium |
|
09:00am - 09:50am |
Full-information transaction costs |
|
09:50am - 10:40am |
An
unbiased measure of realized variance |
10:40am - 11:00am |
--- Tea Break --- |
11:00am - 11:50am |
Properties of realized variance for pure jump processes:
calendar time sampling versus business time sampling |
11:50am - 12:40pm |
Wishart quadratic term structure models |
12:40pm - 02:00pm |
--- Lunch break --- |
02:00pm - 02:50pm |
Interpreting multi-sectoral versus
multi-time-period analysis in forecasting |
02:50pm - 03:40pm |
Downside risk and its implications for
financial management |
|
|
|
|
Venue: |
SMU Auditorium |
|
Panel Discussion by: |
Robert F. Engle, New York University |
|
Chairperson: |
Roberto S. Mariano, Singapore Management University |
|
03:45pm - 04:00pm |
Arrival of participants and guests |
|
04:00pm - 04:05pm |
Welcome address |
|
04:05pm - 05:00pm |
Panelists’ address |
|
05:00pm - 05:30pm |
Discussion |
|
05:30pm - 05:35pm |
Closing Remarks |
6 Apr 2004 · 15 Apr 2004 · 19 Apr 2004 · 26 - 29 Apr 2004 · 3 - 6 May 2004 · 7 - 8 May 2004 · 10 - 13 May 2004
|
09:30am - 10:20am |
A
continuous-time measurement of the buy-sell pressure in
a limit order book market |
10:20am - 10:45am |
--- Tea Break --- |
10:45am - 12:00nn |
Multivariate time series analysis and
forecasting
(Tutorial lecture 1) |
12:00nn - 02:00pm |
--- Lunch break --- |
02:00pm - 02:50pm |
System identifiation general aspects and structure |
|
02:50pm - 03:40pm |
Extreme
value analysis of Taiwan stock market |
03:40pm - 04:00pm |
--- Tea Break --- |
|
04:00pm - 04:50pm |
Stock market volatility: examining North America, Europe
and Asia |
Tuesday, 11 May 2004 |
|
10:45am - 12:00nn |
Multivariate time series analysis and
forecasting
(Tutorial lecture 2) |
Wendesday, 12 May 2004 |
|
10:45am - 12:00nn |
Multivariate time series analysis and
forecasting
(Tutorial lecture 3) |
Thursday, 13 May 2004 |
|
10:45am - 12:00nn |
Multivariate time series analysis and
forecasting
(Tutorial lecture 4) |
Friday, 14 May 2004 |
|
|
Venue: |
Seminar Room 3 (Level 1) |
|
04:00pm - 05:00pm |
On
portfolio optimization: how do we benefit from
high-frequency data |
Organizers · Confirmed Visitors · Overview · Membership Application
 |
