ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS
(5 Apr - 22 May 2004)

Jointly organized by Institute for Mathematical Sciences, National University of Singapore and School of Economics and Social Sciences, Singapore Management University

Organizers · Confirmed Visitors · Overview · Activities · Call for Papers · Membership Application

Co-chairs

• Tilak Abeysinghe (National University of Singapore)
• Roberto S. Mariano (Singapore Management University and University of Pennsylvania)
• Yiu Kuen Tse (Singapore Management University)

Members

• Ole E. Barndorff-Nielsen (University of Aarhus)
• Frank Diebold (University of Pennsylvania)
• Sam Ouliaris (National University of Singapore)
• Adrian Pagan (Australian National University)
• Neil Shephard (Oxford University)
• Anthony Tay (Singapore Management University)
• George Tiao (University of Chicago)

• Partial list; As at 10 May 2004

This program focuses on two major topics in econometrics: forecasting and high-frequency data analysis.

Econometric forecasting has seen new dimensions recently due to developments in non-stationary time series, systems of equations and nonlinear dynamic modeling. Focusing on macroeconometric forecasting and forecasting in financial markets, this first part of the program will cover various methodological issues and applications that have found advancements recently - such as: density forecasting; forecast comparison and evaluation; real-time forecasting; expectations data in forecasting; data mining approaches such as neural network and genetic programming; and leading indicators, diffusion index and warning signals.

Advances in high-frequency data (HFD) analysis recently has accelerated with availability of financial intra-day trade data. The complexity of the microstructure of financial markets poses additional challenges to researchers analyzing such data. This second part of the program includes the following topics: intraday trading patterns; estimation of volatility from HFD; intrinsic time, trading horizon and ripple effect; micro-market issues such as breadth and depth of market, efficiency (informational and operational) of trading methods, informed trading and noise trading; tail index, VaR (value at risk) and risk assessment; cross covariance and temporal aggregation; and regular interval and irregular interval data.

Date	Activity
6 Apr 2004	Seminars and workshops  Songnian Chen, Francis Dakila
15 Apr 2004	Seminars and workshops  Jin Lee, Baosheng Yuan
19 Apr 2004	Seminars and workshops  Wu Jie, Anil Bera, Yasutomo Murasawa
26 - 29 Apr 2004	Tutorials  Phillip Hans Frances, Wolfgang Breymann Seminars and workshops  TBA
3 - 6 May 2004	Tutorials  Ken Wallis, Jeffrey Russell, C. Gourieroux Seminars and workshops Carlos Bautista, Paul McNelis
7 - 8 May 2004	Symposium of invited papers Robert Engle, Lawrence Klein, Kennneth Wallis, Wolfgang Breymann, Christian Gourieroux, Kenneth West, Yongmiao Hong, Phillip Hans Frances, Wai-Keung Li, Jeffrey Russell, Federico Bandi, Asger Lunde, Roel Oomen, Tilak Abeysinghe, Michael McAleer
8 May 2004	Forum on Econometrics Today  Panel Discussion by:  Robert F. Engle, Lawrence R. Klein, Kenneth Wallis
10 - 14 May 2004	Tutorials  Manfred Deistler Seminars and workshops Manfred Deistler, Jin-Lung (Henry) Lin, Gamini Premaratne

Notes:

1. Seminars and workshops are presentations of about one to one and half hours, and will be arranged according to the schedule of the visitors/participants. These may be presentations of completed results or work in progress.
2. Tutorials consist of series of four sessions of one and half hours each, either on Econometric Forecasting or High Frequency Data Analysis. The tutorials are suitable for advanced graduate students as well as researchers on the area. They may cover survey material and/or new research results.
3. The symposium of invited papers is the highlight of the program. There will be about five paper presentations each day on Econometric Forecasting or High Frequency Data Analysis.

IMS Membership is not required for participation in above activities. For attendance at these activities, please complete the registration form (MSWord|PDF|PS) and fax it to us at (65) 6873 8292 or email it to us at ims@nus.edu.sg.

If you are an IMS member or are applying for IMS membership, you do not need to register for these activities.

Abstracts of talks for seminars and symposium are welcomed and should be submitted to YEOH San Yee at imsysy@nus.edu.sg by 31 January 2004. The abstract should fit on one page and include the title of the talk, the name, affiliation, full postal address, and e-mail address of the speaker, and a summary of the talk which provides sufficient information to assess the relevance of the results/work done. Notification of the acceptance of the abstract will be given within one month of submission.

The Institute for Mathematical Sciences invites applications for membership for participation in the above program. Limited funds to cover travel and living expenses are available to young scientists. Applications should be received at least three (3) months before the commencement of membership. Application form is available in (MSWord|PDF|PS) format for download.

More information is available by writing to:

Secretary
Institute for Mathematical Sciences
National University of Singapore
3 Prince George's Park Singapore 118402
Republic of Singapore

or email to imssec@nus.edu.sg.

For enquiries on scientific aspects of the program, please email Roberto S. Mariano at rsmariano@smu.edu.sg.

Organizers · Confirmed Visitors · Overview · Activities · Call for Papers · Membership Application