NAME & AFFILIATION |
PERIOD OF VISIT |
TENTATIVE TITLE OF TALK |
|
Robert F. Engle (Nobel Laureate)
New York University
rengle@stern.nyu.edu |
7 - 11 May 2004 |
- Downside risk and its implications
for financial management (Symposium)
Presentation:
PPT |
|
Lawrence R. Klein (Nobel Laureate)
University of Pennsylvania
lrk@econ.upenn.edu |
5 - 12 May 2004 |
- The University of Pennsylvania models
for high-frequency macroeconomic modeling
Paper: PDF...
Presentation: PPT...
- Interpreting multi-sectoral versus
multi-time-period analysis in forecasting
(Symposium) |
|
Tilak Abeysinghe
National University of Singapore
tilakabey@nus.edu.sg |
5 Apr - 22 May 2004 |
-
Temporal aggregation, causality distortions, and a sign
rule
Paper: PDF...
Presentation: PDF... |
|
Federico Bandi
University of Chicago
federico.bandi@gsb.uchicago.edu |
3 - 9 May 2004 |
-
Microstructure noise, realized volatility, and optimal
sampling
(Symposium)
Paper1: PDF... Paper2:
PDF... |
|
Carlos Bautista
University of the Philippines
bautista@up.edu.ph |
3 - 15 May 2004 |
- How
volatile are East Asian stocks during high volatility
periods?
Paper: PDF...
Presentation: PPT... |
|
Anil K. Bera
University of Illinois at Urbana-Champaign
abera@uiuc.edu |
16 - 20 Apr 2004 |
- A
smooth test for density forecast evaluation |
|
Lisa Grace S. Bersales
University of the Philippines
lisab@pacific.net.ph |
5 - 15 May 2004 |
- A
composite leading economic indicator for the Philippines |
|
Wolfgang Breymann
Institut für Physik, Switzerland
breymann@math.ethz.ch |
18 Apr - 9 May 2004 |
-
Univariate and multivariate analysis and modeling of
high-frequency financial data (Tutorial Lecture)
Presentation:
1...,
2...,
3...,
4...
- Intraday diversified
world stock indices: dynamics, return distributions,
dependence structure
(Symposium)
Paper: PDF...
Presentation: PDF... |
|
Wai Sum Chan
The University of Hong Kong
chanws@hku.hk |
1 - 9 May 2004 |
|
|
Songnian Chen
Hong Kong University of Science and Technology
snchen@ust.hk |
4 - 10 Apr 2004 |
- An
integrated smoothed maximum score estimator for a
generalized censored Quantile regression model |
|
Chew Lian Chua, Michael
The University of Melbourne
mchua@unimelb.edu.au |
5 Apr - 8 May 2004 |
|
|
Choongtze Chua
Singapore Management University
ctchua@smu.edu.sg |
5 Apr - 22 May 2004 |
|
|
Francis Dakila
Bangko Sentral ng Pilipinas
fdakila@yahoo.com;
fdakila@bsp.gov.ph |
5 Apr - 22 May 2004 |
The
BSP’s structural long-term inflation forecasting model
for the Philippines
Paper: PDF...
Presentation:
PPT... |
|
Manfred Deistler
Technische Universität Wien
deistler@tuwien.ac.at |
9 - 15 May 2004 |
- Multivariate time series analysis and
forecasting (Tutorial Lecture)
Presentation:
1...,
2...,
3...,
4...
- System identifiation
general aspects and structure
Presentation: PDF.... |
|
Philip Hans Franses
Erasmus University Rotterdam, The Netherlands
franses@few.eur.nl |
26 Apr - 8 May 2004 |
-
Forecasting seasonal time series (Tutorial Lecture)
Presentation: PDF....
- Forecasting jumps in
conditional volatility: The GARCH-IE model
(Symposium)
Presentation: PDF.... |
|
Christian Gourieroux
CREST, CEPREMAP and
University of Toronto
c.gourieroux@utoronto.ca |
3 - 9 May 2004 |
-
Affine processes with financial applications (Tutorial Lecture)
References: 1...,
2...,
3...,
4...
- Wishart quadratic term structure models
(Symposium)
Paper: PDF... |
|
Yongmiao Hong
Cornell University
yh20@cornell.edu |
4 - 9 May 2004 |
- Are
the directions of stock price changes predictable?
Statistical theory and evidence
(Symposium)
Paper: PDF... |
|
Nikolaus Hautsch
University of Copenhagen
Nikolaus.Hautsch@econ.ku.dk |
6 - 11 May 2004 |
- A
continuous-time measurement of the buy-sell pressure in
a limit order book market
Paper: PDF... |
|
Hoe Ee Khor
Monetary Authority of Singapore
hkhor@mas.gov.sg |
5 Apr - 22 May 2004 |
|
|
Jin Lee
National University of Singapore
ecsleej@nus.edu.sg |
5 Apr - 22 May 2004 |
- Wavelet transform for log periodogram
regression in long memory stochastic volatility model |
|
Wai Keung Li
The University of Hong Kong
hrntlwk@hkucc.hku.hk |
2 - 9 May 2004 |
- A
multivariate threshold GARCH model with time-varying
correlations
(Symposium)
Paper: PDF... |
|
Jin-Lung (Henry) Lin
Academia Sinica, National Taiwan University
jlin@beta.wsl.sinica.edu.tw |
6 - 11 May 2004 |
-
Extreme value analysis of Taiwan stock market |
|
Qianqiu Liu
University of Hawaii
qliu@cba.hawaii.edu |
13 - 23 May 2004 |
- On
portfolio optimization: how do we benefit from
high-frequency data
Paper: PDF....
Presentation: PPT... |
|
Asger Lunde
Aarhus School of Business
alunde@asb.dk |
5 - 9 May 2004 |
- An
unbiased measure of realized variance
(Symposium)
Paper1: PDF... Paper2:
PDF... |
|
Roberto Mariano
Singapore Management University and
University of
Pennsylvania
rsmariano@smu.edu.sg |
5 Apr - 22 May 2004 |
|
|
Michael McAleer
University of Western Australia
Michael.McAleer@uwa.edu.au |
5 - 9 May 2004 |
-
Dynamic leverage and threshold effects in stochastic
volatility models
(Symposium)
Paper: PDF.... |
|
Paul McNelis
Georgetown University
mcnelisp@georgetown.edu |
1 - 22 May 2004 |
- A
comparison of U.S. and Hong Kong cap-floor volatility
dynamics
Paper: PDF.... |
|
Yasutomo Murasawa
Osaka Prefecture University
murasawa@eco.osakafu-u.ac.jp |
18 - 24 Apr 2004 |
-
Constructing a coincident index of business cycles
without assuming a one-factor model
Paper: PDF.... |
|
Roel Oomen
University of Warwick
roel.oomen@wbs.ac.uk |
6 - 10 May 2004 |
-
Properties of realized variance for pure jump processes:
calendar time sampling versus business time sampling
(Symposium)
Paper1: PDF... Paper2:
PDF...
Presentation: PDF... |
|
Gamini Premaratne
National University of Singapore
gamini@nus.edu.sg |
5 Apr - 22 May 2004 |
-
Stock market volatility: examining North America, Europe
and Asia
Paper: PDF.... |
|
Edward Robinson
Monetary Authority of Singapore
edward@mas.gov.sg |
5 Apr - 22 May 2004 |
|
|
Jeffrey Russell
University of Chicago
jeffrey.russell@gsb.uchicago.edu |
2 - 9 May 2004 |
-
Econometric analysis of high-frequency financial data
(Tutorial Lecture)
Presentation: PDF....
- Full-information
transaction costs
(Symposium)
Paper: PDF....
Presentation: PPT... |
|
Anthony Tay
Singapore Management University
anthonytay@smu.edu.sg |
5 Apr - 22 May 2004 |
|
|
Yiu Kuen Tse
Singapore Management University
yktse@smu.edu.sg |
5 Apr - 22 May 2004 |
|
|
Kenneth Wallis
University of Warwick
K.F.Wallis@warwick.ac.uk |
29 Apr - 8 May 2004 |
-
Forecast uncertainty, its representation and evaluation
(Tutorial Lecture)
Outline and references: PDF...
- An assessment of Bank
of England and National Institute inflation forecast
uncertainties
(Symposium)
Paper: PDF.... |
|
Kenneth D. West
University of Wisconsin
kdwest@wisc.edu |
6 - 9 May 2004 |
Using
out-of-sample mean squared prediction errors to test the
martingale difference hypothesis
(Symposium)
Paper: PDF....
Appendix: PDF...
Presentation: PDF... |
|
Wing-Keung Wong
National University of Singapore
ecswwk@nus.edu.sg |
5 Apr - 22 May 2004 |
|
|
Baosheng Yuan
National University of Singapore
baosheng@cz3.nus.edu.sg |
5 Apr - 22 May 2004 |
-
Statistical analysis of high frequency financial data
and modeling of financial time series
Presentation: PPT.... |
|
GRADUATE STUDENTS |
|
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|
Wu Jie
National University of Singapore
g0201929@nus.edu.sg |
5 Apr - 22 May 2004 |
-
Intraday periodicity, long memory volatility, and
macroeconomic announcement effects on China Treasury
bond market
Paper: PDF.... |
|
Yi-Chiung Lin
University of London
yi-chiung@hotmail.com |
12 Apr - 22 May 2004 |
|
|
Hua Wen
National University of Singapore
g0201944@nus.edu.sg |
5 Apr - 22 May 2004 |
|
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John Williams
University of Oxford
john.williams@chch.ox.ac.uk |
4 Apr - 22 May 2004 |
|
|
Filip Žikeš
Charles University in Prague, Czech Republic
zikesf@yahoo.com |
25 Apr - 7 May 2004 |
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