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Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
(1 - 22 June 2012)

Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries

 

Visitors and Participants

NAME & AFFILIATION

PERIOD OF VISIT

TENTATIVE TITLE OF TALK

OVERSEAS VISITORS

   

Matteo Barigozzi
London School of Economics, UK
m.barigozzi(AT)lse.ac.uk

3 - 9 Jun 2012

Workshop I:

Which model to match?

Luc Bauwens
Université Catholique de Louvain, Belgium
luc.bauwens(AT)uclouvain.be

2 - 12 Jun 2012

Workshop I:

CAW-DCC: A dynamic model for vast realized covariance matrices

Denis Belomestny
Universität Duisburg-Essen, Germany
denis.belomestny(AT)uni-due.de

3 - 8 Jun 2012

Workshop I:

Modeling of high-dimensional time series via time-changed Levy processes: statistical inference without curse of dimensionality

Chao-Jen Chen
University of Chicago, USA
ccj(AT)uchicago.edu

1 - 22 Jun 2012

Rong Chen
Rutgers University, USA
rongchen(AT)stat.rutgers.edu

3 - 8 Jun 2012

Workshop I:

Dynamic modeling and prediction of risk neutral densities

Yang Chen
Imperial College London, UK
ychen(AT)imperial.ac.uk

19 Jun 2012

Haeran Cho
London School of Economics, UK
h.cho1(AT)lse.ac.uk

11 - 21 Jun 2012

Richard Davis
Columbia University, USA
rdavis(AT)stat.columbia.edu

17 - 23 Jun 2012

Workshop II:

Sparse vector autoregressive modeling

Jianqing Fan
Princeton University, USA
jqfan(AT)princeton.edu

4 - 6 Jun 2012

Workshop I:

Leverage effect puzzle

Jürgen Franke
Universität Kaiserslautern, Germany
franke(AT)mathematik.uni-kl.de

3 - 11 Jun 2012

Workshop I:

Sudden changes in the structure of time series

Piotr Fryzlewicz
London School of Economics, UK
p.fryzlewicz(AT)lse.ac.uk

3 - 23 Jun 2012

Eric Ghysels
University of North Carolina, USA
eghysels(AT)unc.edu

4 - 15 Jun 2012

Workshop I:

Mixed frequency vector autoregressive models and the consequences of ignoring high frequency data


Special Lecture Series:

The econometric analysis of mixed frequency data with macro/finance applications

Christian Hafner
Université Catholique de Louvain, Belgium
christian.hafner(AT)uclouvain.be

3 - 9 Jun 2012

Workshop I:

Volatility of price indices for heterogeneous goods

Wolfgang Härdle
Humboldt-Universität zu Berlin, Germany
haerdle(AT)wiwi.hu-berlin.de

10 - 16 Jun 2012

Special Lecture Series:

Statistics of risk allocation in markets, individuals and neurons

(PDF 1, PDF 2, PDF 3, PDF 4)

Ernesto Icogo
University of the Philippines, Philippines
ernesto.icogo(AT)yahoo.com

10 - 16 Jun 2012

Piotr Kokoszka
Colorado State University, USA
Piotr.Kokoszka(AT)colostate.edu

5 - 23 Jun 2012

Workshop II:

Application of functional data analysis to intraday financial data

Kiran Kumar Kotha
National Institute of Securities Markets, India
kiran.kumar(AT)nism.ac.in

11 - 22 Jun 2012

Clifford Lam
London School of Economics, UK
c.lam2(AT)lse.ac.uk

20 Jun 2012

Workshop II:

Factor modeling for high dimensional time series

Thomas Mikosch
Københavns Universitet, Denmark
mikosch(AT)math.ku.dk

18 - 23 Jun 2012

Workshop II:

Fourier analysis of extreme events

Jeroen Rombouts
HEC Montréal, Canada
jeroen.rombouts(AT)hec.ca

2 - 8 Jun 2012

Workshop I:

The value of model sophistication: an application to pricing Dow Jones industrial average options

Rainer von Sachs
Université Catholique de Louvain, Belgium
rvs(AT)uclouvain.be

16 - 22 Jun 2012

Workshop II:

Time-varying multivariate spectral analysis with applications to evolutionary factor analysis

Jian Shen
CASH Dynamic Opportunities Investment Limited, Hong Kong
jian.shen(AT)cash.com.hk

15 - 19 Jun 2012

Kevin Sheppard
University of Oxford, UK
kevin.sheppard(AT)economics.ox.ac.uk

3 - 9 Jun 2012

Workshop I:

Is idiosyncratic volatility idiosyncratic? Using high-frequency data to measure idiosyncratic volatility

Vladimir Spokoiny
Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany
spokoiny(AT)wias-berlin.de

18 - 23 Jun 2012

Workshop II:

Bernstein von Mises theorem and model calibration

Suhasini Subba Rao
Texas A&M University, USA
suhasini(AT)stat.tamu.edu

1 - 22 Jun 2012

Workshop II:

Discrete Fourier transform methods in the analysis of nonstationary time series

Yazhen Wang
University of Wisconsin-Madison, USA
yzwang(AT)cs.wisc.edu

17 - 23 Jun 2012

Workshop II:

Large volatility matrix estimation for high-frequency financial data


Special Lecture Series:

Stochastic models and statistical analysis for financial data

Yongjin Wang
Nankai University, China
yjwang(AT)nankai.edu.cn

3 - 15 Jun 2012

Workshop I:

Some computations in the credit derivatives pricing

Sam Wong
CASH Dynamic Opportunities Investment Limited, Hong Kong
sam.wong(AT)cash.com.hk

14 - 16 Jun 2012

Special Lecture Series:

Algorithmic trading - mathematics, technology, finance and regulation

Jianfeng Yao
The University of Hong Kong, Hong Kong
jeffyao(AT)hku.hk

19 - 22 Jun 2012

Workshop II:

On estimation of the population spectrum from large dimensional covariance matrices

Qiwei Yao
London School of Economics, UK
q.yao(AT)lse.ac.uk

3 - 22 Jun 2012

LOCAL VISITORS

   

Ying Chen
National University of Singapore
stacheny(AT)nus.edu.sg

1 - 22 Jun 2012

Jin-Chuan Duan
National University of Singapore
bizdjc(AT)nus.edu.sg

1 - 22 Jun 2012

Workshop I:

Local-momentum GARCH


Special Lecture Series:

Dynamic default predictions - spot and forward intensity approaches

(PDF 1)


Distance-to-default - concept and implementation

(PDF 2)

Hee Joon Han
National University of Singapore
ecshhj(AT)nus.edu.sg

1 - 22 Jun 2012

Workshop I:

Asymptotic theory of the QMLE for GARCH-X Models with stationary and nonstationary covariates

Tatsushi Oka
National University of Singapore
oka(AT)nus.edu.sg

4 - 7 Jun 2012

Workshop I:

Testing for structural change in quantile regression models

Liangjun Su
Singapore Management University
ljsu(AT)smu.edu.sg

1 - 22 Jun 2012

Workshop 2:

Specification test for panel data models with interactive fixed effects

Defeng Sun
National University of Singapore
matsundf(AT)nus.edu.sg

1 - 22 Jun 2012

Workshop II:

The low-rank correlation matrix problems: nonconvex regularization and successive convex relaxations

Chengyong Tang
National University of Singapore
statc(AT)nus.edu.sg

1 - 22 Jun 2012

Workshop I:

A Quasi-maximum likelihood approach for covariance matrix with high frequency data

Yiu Kuen Tse
Singapore Management University
yktse(AT)smu.edu.sg

1 - 22 Jun 2012

Yingcun Xia
National University of Singapore
staxyc(AT)nus.edu.sg

1 - 22 Jun 2012

Jun Yu
Singapore Management University
yujun(AT)smu.edu.sg

1 - 22 Jun 2012

Workshop I:

Testing for multiple bubbles

GRADUATE STUDENTS

   

Boguslaw Blawat
Polish Academy of Sciences, Poland
boguslaw.blawat(AT)yahoo.com

2 - 22 Jun 2012

Ka Shing Chan
The Hong Kong University of Science and Technology, Hong Kong
kschan.hk(AT)gmail.com

11 - 22 Jun 2012

Michael Chia
University of Chicago, USA
michaelchia(AT)uchicago.edu

1 - 22 Jun 2012

Yingjie Dong
Singapore Management University
yj.dong.2010(AT)phdecons.smu.edu.sg

11 - 18 Jun 2012

Jianfeng Hu
City University of New York, USA
rmiv30(AT)nus.edu.sg

8 - 22 Jun 2012

Zetty Ain Kamaruzzaman
National University of Malaysia, Malaysia
zettyain(AT)yahoo.com

3 - 8 Jun 2012

Tobias Kley
Ruhr University Bochum, Germany
tobias.kley(AT)ruhr-uni-bochum.de

10 - 23 Jun 2012

Bo Li
National University of Singapore
a0030821(AT)nus.edu.sg

1 - 22 Jun 2012

Erhe Li
National University of Singapore
evelyn2he(AT)gmail.com

1 - 22 Jun 2012

Cheng Liu
National University of Singapore
g0900751(AT)nus.edu.sg

1 - 22 Jun 2012

Heng Liu
Columbia University, USA
hengliu(AT)stat.columbia.edu

10 - 23 Jun 2012

Shan Luo
National University of Singapore
luoshan08(AT)nus.edu.sg

1 - 22 Jun 2012

Raffaello Morales
King's College London, UK
raffo.morales(AT)gmail.com

15 - 20 Jun 2012

Oliver Michelangelo Pfaffel
Technische Universität München, Germany
pfaffel(AT)ma.tum.de

1 - 17 Jun 2012

Philip Preuss
Ruhr University Bochum, Germany
philip.preuss(AT)rub.de

3 - 17 Jun 2012

He Qiang
National University of Singapore
hq19861027(AT)gmail.com

1 - 22 Jun 2012

Wenlong Song
National University of Singapore
wenlong.song(AT)nus.edu.sg

1 - 22 Jun 2012

Chee-Ming Ting
Universiti Teknologi Malaysia, Malaysia
cmting1818(AT)yahoo.com

4 - 22 Jun 2012

Tianhao Wang
National University of Singapore
wangt(AT)nus.edu.sg

19 - 22 Jun 2012

Aika Yuri Winata
National University of Singapore
aika_winata(AT)yahoo.com.sg

1 - 22 Jun 2012

Wenji Xu
National University of Singapore
xuwenji1017(AT)gmail.com

1 - 22 Jun 2012

Yang Yan
London School of Economics, UK
y.yan3(AT)lse.ac.uk

10 - 22 Jun 2012

Pengfei Zang
Columbia University, USA
pengfei.columbia(AT)gmail.com

10 - 23 Jun 2012

Yuwei Zhao
University of Copenhagen, Denmark
zhao(AT)math.ku.dk

18 - 23 Jun 2012

REGISTERED LOCAL PARTICIPANTS

   

Qiran
National Institute of Securities Markets

11 Jun 2012

Miao Bin
National University of Singapore
miaobin(AT)nus.edu.sg

11 - 15 Jun 2012

Peter Chan
National University of Singapore
heyperterchan(AT)yahoo.com

6 - 20 Jun 2012

Jinyuan Chang
National University of Singapore
stacjy(AT)nus.edu.sg

11 - 21 Jun 2012

Xi Cheng
PricewaterhouseCoopers LLP
xi.cheng(AT)sg.pwc.com

11 - 15 Jun 2012

Chuan Lian Goh
Singapore Institute of Management
glacierstorm89(AT)gmail.com

5 - 21 Jun 2012

Chionh Ivan
PricewaterhouseCoopers LLP
ivan.cw.chionh(AT)sg.pwc.com

11 - 18 Jun 2012

Binyan Jiang
National University of Singapore
stajb(AT)nus.edu.sg

4 Jun 2012

Siong Boo Lee
PricewaterhouseCoopers LLP
siongboo.lee(AT)gmail.com

1 - 22 Jun 2012

Chee Kian Leong
SIM University
ckleong(AT)unisim.edu.sg

1 - 22 Jun 2012

Hua Li
National University of Singapore
g0800806(AT)nus.edu.sg

19 Jun 2012

Yang Li
Singapore Management University
s04085590(AT)yahoo.com.sg

12 Jun 2012

Tiong Wee Lim
National University of Singapore
stalimtw(AT)nus.edu.sg

4 - 18 Jun 2012

Kenneth Liu
National University of Singapore
a0075457(AT)nus.edu.sg

19 Jun 2012

Shouwei Liu
Singapore Management University
shouwei.liu.2010(AT)smu.edu.sg

11 Jun 2012

Wei Liem Loh
National University of Singapore
stalohwl(AT)nus.edu.sg

6 Jun 2012

Weimin Miao
National University of Singapore
miaoweimin(AT)nus.edu.sg

19 Jun 2012

Jin Tong Ng
Golden Agri
jiatongng(AT)goldenagri.com.sg

15 Jun 2012

Chengkai Ni
National University of Singapore
a0068282(AT)nus.edu.sg

11 Jun 2012

Shi Pei Seah
PricewaterhouseCoopers LLP
shi.pei.seah(AT)sg.pwc.com

15 - 18 Jun 2012

Zang Tao
Singapore Management University
tao.zeng.2009(AT)yahoo.com.sg

12 Jun 2012

Grace Tjin
Golden Agri
gracet(AT)goldenagri.com.sg

18 Jun 2012

Edwin Wei Rui Wan
Singapore Institute of Management
edwinwan88(AT)gmail.com

4 - 22 Jun 2012

Eric Wong
National University of Singapore
faxflax(AT)yahoo.com

1 - 22 Jun 2012

Ningning Xia
National University of Singapore
g0801329(AT)nus.edu.sg

19 Jun 2012

Chen Yang
National University of Singapore
a0092577(AT)nus.edu.sg

11 Jun 2012

Xin Zhou
National University of Singapore
ephzhoux(AT)nus.edu.sg

1 - 22 Jun 2012

Qiqi Zou
National University of Singapore
a0038819(AT)nus.edu.sg

11 Jun 2012

 

 

Organizing Committee · Visitors and Participants · Overview · Activities · Venue · Enquiries

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