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Workshop I on Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
( 4 - 7 Jun 2012 )

Venue: IMS Auditorium

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

 

 Monday, 4 Jun 2012

09:05am - 09:20am

Registration

09:20am - 09:30am

Opening Remarks

 

Chair: Matteo Barigozzi, London School of Economics, UK

09:30am - 10:30am

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

Luc Bauwens, Université Catholique de Louvain, Belgium

10:30am - 11:00am

--- Group Photo & Coffee Break ---

11:00am - 12:00nn

Volatility of price indices for heterogeneous goods

Christian Hafner, Université Catholique de Louvain, Belgium

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Piotr Fryzlewicz, London School of Economics, UK

02:30pm - 03:30pm

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

Hee Joon Han, National University of Singapore

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

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

Kevin Sheppard, University of Oxford, UK

Tuesday, 5 Jun 2012

09:15am - 09:30am

Registration

 

Chair: Qiwei Yao, London School of Economics, UK

09:30am - 10:30am

Leverage effect puzzle

Jianqing Fan, Princeton University, USA

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Dynamic modeling and prediction of risk neutral densities

Rong Chen, Rutgers University, USA

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Christian Hafner, Université Catholique de Louvain, Belgium

02:30pm - 03:30pm

Which model to match?

Matteo Barigozzi, London School of Economics, UK

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

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

Jeroen Rombouts, HEC Montréal, Canada

Wednesday, 6 Jun 2012

09:15am - 09:30am

Registration

 

Chair: Piotr Fryzlewicz, London School of Economics, UK

09:30am - 10:30am

Sudden changes in the structure of time series

Jürgen Franke, Universität Kaiserslautern, Germany

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Testing for structural change in quantile regression models

Tatsushi Oka, National University of Singapore

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Jeroen Rombouts, HEC Montréal, Canada

02:30pm - 03:30pm

Testing for multiple bubbles

Jun Yu, Singapore Management University

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

Local-momentum GARCH

Jin-Chuan Duan, National University of Singapore

Thursday, 7 Jun 2012

09:15am - 09:30am

Registration

 

Chair: Luc Bauwens, Université Catholique de Louvain, Belgium

09:30am - 10:30am

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

Eric Ghysels, University of North Carolina, USA

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

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

Chengyong Tang, National University of Singapore

12:00nn - 01:30pm

--- Lunch ---

 

Chair: Ying Chen, National University of Singapore

01:30pm - 02:30pm

Some computations in the credit derivatives pricing

Yongjin Wang, Nankai University, China

02:30pm - 03:30pm

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

Denis Belomestny, Universität Duisburg-Essen, Germany

 

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

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