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Workshop II on Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis
( 19 - 22 Jun 2012 )

Venue: IMS Auditorium

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

 

 Tuesday, 19 Jun 2012

09:05am - 09:20am

Registration

09:20am - 09:30am

Opening Remarks

 

Chair: Piotr Fryzlewicz, London School of Economics, UK

09:30am - 10:30am

Discrete Fourier transform methods in the analysis of nonstationary time series

Suhasini Subba, Rao Texas A&M University, USA

10:30am - 11:00am

--- Group Photo & Coffee Break ---

11:00am - 12:00nn

Application of functional data analysis to intraday financial data

Piotr Kokoszka,Colorado State University, USA

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Ying Chen, National University of Singapore

02:30pm - 03:30pm

Large volatility matrix estimation for high-frequency financial data

Yazhen Wang, University of Wisconsin-Madison, USA

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

Fourier analysis of extreme events

Thomas Mikosch, Københavns Universitet, Denmark

Wednesday, 20 Jun 2012

09:15am - 09:30am

Registration

 

Chair: Vladimir Spokoiny, Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany

09:30am - 10:30am

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

Rainer von Sachs, Université Catholique de Louvain, Belgium

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Sparse vector autoregressive modeling

Richard Davis, Columbia University, USA

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Rainer von Sachs, Université Catholique de Louvain, Belgium

02:30pm - 03:30pm

Factor modeling for high dimensional time series

Clifford Lam, London School of Economics, UK

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 05:00pm

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

Defeng Sun, National University of Singapore

Thursday, 21 Jun 2012

09:15am - 09:30am

Registration

 

Chair: Liangjun Su, Singapore Management University

09:30am - 10:30am

Bernstein von Mises theorem and model calibration

Vladimir Spokoiny, Weierstraß-Institut für Angewandte Analysis und Stochastik, Germany

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

On estimation of the population spectrum from large dimensional covariance matrices

Jianfeng Yao, The University of Hong Kong, Hong Kong

12:00nn - 02:30pm

--- Lunch ---

 

Chair: Qiwei Yao, London School of Economics, UK

02:30pm - 03:30pm

Specification test for panel data models with interactive fixed effects

Liangjun Su, Singapore Management University

 

03:30pm - 04:00pm

--- Coffee Break ---

Friday, 22 Jun 2012

 

Free Discussion

 

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

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