[轉錄][情報]CRETA Workshop on Advanced Econometri …
※ [本文轉錄自 NTUfinGrad99 看板 #1COtbutS ]
作者: cretantu (計量理論與應用研究中心) 看板: NTUfinGrad99
標題: [情報]CRETA Workshop on Advanced Econometrics-Prof Peter Hansen
時間: Thu Aug 12 12:32:54 2010
國立臺灣大學計量理論與應用研究中心 (CRETA) 很榮幸邀請到 Stanford University 的
Professor Peter Hansen 於 8 月 24 日(二)至 8 月 28 日(六)至本中心訪問，
並於 CRETA Workshop on Advanced Econometrics 6 進行兩天關於
Comparison of Forecasting Models 及 Volatility Estimation and Modeling
Using High-Frequency Data 的專題演講。專題演講的時間為 8 月 26 日(四) 及
8 月 27 日(五)， 地點為台大管理學院一號館 3F 玉山講堂。歡迎大家踴躍報名參加
欲參加者，請於 8 月 24 日(二)，下午五點鐘前至 CRETA 網站線上報名：
http://www.creta.org.tw/events/view/19。詳細的報名資訊及議程請見下列。
* Date: Aug. 26, 2010 (Thus.), 2:00 pm – 5:00 pm;
Aug. 27, 2010 (Fri.), 9:20 am – 5:00 pm
Venue: E. Sun Lecture Hall, 3F, College of Management, NTU
(臺大管理學院一號館三樓玉山講堂)
* 報名費：臺灣大學學生及教職員和臺灣經濟計量學會會員為免費參加
其他參加者報名費為NT$600 (含兩天的場次)
* Lecture Overview:
Day 1: Comparison of Forecasting Models
In these lectures will cover two topics.
1) Methods for comparing forecasting models, such as test for equal predictive
ability, superior predictive ability, and the theory of model confidence sets.
2) The Winner's Curse problem in forecasting, which is a new result that has
important implications for the selection of forecasting models in practice.
Day 2: Volatility Estimationand Modelling using High-Frequency Data
Volatility Estimationand Modelling using High-Frequency Data.
The first part of these lectures will cover volatility estimation
using high frequency data, such as the Realized Kernel estimator and
the Markov Chain estimator.
The second part of these lectures will cover new GARCH models that incorporate
realized measures of volatility, such as the Realized GARCH model.
* About the Speaker
Peter Hansen is currently Assistant Professor of Economics at Stanford University.
Professor Hansen is well known for his tests of superior peredictive ability.
His researches on model confidence set and realized kernel estimator
also attract much attention in this profession recently.
Professor Hansen co-authored the book "Workbook on Cointegration"
with Professor Søren Johansen, which is considered the must-read textbook
in learning cointegration. His research articles have been published in
several prestigious journals, such as Journal of Econometrics,
Journal of Business and Economic Statistics, Journal of Financial Econometrics.
Professor Hansen has received research grants from Danish Research Grant and
Salomon Research Grant and currently is Associate Editor for the Journal of
Applied Econometrics.
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.24.239
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 140.112.181.200