台大 CRETA Workshop on Advanced Econometrics 5 - 經濟

作者: yichinuk (robenca) 看板: NTUfinDr96
標題: [情報]台大 CRETA Workshop on Advanced Econometrics 5

國立臺灣大學計量理論與應用研究中心 (CRETA), 臺灣經濟計量學會與國立臺灣大學財金
系，將於5月14日（五）及5月15日(六)共同舉辦第五次「CRETA Workshop on Advanced
Econometrics」。地點為臺大管理學院一號館2F 冠德講堂。此次專題研討會很榮幸邀請
到來自 Humboldt-Universitat zu Berlin 的
Professor Wolfgang Hardle 至本中心進行一場有關 Modern Techniques in Financial
Econometrics 的演講。

About the Speaker:

Professor Hardle has worked with the finance industry for nearly 15 years as a
consultant, specializing in computer packages and advanced numerical methods.
Professor Hardle currently is director of the Center for Applied Statistics and
Economics and professor of statistics at the Department of Economics and
Business Administration at the Humboldt-University Berlin.
Professor Hardle is the author of several well-noted books on statistical
methods in finance and insurance, such as “Applied Quantitative Finance”,
“Statistics of Financial Markets: an Introduction”, and
“Applied Multivariate Statistical Analysis” and his papers have been
published in numerous prestigious journals, such as
Journal of the American Statistical Association , Journal of Econometrics,
Journal of Financial Econometrics, Journal of Empirical Finance,
Journal of Forecasting, Journal of Risk and Insurance and
Quantitative Finance.


Lecture Overview:
1. Foundations of modern nonparametric statistics: likelihood theory in a nutshell, local parametric modelling, Small Modelling Bias, Approximation theorems, overview over applications
2. Adaptive techniques: Local Change Point Analysis (LCP), Local Model selection (LMS), time varying GARCH modelling
3. Applications in risk management: GHICA – Generalized Hyperbolic distributions and Independent Component Analysis
4. Time varying dependency: ADACOP – Adaptive copulae in finance
5. Local Quantile Regression
6. Normalizing Temperature Risk for weather derivatives

Program:

May 13 (Fri.) Kuan Te Lecture Hall
9:00-9:30: Registration
9:30-12:15: Lecture 1 (75mins/session; 15 mins break in between)
14:00-17:30: Lecture 2 (60mins/session; 15 mins break in between)

May 14 (Sat.) Kuan Te Lecture Hall
9:00-9:30: Registration
9:30-12:15: Lecture 3 (75mins/session; 15 mins break in between)
*All Lectures will be in English

報名費及報名方式:
Students and Faculty of NTU: No Charge
Members of Taiwan Econometric Society: No Charge
All Other Participants: NT$600 (for 2 days’ session)
Register your attendance online through the link below by 5pm, May. 12 (Wed)

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)
請於5月12日(三)，下午五點鐘前至以下連結進行線上報名

[https://spreadsheets.google.com/viewform?formkey=dGtoVUtrX0xYVjB4M1h6YVBoTnB1TEE6MQ]
詳細情形，可至 www.tesociety.org.tw 查詢

聯絡人: 李宜芹 電話: 02-3366-1072 E-mail: [email protected]







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