Back to Programs and Activities

 

 
 
 

Tutorials, workshops and symposium registration form
    MSWord | PDF | PS

Membership application form
    MSWord | PDF | PS

Enquiries

      General

      Scientific aspects

 
 

 

 

 

ECONOMETRIC FORECASTING AND HIGH-FREQUENCY DATA ANALYSIS
(5 Apr - 22 May 2004)

Jointly organized by Institute for Mathematical Sciences, National University of Singapore and School of Economics and Social Sciences, Singapore Management University

Organizers · Confirmed Visitors · Overview · Activities · Call for Papers · Membership Application

 Organizers

Co-chairs

  • Tilak Abeysinghe (National University of Singapore)
  • Roberto S. Mariano (Singapore Management University and University of Pennsylvania)
  • Yiu Kuen Tse (Singapore Management University)

Members

  • Ole E. Barndorff-Nielsen (University of Aarhus)
  • Frank Diebold (University of Pennsylvania)
  • Sam Ouliaris (National University of Singapore)
  • Adrian Pagan (Australian National University)
  • Neil Shephard (Oxford University)
  • Anthony Tay (Singapore Management University)
  • George Tiao (University of Chicago)

 Confirmed Visitors

 Overview

This program focuses on two major topics in econometrics: forecasting and high-frequency data analysis.

Econometric forecasting has seen new dimensions recently due to developments in non-stationary time series, systems of equations and nonlinear dynamic modeling. Focusing on macroeconometric forecasting and forecasting in financial markets, this first part of the program will cover various methodological issues and applications that have found advancements recently - such as: density forecasting; forecast comparison and evaluation; real-time forecasting; expectations data in forecasting; data mining approaches such as neural network and genetic programming; and leading indicators, diffusion index and warning signals.

Advances in high-frequency data (HFD) analysis recently has accelerated with availability of financial intra-day trade data. The complexity of the microstructure of financial markets poses additional challenges to researchers analyzing such data. This second part of the program includes the following topics: intraday trading patterns; estimation of volatility from HFD; intrinsic time, trading horizon and ripple effect; micro-market issues such as breadth and depth of market, efficiency (informational and operational) of trading methods, informed trading and noise trading; tail index, VaR (value at risk) and risk assessment; cross covariance and temporal aggregation; and regular interval and irregular interval data.

 Activities

Date

Activity

6 Apr 2004

Seminars and workshops
 Songnian Chen, Francis Dakila

15 Apr 2004

Seminars and workshops
 Jin Lee, Baosheng Yuan

19 Apr 2004

Seminars and workshops
 Wu Jie, Anil Bera, Yasutomo Murasawa

26 - 29 Apr 2004

Tutorials
 Phillip Hans Frances, Wolfgang Breymann
Seminars and workshops
 TBA

3 - 6 May 2004

Tutorials
 Ken Wallis, Jeffrey Russell, C. Gourieroux
Seminars and workshops
Carlos Bautista, Paul McNelis

7 - 8 May 2004

Symposium of invited papers
Robert Engle, Lawrence Klein, Kennneth Wallis, Wolfgang Breymann, Christian Gourieroux, Kenneth West, Yongmiao Hong, Phillip Hans Frances, Wai-Keung Li, Jeffrey Russell, Federico Bandi, Asger Lunde, Roel Oomen, Tilak Abeysinghe, Michael McAleer

8 May 2004

Forum on Econometrics Today
 
Panel Discussion by:
 Robert F. Engle, Lawrence R. Klein, Kenneth Wallis

10 - 14 May 2004

Tutorials
 Manfred Deistler
Seminars and workshops
Manfred Deistler, Jin-Lung (Henry) Lin, Gamini Premaratne

Notes:

  1. Seminars and workshops are presentations of about one to one and half hours, and will be arranged according to the schedule of the visitors/participants. These may be presentations of completed results or work in progress.
  2. Tutorials consist of series of four sessions of one and half hours each, either on Econometric Forecasting or High Frequency Data Analysis. The tutorials are suitable for advanced graduate students as well as researchers on the area. They may cover survey material and/or new research results.
  3. The symposium of invited papers is the highlight of the program. There will be about five paper presentations each day on Econometric Forecasting or High Frequency Data Analysis.

IMS Membership is not required for participation in above activities. For attendance at these activities, please complete the registration form (MSWord|PDF|PS) and fax it to us at (65) 6873 8292 or email it to us at ims@nus.edu.sg.

If you are an IMS member or are applying for IMS membership, you do not need to register for these activities.

 Call for Papers

Abstracts of talks for seminars and symposium are welcomed and should be submitted to YEOH San Yee at imsysy@nus.edu.sg by 31 January 2004. The abstract should fit on one page and include the title of the talk, the name, affiliation, full postal address, and e-mail address of the speaker, and a summary of the talk which provides sufficient information to assess the relevance of the results/work done. Notification of the acceptance of the abstract will be given within one month of submission.

 Membership Application

The Institute for Mathematical Sciences invites applications for membership for participation in the above program. Limited funds to cover travel and living expenses are available to young scientists. Applications should be received at least three (3) months before the commencement of membership. Application form is available in (MSWord|PDF|PS) format for download.

More information is available by writing to:
Secretary
Institute for Mathematical Sciences
National University of Singapore
3 Prince George's Park Singapore 118402
Republic of Singapore
or email to imssec@nus.edu.sg.

For enquiries on scientific aspects of the program, please email Roberto S. Mariano at rsmariano@smu.edu.sg.

Organizers · Confirmed Visitors · Overview · Activities · Call for Papers · Membership Application