各位学界的朋友： 大家好! 国立台湾大学计量理论与应用研究中心 (CRETA) 很荣幸邀请到 Stanford University 的 Professor Peter Hansen 於 8 月 24 日(二) 至 8 月 28 日(六)至本中心访问，并於 CRETA Workshop on Advanced Econometrics 6 进行两天关於 Comparison of Forecasting Models 及 Volatility Estimation and Modeling Using High-Frequency Data 的 专题演讲。专题演讲的时间为 8 月 26 日(四) 及 8 月 27 日(五)， 地点为台大管理学院一号馆 3F 玉山讲堂。欢迎大家踊跃报名参加！ （欢迎各位教授莅临指导，或将此消息转告给有兴趣的学生。谢谢您!） 欲参加者，请於 8 月 24 日(二)，下午五点钟前至 CRETA 网站线上报名： http://www.creta.org.tw/events/view/19。 详细的报名资讯及议程请见下列及附件。 * 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 (台大管理学院一号馆三楼玉山讲堂) * 报名费：台湾大学学生及教职员和台湾经济计量学会会员为免费参加 其他参加者报名费为 NT$600 (含两天的场次) * 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 Estimation and 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. 计量理论与应用研究中心 敬启 2010.08.12 -- Center for Research in Econometric Theory and Applications National Taiwan University 85, Sec. 4, Roosevelt Road Taipei 106, TAIWAN Tel: +886 2 3366 1072 Fax: +886 2 3366 9580 Website: http://www.creta.org.tw --

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