※ [本文转录自 NTUfinDr96 看板] 作者: yichinuk (robenca) 看板: NTUfinDr96 标题: [情报]台大 CRETA Workshop on Advanced Econometrics 5 时间: Thu Apr 29 11:00:22 2010 国立台湾大学计量理论与应用研究中心 (CRETA), 台湾经济计量学会与国立台湾大学财金 系，将於5月14日（五）及5月15日(六)共同举办第五次「CRETA Workshop on Advanced Econometrics」。地点为台大管理学院一号馆2F 冠德讲堂。此次专题研讨会很荣幸邀请 到来自 Humboldt-Universitat zu Berlin 的 Professor Wolfgang Hardle 至本中心进行一场有关 Modern Techniques in Financial Econometrics 的演讲。 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 报名费及报名方式: 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) 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) 请於5月12日(三)，下午五点钟前至以下连结进行线上报名 [https://spreadsheets.google.com/viewform?formkey=dGtoVUtrX0xYVjB4M1h6YVBoTnB1TEE6MQ] 详细情形，可至 www.tesociety.org.tw 查询 联络人: 李宜芹 电话: 02-3366-1072 E-mail: [email protected] --

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※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 140.112.181.200