各位學界的朋友： 大家好! 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！ （歡迎各位教授蒞臨指導，或將此消息轉告給有興趣的學生。謝謝您!） 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 (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 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. 計量理論與應用研究中心 敬啟 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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