September 2010- June 2011
Wednesday, September 22, 2010
at Core room b-135
Joint seminar ISBA/CORE (in the frame of the ARC project on Time Series)
Lars Stentoft, HEC, Montréal
"Option pricing with asymmetric heteroskedastic normal mixture models"
Wednesday, December 8, 2010
Joint CORE-ISBA and LSM Finance Seminar (in the frame of the ARC project on time series)
Anthony G. BELLOTTI, Imperial College London
Support vector machines in finance: application to the prediction of bank ratings
Wednesday, December 15, 2010
Joint seminar CORE/ISBA and LSM Finance - Room Core b-135
Karim Abadir, Imperial College, London, United Kingdom
"Lies, damned lies, and statistics? Examples from finance and economics"
Wednesday, February 16, 2011
Joint seminar CORE/ISBA (in the frame of ARC project on time series)- Room Core b-135
Dimitris Korobilis, Core, UCL
On adaptative shrinkage priors for forecasting with many predictors
Wednesday, March 9, 2011
Joint seminar CORE/ISBA (in the frame of ARC project on time series) - Room Core b-135
Timothy J. Vogelsang, Michigan State University, USA
Integrated Modified OLS estimation and Fixed-b inference for cointegrating regressions
Paper
Friday, April 1, 2011
Joint seminar ISBA/CORE (in the frame of ARC project on time series)- Room ISBA c-115
Piotr Fryzlewicz, London School of Economics (LSE)
Haar-Fisz methodology for interpretable estimation of large, sparse, time-varying volatility matrices
Olivier Wintenberger, Paris, France
"Detecting multiple change points using Quasi Likelihood" (in collaboration with J.M. Bardet and W. Kengne)
September 2009- June 2010
Doctoral dissertation
30 September, 2009
Valdesogo Robles, Alfonso (ARC researcher)
Multivariate volatility models using copulas
Supervisor: L. Bauwens
14-16 September 2009
CORE Lecture Series by Yacine Ait-Sahalia
Jumps and Volatility in High Frequency Financial Data
Info
Econometrics seminar
Held in seminar room b-135 at CORE
Wednesday, 23 September 2009
Joachim GRAMMIG, University of Tübingen
Measuring contributions to price discovery: a new methodology
Abstract
Thursday, 1 October 2009
Joint ECORE-KUL seminar
James HAMILTON, University of California, San Diego
(The seminar will take place at ECARES, Brussels)
TBA
Presentation Hamilton: 16:00 - 17:15
Coffee break: 17:15 -17:45
PhD presentations: 17:45 - 19:00
Wednesday, 7 October 2009 on 14h30 at CORE room b-135
Joint CORE-STAT Seminar (in the frame of the ARC project on time series)
Matteo BARIGOZZI, ECARES, TBA, Brussels, Belgium
"A seminonparametric vector MEM. Disentangling commonness and idiosyncracy for a large panel of volatilities"
Friday, 23 October 2009 at STAT room c-115
Joint STAT-CORE Seminar (in the frame of the ARC project on time series)
Piotr FRYZLEWICZ, London School of Economics, London, UK
"Thick-pen transformation for time series"
Clifford LAM, London School of Economics, London, UK
"Large precision matrix estimation for time series data with latent factor model"
Wednesday, 18 November 2009 at 14h30 at CORE room b-135
Joint CORE-STAT Seminar-LSM Finance (in the frame of the ARC project on time series)
Michael ROCKINGER, HEC, University of Lausanne, TBA, Lausanne, Switzerland
"Fourth order pseudo maximum likelihood methods"
Wednesday, 3 February 2010 at Core room b-135
Joint seminar ISBA/CORE (in the frame of the ARC project on Time Series)
Dimitris Korobilis, University of Strahclyde, Glasgow, UK
"Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models"
Friday, 26 February 2010 at STAT room c-115
Joint seminar ISBA/CORE (in the frame of the ARC project on Time Series)
Massimiliano CAPORIN, University of Padova, Italy
"Ranking Multivariate GARCH models by cross-sectional dimension"
16h00
| Michael McAleer, University of Erasmus , Rotterdam, The Netherlands |
| "Optimal risk management before, during and after the 2008-09 financial crisis" |
| Paper 1 Paper 2 |
Wednesday, 24 March 2010 at 14h30 at CORE room b-135
Joint seminar ISBA/CORE (in the frame of the ARC project on Time Series)
14h30
Richard A. DAVIS, Columbia University, New York, USA
"The Extremogram: a correlogram for extreme events"
Wednesday, 31 March 2010 at CORE room b-135
Joint seminar ISBA/CORE
T. Tony Cai, Wharton School, University of Pennsylvania, USA
"Robust and generalized nonparametric regression"
Friday 23 April 2010 at ISBA room c-115
Gilles Faÿ, Université de Lille 1, France
"Wavelet-based isotropy test on the sphere"
Laurent Jacques, Communications and Remote Sensing Laboratory, UCL, Belgium
"An introduction to compressed sensing: combining sparsity and sampling"
September 2007- June 2008
Joint CORE/STAT seminar
Rohit Deo, Stern Business School, New-York, USA (abstract )
December 12, 2008
Joint CORE/STAT seminar
Timo Teräsvirta, University of Aarhus, Denmark (abstract )
October 31, 2008
Joint CORE/STAT seminar - Afternoon on Copulas - (ARC project on Time Series)
Claudia Czado, Technische Universität Munchen, Germany (abstract )
Alfonso Valdesogo Robles, CORE, UCL, Belgium (abstract )
October 29, 2008
Seminars
Claudia Kirch, University of Kaiserslautern, Germany (abstract )
John Aston, Warwick University, UK (abstract )
October 10, 2008
Joint CORE/STAT seminar - Afternoon on Modelling Electricity Prices
Niels Haldrup, University of Aarhus, Denmark (abstract )
Siem Jan Koopman, Vrije Universiteit Amsterdam, The Netherlands (abstract )
September 24, 2008
Joint seminar ULB/UCL - Afternoon on " Time Series"
Guy Mélard, ULB, Belgium (abstract)
Christian Hafner, Institut de statistique, UCL, Belgium (abstract)
March 14, 2008
Short course on " Local parametric estimation with applications in volatility estimation and risk management"
Professor Vladimir Spokoiny, Weierstrass Institute, Berlin, Germany
March 3-4-5, 2008
Joint CORE/STAT seminar
Peter Boswijk, University of Amsterdam, The Netherlands (abstract )
Hashem Pesaran, University of Cambridge, UK (abstract )
November 16, 2007
Seminar
Shin Huei Wang, CORE (abstract )
October 24, 2007
Joint CORE/STAT seminar - Afternoon on "Copulas"
Hans Manner, University of Maastricht, The Netherlands (abstract )
Johanna Neslehova, EH Zürich, Switzerland (abstract )
April 16, 2008
Workshop on "Copulas"
Speakers :
Olga Reznikova, UCL, Institut de statistique, Louvain-la-Neuve, Belgium
Alfonso Valdesogo, UCL, Belgium
Barbara Choros, Humboldt-Universität Berlin, Gemany
April 16, 2008
September 2008 - June 2009
Wednesday, May 13, 2009 - Joint ARC/CORE/STAT Seminar
(in the frame of the ARC project on time series)
14h30 - Jeroen V.K. Rombouts, HEC Montreal (QC), Canada (abstract )
16h00 - Oliver Linton, London School of Economics (LSE), United Kingdom (abstract )
Friday, April 03, 2009 - Joint ARC/CORE/STAT Seminar
14h30 - Edward Omey, EHSAL, Brussels, Belgium (abstract)
16h00 - Basrak Bojan, University of Zagreb, Croatia (abstract)
Wednesday, March 18, 2009 - Joint ARC/CORE/STAT Seminar
(in the frame of the ARC project on time series)
14h30 - Jean-Pierre Urbain, University of Maastricht, The Netherlands (abstract)
Wednesday, March 11, 2009 - Joint ARC/CORE/STAT Seminar
14h30 - Shin-Huei Wang, CORE, UCL, Belgium (abstract)
Friday, December 12, 2008 - Joint ARC/CORE/STAT Seminar
14h30 - Rohit Deo, Stern Business School, New York, USA (abstract)
Friday, October 31, 2008 - Joint ARC/CORE/STAT Seminar
14h30 - Timo Teräsvirta, University of Aarhus, Denmark (abstract)
Wednesday, October 29, 2008
"Afternoon on Copulas" - Joint ARC/CORE/STAT Seminar (ARC project on Time Series)
14h30 - Claudia Czado, Technische Universität Munchen, Germany (abstract)
16h00 - Alfonso Valdesogo Robles, CORE, UCL, Belgium (abstract)
Friday, October 10, 2008
14h30 - Claudia Kirch, University of Kaiserslautern, Germany (abstract)
16H00 - John Aston, Warwick University, UK (abstract)
Friday, October 8, 2008
Luc Bauwens, CORE, UCL, Belgium
"Forecasting long memory processes subject to structural breaks"
Wednesday, September 24, 2008 Joint ARC/CORE/STAT Seminar
(in the frame of the ARC project on time series)
"Afternoon on Modelling electricity prices"
14h30 - Niels Haldrup, University of Aarhus, Denmark (abstract)
"A vector autoregressive model for electricity prices subject to long memory and regime switching"
16h00 - Siem Jan Koopman, Vrije Universiteit Amsterdam and Tinbergen Institute Amsterdam, The Netherlands (abstract)
"A multivariate model for hourly electricity prices: empirical evidence from two European markets"
Wednesday, September 17, 2008
14h30 - Jeroen V.K. Rombouts, HEC Montreal (QC), Canada
"Bayesian option pricing using mixed normal heteroskedasticity models"
16H00 - John Aston, Warwick University, UK (abstract)