August 17 2019

    9:00 am -6:00 pm


    Gavin FENG

    Alan WAN


    8th floor, Lau Ming Wai Academic Building, City University of Hong Kong


Keynote Speaker

  Jean-Marie DUFOUR

  Professor & William Dow Chair of Political Economy

  McGill University

Kin Wai CHAN Chinese University of Hong KongLiyuan CUI City University of Hong Kong
Lilun DU Hong Kong University of Science and TechnologyZhonghao FU Fudan University
Jun LIAO Renmin University of ChinaDavid RAPACH Saint Louis University
Yuying SUN Chinese Academy of SciencesWenhao WANG City University of Hong Kong
Xingbai XU Xiamen University

Workshop Schedule

SessionPaper TitleTime
Openning Speech: Frank CHENWelcome to Participants9:00 - 9:15 am
Keynote Session (Chair: Alan WAN)
Keynote Speech: Jean-Marie DUFOURSimple Estimators for Higher-order Stochastic Volatility Models and Forecasting9:15 - 10:00 am
1st Coffee Break10:00 - 10:30 am
1st Session (Chair: Xu HAN)
Speaker 1: Xingbai XULarge Sample Properties of Bayesian Estimation of Spatial Econometric Models10:30 - 11:00 am
Speaker 2: Kin Wai CHANEstimator of Asymptotic Covariance Matrix in Non-stationary Time Series11:00 - 11:30 am
Speaker 3: Lilun DUDynamic Tracking and Screening in Massive Datastreams11:30 - 12:00 pm
Lunch Break12:00 - 2:00 pm
2nd Session (Chair: Gavin FENG)
Speaker 4: Liyuan CUIA Machine Learning Approach to Estimating Large Positive Definite Covariance Matrix of High Frequency Data2:00 - 2:30 pm
Speaker 5: Dave RAPACHThe Rise and Fall of the Carry Trade: Links to Currency Return Predictability2:30 - 3:00 pm
Speaker 6: Zhonghao FUEstimation and Testing Distributional Changes via Characteristic Function3:00 - 3:30 pm
2nd Coffee Break3:30 - 4:00 pm
3rd Session (Chair: Alan WAN)
Speaker 7: Yuying SUNModel Averaging for Interval-valued Data4:00 - 4:30 pm
Speaker 8: Jun LIAOFrequentist Model Averaging for the Nonparametric Additive Model4:30 - 5:00 pm
Speaker 9: Wenhao WANGA Jackknife Model Averaging Analysis of RMB Misalignment Estimates5:00 - 5:30 pm
Closing Remarks5:30 - 5:35 pm