Recent Development in Statistics, Empirical Finance and Econometrics
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1 Recent Development in Statistics, Empirical Finance and Econometrics Date: 29 November 01 December 2011 Symposium Venue: Rakuyu kaikan, Kyoto University, KYOTO, JAPAN * Speaker Program 29 November, 2011 < 12:45 ~ 13:25 > Registration < 13:25 ~ 13:30 > Opening Address Session 1 < 13:30 ~ 14:30 > Financial Statistics I Chair: 13:30~14:00 Bayesian Inference of Asymmetric Smooth Time-varying Structure in Financial Time Series Cathy W. S. Chen (Feng Chia University) 14:00~14:30 Statistical Portfolio Estimation for Non-Gaussian Return Processes *Kenta Hamada (Waseda University) Taniguchi Masanobu (Waseda University) 1
2 Session 2 <14:50 ~ 16:20> Chair: Taniguchi Masanobu (Waseda University) 14:50~15:20 Productivity of Service Providers: Microeconometric Measurement in the Case of Hair Salons *Yoko Konishi (RIETI), 15:20~15:50 Multivariate Dispersive Orders and Multivariate Comonotonicity *Marc Henry (University of Montreal) Arthur Charpentier (UQAM) Alfred Galichon (École polytechnique) 15:50~16:20 Adapting to sparse design in multivariate local linear regression *Ming-Yen Cheng (National Taiwan University) Jyh-Shyang Wu (Tamkang University) Lu-Hung Chen (National Chung Hsing University) Yao Hsiang Yang (National Taiwan University) Session 3 < 16:40 ~ 17:40 > Nonstationary Processes I Chair: 16:40~17:10 17:10~17:40 Nonparametric LAD Cointegrating Regression Toshio Honda (Hitotsubashi University) Linear Regression with Deterministic Regressors and Unit Root in the Variance Alex Petkovic (Waseda University) <18:00~20:00 Conference party (@ Camphora on Campus)> 2
3 30 November, 2011 Session 4 < 9:30 ~ 11:00 > Asymptotics Chair: Keiji Nagai (Yokohama National University) 9:30~10:00 10:00~10:30 Asymptotic Normality of Estimators Derived from Rank Statistics for Generalized Lehmann's Alternative Models When the Observations are a Sequence of Weakly Dependent Random Variables Ryozo Miura (Hitotsubashi University) Asymptotic Efficiency in Dynamic Panel Data Models When Both N and T are Large *Ryo Okui (Kyoto University) Haruo Iwakura (Kyoto Univ.) 10:30~11:00 Asymptotic Expansions of Likelihood-Based Tests about Subvectors: Bartlett-Type Adjustment and Local Power Properties Yoshihide KAKIZAWA (Hokkaido University) Session 5 < 11:20 ~ 12:20 > Model Selection Chair: Ryo Okui (Kyoto University) 11:20~11:50 Predictive Approach for Model Selection on Linear Regression, Quantile Regression, and Panel Data Regression Models with Factor Augmented Predictors *Tomohiro Ando (Keio University), Ruey Tsay (U. Chicago) 11:50~12:20 Information Criteria for Moment Restriction Models Naoya Sueishi (Kyoto University) ~~~~~~~~~ <Lunch> ~~~~~~~~~ 3
4 Session 6 <14:00 ~ 15:30> Time Series Analysis Chair: Naoya Sueishi (Kyoto University) 14:00~14:30 Dynamic Factor Models for High-Dimensional Time Series: One-Sided Representations Marc Hallin (Free Univ. of Brussels) 14:30~15:00 15:00~15:30 Functional PCA under Temporal or Spatial Dependence. Siegfried Hormann (Free Univ. of Brussels) Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process Katsuto Tanaka (Hitotsubashi University) Session 7 <15:50 ~ 17:20> Nonstationary Processes II Chair: Katsuto Tanaka (Hitotsubashi University) 15:50~16:20 16:20~16:50 On Recent Developments of Nonstationary Time Series Ngai Hang Chan (The Chinese University of Hong Kong) Functional-Coefficient Cointegration Models in the Presence of Deterministic Trends *Masayuki Hirukawa (Setsunan University) Yi Yu (Queen's University) 16:50~17:20 Sequential Test for Nearly Nonstationary AR(p) Processes Keiji Nagai (Yokohama National University) Kohtaro Hitomi (Kyoto Institute of Technology) 4
5 01 December, 2011 Session 8 < 10:00 ~ 11:30 > Financial Statistics II Chair: 10:00~10:30 10:30~11:00 11:00~11:30 A CB (corporate bond) Pricing Model for Deriving Default Probabilities and Recovery Rates Takeaki KARIYA (Meiji University) Comparison of Griddy Gibbs and Metropolis-Hastings Sampler for Estimation of the Standard BCSV Model *Didit B. Nugroho (Kwansei Gakuin University) Takayuki Morimoto (Kwansei Gakuin University) Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes Shuichi Nagata (Kwansei Gakuin University) < 11:30 ~ 11:40 > Closing Address Masanobu Taniguchi (Waseda University) Sponsorships We are grateful for the financial assistances from: JSPS (Japan Society for the Promotion of Science), Research Grant # JSPS (Japan Society for the Promotion of Science), Research Grant # Joint Usage / Research Center International Joint Research Center of Advanced Economic Theory Organizers Masanobu Taniguchi (Waseda University) 5
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