We are pleased to announce 11th York Econometrics Symposium, which will be held on 26&27 April 2018, at Hotel 53, York. The programme is appended below. Participation (including coffees and lunches) is open and free of charge, but registration is essential. If you wish to register, please email Mrs Annette Johnson at [log in to unmask] by Monday 16 April 2018. Dinner is by invitation only. We are looking forward to seeing you at the symposium! Jia Chen and Takashi Yamagata (Organisers)
11th York Econometrics Symposium
Big Data Analysis and its Applications in Economic and Finance
26 and 27 April 2018
Venue: Ground floor conference room, Hotel 53, 53 Piccadilly, York YO1 9PL
Day 1 – Ground floor conference room, Hotel 53
10:00 Registration and coffee
10:25 Opening
Session 1: 10:30--12:30, Chair: Jia Chen
10:30 Oliver Linton (University of Cambridge)
A Coupled Component GARCH Model for Intraday and Overnight Volatility
11:30 Piotr Fryzlewicz (LSE)
Title: Simultaneous multiple change-point and factor analysis for high-dimensional time series
12:30 Lunch
Session 2: 13:30--15:00, Chair: Wenyang Zhang
13:30 Zudi Lu (University of Southampton)
Title: On a Data-driven Semiparametric Time Series Model with Penalized Spatio-temporal Lag Interactions
14:15 Weining Wang (City, University of London)
Title: Inference for High-Dimensional Sparse Regression in Time and Space
15:00 Coffee Break
Session 3: 15:30--17:00, Chair: Yongcheol Shin
15:30 Bin Peng (University of Bath)
Title: Varying–Coefficient Panel Data Models with Partially Observed Factor Structure
16:15 Takashi Yamagata (University of York)
Title: Estimating weak factor models
17:00 End of Day 1 talks
Day 2 – Ground floor conference room, Hotel 53
9:45 Coffee
Session 4: 10:00--11:45, Chair: Francesco Bravo
10:00 Gerda Claeskens (Leuven)
Title: The focused information criterion for high-dimensional regression models
11:00 Jia Chen (University of York)
Title: A New Semiparametric Estimation of Large Dynamic Covariance Matrix with Multiple Conditioning Variables
11:45 Coffee Break
Session 5: 12:00—13:30, Chair: Takashi Yamagata
12:00 Mingli Chen (University of Warick)
Title: Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk
12:45 Yongcheol Shin (University of York)
Title: The Spatio-Temporal Autoregressive Distributed Lag Modelling Approach to an Analysis of the Spatial Dependence and Heterogeneity
13:30 Closing and Lunch
14:30 End of Symposium
