Program ScheduleUpdated as of 29 May 2018 28 May (Mon)
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| Time | Event |
| 08:30-08:50 | Registration (Venue: IAS Lobby, G/F) |
| 08:50-09:10 |
Welcoming Remarks Andrew Cohen (The Hong Kong University of Science and Technology) Yang Wang (The Hong Kong University of Science and Technology) Shiqing Ling (The Hong Kong University of Science and Technology) and Michael McAleer (Asia University) |
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Session M1 Chair: Shiqing Ling (The Hong Kong University of Science and Technology) |
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| 09:10-09:50 |
"Inference on the Tail Process with Application to Financial Time Series Modelling"
[Abstract]
Keynote speaker: Richard Davis (Columbia University) |
| 09:50-10:20 |
"A Coupled Component GARCH Model for Intraday and Overnight Volatility"
[Abstract]
Jianbin Wu (Nanjing University) |
| 10:20-11:00 | Group-photo Taking and Coffee Break (Venue: IAS Lobby, G/F) |
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Session M2 Chair: Michael McAleer (Asia University) |
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| 11:00-11:30 |
"Jump Factor Models in Large Cross‐Sections" [Abstract] George Tauchen (Duke University) |
| 11:30-12:00 |
"Bayesian Analysis of Dynamic Cross‐sectional Copula Factor Models" [Abstract] Mike So (The Hong Kong University of Science and Technology) |
| 12:30-12:30 |
"Factor‐driven Two‐regime Regression" [Abstract] Myung Seo (Seoul National University) |
| 12:30-14:00 | Program Lunch (For invited participants only) |
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Session M3 Chair: Chia-Lin Chang (National Chung Hsing University) |
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| 14:00-14:40 |
"The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions" [Abstract] Keynote speaker: Michael McAleer (Asia University) |
| 14:40-15:10 |
"Combining Forecasts of Higher Moments in Financial Data" [Abstract] Laurent Pauwels (The University of Sydney) |
| 15:10-15:40 |
"On Higher Order Moment and Cumulant Estimation" [Abstract] Chun Yip Yau (The Chinese University of Hong Kong) |
| 15:40-16:00 | Coffee Break (Venue: IAS Lobby, G/F) |
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Session M4 Chair: Mike So (The Hong Kong University of Science and Technology) |
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| 16:00-16:30 |
"Temporal Aggregation of Some Non‐linear Time‐Series Models with Actuarial Applications" [Abstract] Wai Sum Chan (The Chinese University of Hong Kong) |
| 16:30-17:00 |
"Latent Volatility Granger Causality in Renewable Energy and Crude Oil ETFs" [Abstract] Chia-Lin Chang (National Chung Hsing University) |
| 17:00-17:30 |
"Who Influences the Fundamental Value of Commodity Futures Prices in Japan?" [Abstract] Clinton Watkins (Kobe University) |
| 17:30-18:00 |
"Generalized Correlation Tests and Forecasts of the VIX Using Non‐linear Models" [Abstract] David Allen (The University of Sydney, Asia University, and Edith Cowan University) |
| 18:00 | Dinner (For speakers only) |
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29 May (Tue)
Venue: IAS Lecture Theater, G/F, Lo Ka Chung Building, Lee Shau Kee Campus, HKUST
| Time | Event |
| 08:50-09:00 |
Opening Remarks and Review of Day One Shiqing Ling (The Hong Kong University of Science and Technology) |
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Session T1 Chair: WK Li (The University of Hong Kong) |
|
| 09:00-09:40 |
"Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients" [Abstract] Keynote speaker: Zongwu Cai (The University of Kansas and Xiamen University) |
| 09:40-10:10 |
"Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers" [Abstract] Manabu Asai (Soka University) |
| 10:10-10:40 |
"Bootstrap Unit Root Inference for Short‐memory Linear Processes with GARCH(1,1) Noises" [Abstract] Chor Yiu (CY) Sin (National Tsing Hua University) |
| 10:40-11:00 | Coffee Break (Venue: IAS Lobby, G/F) |
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Session T2 Chair: Chor Yiu (CY) Sin (National Tsing Hua University) |
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| 11:00-11:30 |
"A Time‐Varying Parameter Model for Local Explosions" [Abstract] Marc Nientker (VU Amsterdam) |
| 11:30-12:00 |
"Nonlinear Regression with Nonstationarity and Heteroscedasticity" [Abstract] Qiying Wang (The University of Sydney) |
| 12:00-12:30 |
"Asymptotics of LADE on the AR Model with Heavy‐tailed G‐GARCH(1,1) Noises" [Abstract] Xingfa Zhang (Guangzhou University) |
| 12:30-14:00 | Program Lunch (For speakers only) |
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Session T3 Chair: Ke Zhu (The University of Hong Kong) |
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| 14:00-14:40 |
"Negative Skewness of Asset Returns with Positive Time‐varying Risk Premia" [Abstract] Keynote speaker: Christian Hafner (Catholic University of Louvain) |
| 14:40-15:10 |
"Security Selection Based on High Frequency Sharpe Ratio" [Abstract] Christina Dan Wang (Columbia University) |
| 15:10-15:40 |
"Hybrid Quantile Regression Estimation for Time Series Models with Conditional
Heteroscedasticity" [Abstract] Guodong Li (The University of Hong Kong) |
| 15:40-16:00 | Coffee Break (Venue: IAS Lobby, G/F) |
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Session T4 Chair: Guodong Li (The University of Hong Kong) |
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| 16:00-16:30 |
"A Forecasting Scoring Rule for Factors and Autoregressive Models"
[Abstract]
Domenico Sartore (Ca' Foscari University of Venice) |
| 16:30-17:00 |
"Hypothesis Testing on Linear Structures of High Dimensional Covariance Matrix"
[Abstract]
Zhao Chen (Pennsylvania State University) |
| 17:00-17:30 |
"Unit Root Testing on Buffered Autoregressive Model" [Abstract] Di Wang (The University of Hong Kong) |
| 17:30-18:00 |
"Time Series Models for Realized Covariance Matrices Based on the Matrix‐F Distribution" [Abstract] Ke Zhu (The University of Hong Kong) |
| 18:00 | Dinner (For speakers only) |
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30 May (Wed)
Venue: IAS1038, 1/F, Lo Ka Chung Building, Lee Shau Kee Campus, HKUST
| Time | Event |
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Session W1 Chair: Yuan Li (Guangzhou University) |
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| 09:00-09:30 |
"Study on Double Autoregressive Moving Average Models" [Abstract] Yuan Li (Guangzhou University) |
| 09:30-10:00 |
"Buffered Vector Error‐Correction Models: An Application to the U.S. Treasury Bond Rates" [Abstract] Renjie Lu (The University of Hong Kong) |
| 10:00-10:30 |
"Modeling and Process Control for Some Classes of Integer‐valued Time Series Models" [Abstract] Dehui Wang (Jilin University) |
| 10:30-11:00 | Coffee Break (Venue: Open Area, 1/F) |
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Session W2 Chair: Enwen Zhu (Changsha University of Science and Technology) |
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| 11:00-11:30 |
"Change‐point Estimation in Random Coefficient AR(∞) Model" [Abstract] Xin Liang (Guangxi Normal University) |
| 11:30-12:00 |
"Robust Estimation for Integer‐valued GARCH Models Using a New Hybrid Loss" [Abstract] Fukang Zhu (Jilin University) |
| 12:00-12:30 |
Closing Remarks Yuan Li (Guangzhou University) |
| 12:30-14:00 | Lunch break (Self-arranged) |
| 14:00-15:30 | Discussion (Venue: IAS1038, 1/F) |
| 15:30-16:00 | Coffee Break (Venue: Open Area, 1/F) |
| 16:00-17:30 | Discussion (Venue: IAS1038, 1/F) |
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