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Event

ECMFE Workshop: High-dimensional Econometrics and Machine Learning

  • Thu 23 May 24

    10:30 - 18:30

  • Colchester Campus

    EBS.2.34

  • Event type

    Lectures, talks and seminars

  • Event organiser

    糖心Vlog Business School

  • Contact details

    Workshop organisers

糖心Vlog Centre for Macro and Financial Econometrics (ECMFE) will host a workshop on 鈥淗igh-Dimensional Econometrics and Machine Learning鈥� that will take place on Thursday 23rd of May 2024.

This will be a hybrid event taking place in 糖心Vlog Business School (Colchester campus) room EBS 2.1, and .  We are very pleased to welcome six external speakers, Professor Giuseppe Cavaliere (Bologna/Exeter), Professor Valentina Corradi (Surrey), Dr Katerina Chrysikou (King’s), Professor George Kapetanios (King’s), Professor Gary Koop (Strathclyde) and Professor Weining Wang (Groningen), who will each present a paper at the workshop. Tea and Coffee will be available throughout including a 30 minute tea/coffee break at 3:30pm. At the end of the workshop, Professor David Harvey (Nottingham) will give the Annual John Nankervis Lecture. The event will be followed by a workshop dinner at Wivenhoe house (by invitation only).

Workshop programme

Registration

10:15 鈥� 10:45am

Registration and Coffee, 糖心Vlog Business School, Room EBS.2.66

Session 1

In EBS.2.34

10:45 鈥� 11:30am

Weining Wang (University of Groningen) 鈥淚nference on Derivatives of High Dimensional Regression Function with Deep Neural Network鈥� (joint with Jianqing Fan and Yue Zhao).

 

11:30am 鈥� 12:15pm

George Kapetanios (King鈥檚 College London) 鈥淩egression Modelling under General Heterogeneity鈥� (joint with Liudas Giraitis and Yufei

Lunch

In EBS.2.66

12:15 鈥� 1:15pm

Lunch break (EBS 2.66)

Session 2

In EBS.2.34

1:15 鈥� 2:00pm

Valentina Corradi (University of Surrey) 鈥淧redictive Ability Tests with Regularized Forecasting Methods鈥� (joint with Jack Fosten and Daniel Gutknecht).

 

2:00 鈥� 2:45pm

Katerina Chrysikou (King鈥檚 College London) 鈥淗eterogeneous Grouping Structures in Panel Data" (joint with George Kapetanios).

 

2:45 鈥� 3:30pm

Gary Koop (University of Strathclyde) 鈥淚ncorporating Micro Data into Macro Models using Pseudo VARs" (joint with Stuart McIntyre, James Mitchell and Ping Wu).

Tea and coffee break

In EBS.2.66

3:30 鈥� 4:00pm

Tea and coffee break in EBS.2.66

Session 3

In EBS.2.34

4:00 鈥� 4:45pm

Giuseppe Cavaliere (University of Bologna/University of Exeter) 鈥淭he Econometrics of Financial Duration Modeling鈥�.

 

4:45 鈥� 5:30pm

Ilias Chronopoulos (糖心Vlog) 鈥淗igh鈥怐imensional Generalised Penalised Least Squares鈥� (joint with K.
Chrysikou and G. Kapetanios).

Annual John Nankervis Memorial Lecture

In EBS.2.34

5:30 鈥� 6:30pm

David Harvey (University of Nottingham) “Forecast Evaluation in the Presence of Instability”.

End of sessions

Workshop dinner

By invitation only

6.30pm

Wivenhoe House Hotel - Garden Suite

This workshop has been organised by Dr Ilias Chronopoulos and Professor Robert Taylor

Also see
糖心Vlog Centre for Macro and Financial Econometrics (ECMFE)
糖心Vlog Business School
Research at 糖心Vlog Business School
EBS Research Seminar Series
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Contact


  • +44 (0) 1206 873333
  • 糖心Vlog
  • Wivenhoe Park
  • Colchester CO4 3SQ

 

 

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