CORE Lecture Series, by Professor E. Ghysels

September 09, 2019

September 13, 2019

09:00 - 12:00


UCLouvain CORE, room b-135

The Econometrics of Mixed Frequency (Big) Data

Professor Eric Ghysels, University of North Carolina at Chapel Hill and UCLouvain

Professor Ghysels is a fellow ot the American Statistical Association and co-founded with Robert Engle the Society for Financial Econometrics (SoFIE). He is also-coeditor of the Journal of Financial Econometrics.

In 2008-2009, Ghysels was resident scholar at the Federal Reserve Bank of New York, and has since been a regular visitor of the bank as well as several other central bank institutions around the world working mostly on topics pertaining to Mixed data sampling regression models and filtering methods.

In this Lecture Series, Professor Ghysels will present his most recent research that focuses on Mixed data sampling (MIDAS) regression models and filtering methods with applications in finance and other fields. MIDAS regressions are econometric regression models and can be viewed in some cases as substitutes for the Kalman filter when applied in the context of mixed frequency data.

"Big" is in parenthesis in the title because the lecture series will start with MIDAS applications for conventional data sets and then more toward big mixed frequency big data analysis.

Program (3 hours every morning)

Monday, September 9, 2019 - 10:00 a.m.                        MIDAS regression  - Intro
                                                 01:00 p.m.                              Welcome lunch

Tuesday, September 10, 2019 - 09:00 a.m.                      Multivariate models

Wednesday, September 11, 2019 - 09:00 a.m.                 Practical session

Thursday, September 12, 2019 - 09:00 a.m.                    Volatility, Correlation and Skewnness

Friday September 13, 2019 - 09:00 a.m.                           Mixed Frequency Big Data

Practical information

Participation is free but MANDATORY (in case of registration and no-show, we will charge you 100€)

A welcome lunch on September 9, and coffee breaks in the morning will be provided.

To register fill in the online form by August 31, 2019.


UCLouvain CORE, room b-135
34, voie du Roman Pays
B -1348 Louvain-la-Neuve (Belgium)


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