Mid September 2019, part of UCLouvain CORE's Lecture Series, our faculty member Professor Eric Ghysels talked about 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.
Professor Eric Ghysels, Bernstein Distinguished Professor of Economics at the University of North Carolina at Chapel Hill and Professor of Finance at the Kenan-Flagler Business School, 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 Oxford's Journal of Financial Econometrics.
In 2008-2009, Professor Eric 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.