复旦大学数量经济学高端讲坛第4期：The Frontier of Modern Econometrics

Time:

8:30 a.m. - 11:30 a.m. June 9 (Friday), 2017

Site:

Room 714, School of Economics, 600 Guoquan Rd

Chair:

Tze Leung Lai, Department of Statistics, Stanford University

Opening speech:

Shiyi Chen, School of Economics, Fudan University

Topic I:

Taming the Factor Zoo

Speaker：

Dacheng Xiu, Booth School of Business, University of Chicago

He is interested in developing and applying statistical methodologies to exploit the economic implication of financial data. His prior research involves risk measurement and management with high-frequency data, econometric modeling of derivatives, and machine learning on big-data in empirical asset pricing. His work has appeared in the Econometrica, Journal of Econometrics, Journal of the American Statistical Association. He is an Associate Editor for the Journal of Econometrics. Xiu earned his PhD and MA in applied mathematics from Princeton University, where he studied at the Bendheim Center for Finance. Xiu's professional experience includes work with TYKHE Capital LLC in New York and Citigroup in their capital markets and banking division.

Topic II:

Sequential Estimation of Quantile Regression

Speaker：

Songnian Chen, Business School, Hong Kong University of Science and Technology

He is Chair Professor of the Department of Economics. He received his PhD in Economics from Princeton University in 1994. He also taught at the National University of Singapore. His research interests include theoretical and applied microeconometrics. He has published in Econometrica, Review of Economic Studies, Journal of Econometrics, Annals of Statistics and Journal of American Statistical Association. He is an associate editor and a fellow of Journal of Econometrics.

Topic III:

The Numerical Delta Method and Bootstrap

Speaker：

Han Hong, Department of Economics, Stanford University

He is professor of Department of Economics at Stanford University. His research interests include econometrics, industrial organization, and applied microeconomics. He has published in Econometrica, Review of Economic Studies, Journal of Econometrics and Journal of American Statistical Association. He is a co-editor of Journal of Econometrics.

Closing speech:

Zhiliang Ying, Department of Statistics, Columbia University

Sponsors:

Fudan-Stanford Institute for China Financial Technology and Risk Analytics, School of Economics