The
Eighth Course in the ECAS Programme:
Bayesian Statistics
and Financial Econometrics |
LUGANO, SWITZERLAND |
October
7-13, 2001 |
Scientific
Programme Committee
W. Polasek, University of Basel, (Chair)
A.
O´Hagan, University of Sheffield
D. Peña, Universidad Carlos
III, Madrid
C. Robert, University of Paris
M. Steel, University of Kent
Organising
Committee
P. Giudici, Università di
Pavia, Italy
A. Grimvall, University of Lund, Sweden
S. Heiler, University of Konstanz,
Germany
W. Polasek, University of Basel,
Switzerland
F. Trojani, Università della
Svizzera italiana, Switzerland
Scope
of the course
Statistical models are
playing an
increasing role
in financial applications. In particular, econometric models and Markov
Chain
Monte Carlo (MCMC) methods are becoming more popular in financial
forecasting.
Bayesian statistics and MCMC methods are increasingly important for
theoretical
developments and practical applications in finance. The ECAS course
will
give an introduction into recent advances of estimation techniques for
complex
models and will demonstrate financial modelling strategies that have
become
important in recent years. The ECAS course will bring these new
developments
to the attention of young researchers and particularly graduate and
post-doc
students in Europe. Advanced computer technology and new software
developments
have credited new computational methods for analyzing realistic
practical
problems. In special PC software sessions new computer software will be
demonstrated
and practical financial case studies will be discussed.
Topics
• Bayesian Statistics with MCMC
• Bayesian Financial Modelling using BACC
• Bayesian financial data mining
• Portfolio Selection with GARCH Forecasts
• Robust Modelling in Finance
• Value at Risk
• Introduction to Financial Econometrics
Lecturers
P. Dellaportas,
Ahtens University of Economics
J. Geweke,
University of Iowa
P. Giudici,
University of Pavia
W. Polasek,
University of Basel
E. Ronchetti,
University of Geneva
F. Trojani,
Università d. Svizzera italiana, Lugano
R.S. Tsay,
University of Chicago