SNU Workshop on Advances in Time Series Analysis

Co-organized by the Creative Leading Researcher Program of Seoul National University and the BK21 Program of Department of Economics in Seoul National University

Date: Thursday, 10 September 2015

Venue: Room 655, Building 16, Seoul National University

Workshop Schedule

10:30 - 10:50         Registration

10:50 - 11:00         Opening Remarks: Yoon-Jae Whang (Seoul National University)

Session 1    Chair: Yoon-Jae Whang (Seoul National University)

11:00 - 11:45          Masanobu Taniguchi (Waseda University)

(i) Shrinkage Estimation and Prediction for Time Series

(ii) Asymptotics of Realized Volatility with Non-Gaussian ARCH Microstructure Noise

11:45 - 12:30          Sangyeol Lee (Seoul National University)

CUSUM Test for Time Series Models

12:30 - 2:00      LUNCH

Session 2     Chair: Jae-Young Kim (Seoul National University)

2:00 - 2:45                Junichi Hirukawa (Niigata University)

Rank Tests for An ARMA Model against Other Time Varying ARMA models

2:45 - 3:30                Seungmoon Choi (University of Seoul)

Approximate Transition Probability Density Function of a Multivariate Time-inhomogeneous Jump Diffusion Process in a Closed-Form Expression

3:30 - 4:00      BREAK (Coffee/Tea)  

Session 3     Chair: Sokbae Lee (Seoul National University)

4:00 - 4:45                 Shiqing Ling(Hong Kong University of Science and Technology)

Self-weighted LAD-based Inference for Heavy-tailed Threshold Autoregressive Models

4:45 - 5:30                 Myung Hwan Seo (Seoul National University)

Unified Inference for the Change Point