The 2009 Summer School on Econometrics and Finance
WISE, Xiamen University
July 7-11, 2009
Center for Forecasting Science (CEFS), Chinese Academy of Sciences, Journal of Econometrics
July 7
8:30am—8:45am Opening Ceremony
8:45am—9:00am Photo-taking
9:00am—12:00pm Lecture 1 Extremes, Joint Extremes and Copulae
Instructor: Wolfgang Karl Haerdle, Professor and Director, CASE, Humbodlt University at Berlin, Germany
2:45pm—5:45pm Lecture 2 Implied Volatility and Risk Management
Instructor: Wolfgang Karl Haerdle, Professor and Director, CASE, Humbodlt University at Berlin, Germany
July 8
8:45am—11:45am Lecture 3 Fractional Model in Econometrics and Finance
Instructor: Giovanni Urga, Professor and Director of Center for Financial Econometrics, CASS School of Business, London, UK
2:45pm—5:45pm Lecture 4 Dynamic Conditional Correlation (DCC) Models with Normal and Non-normal Distributions
Instructor: Giovanni Urga, Professor and Director of Center for Financial Econometrics, CASS School of Business, London, UK
7:00pm—10:00pm Tea-time with summer school instructors and WISE faculty
July 9
8:45am—11:45am Lecture 5 CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads
Instructor: Giovanni Urga, Professor and Director of Center for Financial Econometrics, CASS School of Business, London, UK
2:45pm—5:45pm Lecture 6 A Primer of Nonparametric Econometrics and Their Applications to Economics and Finance--I
Instructor: Zongwu Cai, Professor, UNCC, USA and Cheung Kong Scholar Chair Professor, WISE, Xiamen University
July 10
8:45am—11:45am Lecture 7 A Primer of Nonparametric Econometrics and Their Applications to Economics and Finance--II
Instructor: Zongwu Cai, Professor, UNCC, USA and Cheung Kong Scholar Lecture Professor, WISE, Xiamen University
2:45pm—5:45pm Lecture 8 Selecting Copula in Risk Management
Instructor: Zongwu Cai, Professor, UNCC, USA and Cheung Kong Scholar Lecture Professor, WISE, Xiamen University
6:30pm Dinner with summer school instructors and WISE faculty (Yifu Building)
July 11
8:45am—11:45am Lecture 9 Economic Foundation of Modern Econometrics
Instructor: Yongmiao Hong, Professor, Cornell University, USA, and Cheung Kong Scholar Lecture Professor, WISE, Xiamen University
2:45pm—5:45pm Lecture 10 Regression and Volatility Models with Smoothly Time-Varying Coefficients
Instructor: Yongmiao Hong, Professor, Cornell University, USA, and Cheung Kong Scholar Lecture Professor, WISE, Xiamen University
