제목 [학술세미나] SEED 세미나 안내(18.09.28)
작성일 2018-09-27 08:31:50
내용 SEED Seminar Announcement

We cordially invite you to attend the SEED seminar by Prof. Ostap OKHRIN on Friday, 28 Sep 2018@4:30-5:30PM (UTC+8 note time difference).

* Title: Flexible HAR Model for Realized Volatility
* Speaker: Ostap OKHRIN,  Technische Universität Dresden
* Time: 16:30-17:30 (Singapore), Friday, 28 Sep 2018
* Virtual seminar room: 
* Room Passcode: seed

The Heterogeneous Autoregressive (HAR) model is commonly used in modeling the dynamics of realized volatility. In this paper, we propose a flexible HAR(1,...,p) specification, employing the adaptive LASSO and its statistical inference theory to see whether the lag structure (1, 5, 22) implied from an economic point of view can be recovered by statistical methods. The model differs from Audrino and Knaus (2016) where the authors apply LASSO on the AR(p) model, which does not necessarily lead to a HAR model. Adaptive LASSO estimation and the subsequent hypothesis testing results fail to show strong evidence that such a fixed lag structure can be recovered by a flexible model. We also apply the group LASSO and related tests to check the validity of the classic HAR, which is rejected in most cases. The results justify our intention to use a flexible lag structure while still keeping the HAR frame. In terms of the out-of-sample forecasting, the proposed flexible specification works comparably to the benchmark HAR(1, 5, 22). Moreover, the time-varying model combinations show that when the market environment is not stable, the fixed lag structure (1, 5, 22) is not particularly accurate and effective. Ostap ORHRIN, Technische Universität Dresden

The SEED seminar series is jointly organized by researchers from National University of Singapore, Zuse Institute Berlin, The Institute of Statistical Mathematics, Academia Sinica, University College London, Seoul National University and the Hong Kong University of Science and Technology. SEED stands for Statistics maschinElEarning Datascience. Motivated by the availability of big complex data and the fast development of new techniques in machine learning and data science, SEED aims to provide an online research platform for seminars focusing on important and timely interdisciplinary research topics on Statistics, Machine learning, Data Science, Mathematics, Operation Research, Computer Science, and Engineering. The online seminar series are co-hosted and organised by several research institutes in different countries. The mission is to exchange research ideas, educate young researchers, and promote international research and education collaborations.For more information, please visit the SEED website https://seed.stat.nus.edu.sg/index.php
We look forward to seeing you at the events!

Best regards

SEED Organisation Committee


Confirmed seminars will be given by the following researchers:

Speaker Title   Date and Time   Host
Hong Kong, Singapore and Taiwan (UTC +8)        Japan and Korea
(UTC +9)        Germany
(UTC +1)        U.K.
Hideitsu Hino<https://researchmap.jp/read0143154/?lang=english> Current Dipole Localization from EEG with Birth-Death Process<https://seed.stat.nus.edu.sg/index.php/events#Hino>       Wed, 9 Jan 2019
16:00 - 17:00   Wed, 9 Jan 2019
17:00 - 18:00   Wed, 9 Jan 2019
09:00 - 10:00   Wed, 9 Jan 2019
08:00 - 09:00   ISM
Guido Germano<http://www.cs.ucl.ac.uk/people/G.Germano.html/>   Integral transform methods and spectral filters for the pricing of exotic options<https://seed.stat.nus.edu.sg/index.php/events#Guido>  Fri, 14 Dec 2018
17:30 - 18:30   Fri, 14 Dec 2018
18:30 - 19:30   Fri, 14 Dec 2018
10:30 - 11:30   Fri, 14 Dec 2018
09:30 - 10:30   UCL
Simone Righi<http://www.cs.ucl.ac.uk/people/S.Righi.html/>      Social closure and the evolution of cooperation via indirect reciprocity <https://seed.stat.nus.edu.sg/index.php/events#Simone>         Fri, 16 Nov 2018
18:00 - 19:00   Fri, 16 Nov 2018
19:00 - 20:00   Fri, 16 Nov 2018
11:00 - 12:00   Fri, 16 Nov 2018
10:00 - 11:00   UCL
Shuhei Mano<https://researchmap.jp/mano_shuhei/?lang=english>   A Direct Sampler from Log-affine Models with Aid of Computational Algebra<https://seed.stat.nus.edu.sg/index.php/events#Mano>   Wed, 31 Oct 2018
16:00 - 17:00   Wed, 31 Oct 2018
17:00 - 18:00   Wed, 31 Oct 2018
09:00 - 10:00   Wed, 31 Oct 2018
08:00 - 09:00   ISM
Giacomo Livan<http://www.cs.ucl.ac.uk/people/G.Livan.html/>     Reciprocity and success in academic careers<https://seed.stat.nus.edu.sg/index.php/events#Giacomo>      Thu, 11 Oct 2018
17:00 - 18:00   Thu, 11 Oct 2018
18:00 - 19:00   Thu, 11 Oct 2018
11:00 - 12:00   Thu, 11 Oct 2018
10:00 - 11:00   UCL
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