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Joint CEMS-NBB-CORE Doctoral Course
As the Belgian member of the CEMS network, the Louvain School of Management and the CESAM are actively participating in the doctoral program proposed within the CEMS partnership. The CESAM intends to regularly organize PhD courses in finance by inviting internationally renowned scholars in finance. This year, the CESAM jointly organizes his regular PhD course in finance together with the National Bank of Belgium (NBB) and the Center for Operations Research and Econometrics (CORE). The 3-day intensive course will be taught by Prof. Eric Ghysels (University of North Carolina) in June 4-6, 2013 at the NBB in Brussels. Invited Professor: Eric Ghysels Eric Ghysels is the Bernstein Distinguished Professor of Economics at the University of North Carolina - Chapel Hill and Professor of Finance at the Kenan-Flagler Business School. His main research interests are time series econometrics and finance. He obtained his Ph.D. from the Kellogg Graduate School of Management at Northwestern University. He has been a visiting professor or scholar at several major U.S., European and Asian universities. He gave invited lectures, including at the World Congress of the Econometric Society, the American Statistical Association Meetings, among many others. He was Resident Scholar the Federal Reserve Bank of New York in 2008-2009 and Duisenberg Fellow at the European Central Bank in 2011. He is also the Founding Co-President of the Society for Financial Econometrics (SoFiE). Course title: Econometrics of Mixed Data Sampling (MIDAS) regressions and related methods Economic time series are sampled at different frequencies. Innovations in computer technology have made it possible to easily collect and store large data sets. One consequence of this is that many time series are recorded at very high sampling frequencies. Think of time series pertaining to financial markets that are available on a daily or even intra-daily basis. Yet, there are still many economic time series that are costly to collect and thus available at a lower frequency. Examples include many macroeconomic real activity series that have maintained the traditional monthly or quarterly collection and release scheme. The course covers various empirical tools useful to academics and policy makers that allow for the analysis of mixed frequency data. We provide an introduction of so called MIDAS regressions – regressions that allow for mixed frequency data and contrast the approach with Kalman filtering – commonly used by central banks for the purpose of forecasting. We will provide several empirical applications and cover various econometric theory issues. Finally, the course will also cover multivariate analysis of time series sampled at different frequencies. For more details, take a look at the syllabus Some basic familiarity with time series econometrics and Matlab will be useful. The course will be divided in 9 modules, two-thirds of the time to theory and methods and one-third to TA sessions with practical examples. This "CEMS, NBB and CORE Doctoral Course" is part of LSM PhD program, but it is also opened to any international PhD student and interested scholars from other institutions. Especially CEMS, Belgian PhD students and NBB staff are encouraged to participate. The number of participants to the course is limited. Priority will be given to CEMS, Belgian PhD students and NBB staff. Practical information For details regarding location and fees, please go to Useful information
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