October 17, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

*Norwegian Institute of Public Health*

##
Statistical Efficiency, Design and Correction for Multiple Testing in Genetic Association Studies

October 24, 2013 Thursday

12:00 PM

5727 S. University Ave, Room 112

*University of North Carolina, Chapel Hill*

##
Estimating Volatility Risk Factors Using Large Panels of Filtered or Realized Volatilities

November 7, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

*American International Group (AIG)*

##
A Transformed Copula Function Approach to Credit Portfolio Modeling

November 14, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

*University of Sydney*

##
On the asymptotics of Nadaraya-Watson estimator: Toward a unified approach

November 19, 2013 Tuesday

5:00 PM

5727 S. University Ave, Room 112

*Head of Quantitative Research, Bloomberg*

##
Functional Ito Calculus and Financial Applications

January 7, 2014 Tuesday

4:00 PM

5727 S. University Ave, Room 112

*The University of Chicago*

##
Intermediation and Voluntary Exposure to Counterparty Risk

January 16, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

*Princeton Univerisity** *

##
The Estimation of Leverage Effect in High Frequency Data

January 23, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

##
Marcelo Alvisio

*The University of Chicago*

##
Option Pricing using Perturbation Methods

January 30, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

*Université Paris VI*

##
Backward Stochastic Differential Equations driven by Point Processes: An Elementary Approach

February 17, 2014 Monday

4:00 PM

Eckhart Hall, room 133

joint with Department of Statistics

*Université Paris VI and École Polytechnique*

##
Limit Theorems for nearly unstable Hawkes Processes

March 13, 2014 Thursday

12:00 PM

5727 S. University Ave, Room 112

*Philipps-Universität Marburg*

##
Estimating the entire quadratic covariation in case of asynchronous observations

April 3, 2014 Thursday

4:00pm

5727 S. University Ave, Room 112

##
Jian Sun

*Morgan Stanley*

##
Implied Remaining Variance in Derivative Pricing

April 10, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

*Université de Montr**é*al

##
Model-Free Leverage Effect Estimators at High Frequency

Paper

April 17, 2014 Thursday

12 PM

5727 S. University Ave, Room 112

joint with Department of Statistics

*Princeton Universit**y*

##
The Statistical Price to Pay for Computational Efficiency in Sparse PCA

May 5, 2014 Monday

4:00 PM

Eckhart Hall, room 133

joint with Department of Statistics

*Universität Heidelberg*

##
Volatility Decomposition and Online Volatility-Estimation with Nonlinear Market Microstructure Noise Models

May 9, 2014 Friday

4:00 PM

**at CME, joint with UIC**

*Harvard University*

##
Econometric Analysis of Low Latency Financial Data

Event registration: http://www.cvent.com/d/z4qxnw

May 22, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

*University of California, Davis*

##
The Unbearable Transparency of Stein Estimation

Paper

May 23, 2014 Friday

1:30 PM

5727 S. University Ave, Room 112

*University of California, Davis*

##
Hypercube Estimators: Penalized Least Squares, Submodel Selection, and Numerical Stability