European Courses in Advanced Statistics - Courses

The Eighth Course in the ECAS Programme:

Bayesian Statistics and Financial Econometrics
LUGANO, SWITZERLAND
October 7 - 13, 2001


Scientific Programme Committee:
W. Polasek, University of Basel, (Chair)
A. O´Hagan, University of Sheffield
D. Peña, Universidad Carlos III, Madrid
C. Robert, University of Paris
M. Steel, University of Kent



Organising Committee:
P. Giudici, Università di Pavia, Italy
A. Grimvall, University of Lund, Sweden
S. Heiler, University of Konstanz, Germany
W. Polasek, University of Basel, Switzerland
F. Trojani, Università della Svizzera italiana, Switzerland



Scope of the course:
Statistical models are playing an increasing role in financial applications. In particular, econometric models and Markov Chain Monte Carlo (MCMC) methods are becoming more popular in financial forecasting. Bayesian statistics and MCMC methods are increasingly important for theoretical developments and practical applications in finance. The ECAS course will give an introduction into recent advances of estimation techniques for complex models and will demonstrate financial modelling strategies that have become important in recent years. The ECAS course will bring these new developments to the attention of young researchers and particularly graduate and post-doc students in Europe. Advanced computer technology and new software developments have credited new computational methods for analyzing realistic practical problems. In special PC software sessions new computer software will be demonstrated and practical financial case studies will be discussed.


Topics:

Lecturers:
P. Dellaportas, Ahtens University of Economics
J. Geweke, University of Iowa
P. Giudici, University of Pavia
W. Polasek, University of Basel
E. Ronchetti, University of Geneva
F. Trojani, Università d. Svizzera italiana, Lugano
R.S. Tsay, University of Chicago


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