9:30 |
Coffee |
10:00 - 10:45 |
Leonid Pastur (King's College London and Institute for Low Temperature Physics & Engineering) Large Sample Covariance Matrices: Some History and Recent Developments |
10:45 - 11:15 |
Coffee break |
11:15 - 12:00 |
Anna Maltsev (Queen Mary University of London) A new perspective on the stochastic volatility model |
12:05 - 12:50 |
Zhentao Shi (CUHK and Georgia Institute of Technology) On Lasso for High-Dimensional Predictive Regression |
12:50 - 14:10 |
Lunch break |
14:10 - 14:55 |
Holger Dette (Ruhr-Universitaet Bochum) Nonparametric bootstrap of high-dimensional sample covariance matrices |
15:00 - 15:45 |
Vadim Gorin (UC Berkeley) High-dimensional canonical correlation analysis |
15:45 - 16:15 |
Coffee break |
16:15 - 17:00 |
Marc Potters (Capital Fund Management) Estimating financial covariance matrices: cross-validation, dynamic and fleeting modes |
17:05 - 17:50 |
Jianqing Fan (Princeton) Inference for Heteroscedastic PCA with Missing Data
|
17:50 - 18:30 |
Opportunity to go back to the hotel |
18:30 |
Drink Reception |
19:00 |
Dinner |