IHS - Workshop - High-Dimensional Time Series in Macroeconomics and Finance

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4thVienna Workshop on
High-Dimensional Time Series in Macroeconomics and Finance 2019


May 16 - 17, 2019

General Information

The
Vienna Time Series workshops were launched in 2013 with the goal of exchanging ideas and discussing recent results in the analysis of high-dimensional time series. High-dimensional time series have entered current practice in many areas, including economics, finance, and econometrics. The analysis of such datasets poses significant challenges, both from a statistical as from a numerical point of view. The most successful procedures so far have been based on dimension reduction techniques and, more particularly, on high-dimensional factor models and on Bayesian modeling. The workshop series intends to bring together prominent researchers in these areas, to discuss new developments and trends and to enhance cross-fertilization between subfields.

Invited Speakers
Christian Brownlees (Universitat Pompeu Fabra)
Domenico Giannone (Federal Reserve Bank of New York)
Marco Lippi (Einaudi Institute for Economics and Finance)
Hashem Pesaran (University of Southern California)
Benedikt Pötscher (University of Vienna)
Michael Wolf (University of Zurich)

Scientific Committee
Matteo Barigozzi (London School of Economics)
Sylvia Frühwirth-Schnatter (Vienna University of Economics and Business)
Uwe Hassler
(Goethe University Frankfurt)
Nikolaus Hautsch
(University of Vienna)
Wolfgang Scherrer (TU Wien)
Martin Wagner
(TU Dortmund)

Local Organizers
Manfred Deistler
(TU Wien)
Leopold Sögner
(Institute for Advanced Studies and Vienna Graduate School of Finance)

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