Objective of Symposium

Statistical “Penalisation” methods are used to eliminate “noises” and pick up a handful of relevant factors. These includes regularisation methods such as LASSO and also factor component analysis is one of the dimension reduction methods. These methods have been rapidly developed in recent years, which are potentially applicable for analysing Big Data and high dimensional data in economics and finance. However, the focus of this massive research body has been mainly on improvement of algorithm to obtain estimators and analysis of its theoretical properties and, how we appropriately apply these techniques to economic and financial analysis has not been considered sufficiently enough. This symposium will host discussions on state-of-the-art statistical penalisation methods and their applications to economics and finance amongst world leading experts in Hiroshima and York as well as in Cambridge, Oxford and Bank of England, which seek for illuminating directions that econometricians might head for.

Speakers

Invited speakers include

• Prof Alexey Onatskiy (University of Cambridge)
• Dr Anders Bredahl Kock (University of Oxford)
• Dr Daniele Massacci (Bank of England)

Speakers from Hiroshima University include Prof Hiroshi Yamada, Prof Kazuhiko Hayakawa, and Dr Shintaro Hashimoto.

Speakers from University of York include Dr Degui Li (Math), Dr Adriana Cornea-Madeira (Management), Prof Yongcheol Shin (PanDA, Econoimics), Dr Jia Chen (PanDA, Econoimics), Dr Vanessa Smith (PanDA, Econoimics).

At the beginning of the symposium, there will be a short presentation "JSPS activities and funding opportunities."

Preliminary Programme

Participation

Participation (including coffees and lunches) is open and free of charge, but registration is essential. If you wish to register, please email Mrs Annette Johnson at annette.johnson (at mark) york.ac.uk by Monday 14 September 2018. The dinner is by invitation only.

Organisers: Hiroshi Yamada and Takashi Yamagata. This is a PanDA and 12th York Econometrics Symposium (YES).

*Financial Supports

We gratefully acknowledge the financial support from JSPS London, York ESRC-IAA Business Boost Funding and DERS.