Econometrics, Mathematics and Financial Modelling Using OxMetrics™

FREE SEMINAR

Paris, 6 December 2002

Institut Henri Poincaré-11, rue Pierre et Marie Curie-75231 Paris

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OxMetrics™ is a software package providing an integral solution for those working in applied mathematical and statistical modelling, with an emphasis on econometric modelling of financial and time-series data, but also cross section and panel data. OxMetrics' modules have been developed by senior academic professors and researchers working in the forefront of research in econometrics, financial econometrics, statistics and computing technology. OxMetrics offers the following benefits:

  • Latest developments in financial and econometrics modelling techniques (e.g. volatility, regime switching modelling)
  • Easy integration with an organisations' existing systems
  • World-wide support and training
  • Low cost solution.

For further details on OxMetrics visit the OxMetrics Web.

Timberlake Consultants Ltd, the distributor and publisher of the OxMetrics, would like to invite you to attend a one-day seminar, in Central Paris, concentrating on the use of OxMetrics in Econometrics, Mathematics, Financial Modelling and Forecasting.

Seminar Theme: Advances in time series, forecasting and software engineering are continuously being introduced. These advances provide major breakthroughs in the modelling of time series with easy-to-use object-oriented software. The seminar aims to introduce participants to the OxMetrics software, drawing special attention to modules for data mining, modelling stochastic volatility, time series analysis and integrating the OxMetrics code with existing Corporate applications. Several users will be presenting papers about the use of OxMetrics in their work. Demonstrations are part of each presentation. Books and papers on the subject are displayed for consultation during breaks.

Who should attend - The seminar is aimed at forecasters and researchers in:

  • Economic Research/ Model Building
  • Financial Modelling/ Arbitrage Trading
  • Quantitative Investment Management
  • Risk management
  • Derivatives trading
  • Investment management
  • IT integrators
  • Teachers and Researchers in Academic Institutions

The seminar is free of charge and includes luncheon. You may want to attend part of or the full day. The number of places is limited and early registration is highly recommended.

Speakers
OxMetrics Developers:
Dr. Jurgen Doornik is Research Fellow at Nuffield College, Oxford. He is the originator of Ox package, and contributed to many Ox packages (including the Arfima package) and works with David Hendry on PcGive. He has published papers in the Econometrics Journal, Journal of Economic Surveys, and Scottish Journal of Political Economy. http://www.nuff.ox.ac.uk/users/doornik/
http://www.pcgive.com/

Prof. Dr. Siem Jan Koopman is a Professor in Econometrics at the Free University of Amsterdam. He gained his Ph.D. (from LSE) in 1992. He has published papers in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society Serie B. He is a member of the editorial board of the J Applied Econometrics. He is main contributor to the STAMP module and developed the Ox package SsfPack.
http://www.econ.vu.nl/koopman/
http://stamp-software.com
http://www.ssfpack.com/

OxMetrics Users
Dr Sebastient Laurent is a Phd in Financial Econometrics at Maastricht University, currently working at the University of Liège, Department of Economics. He is the author of the Ox package G@RCH.
http://www.egss.ulg.ac.be/econometrie/SLaurent.htm

Christine Choirat works at the Applied Mathematics research centre ``Viabilité, Jeux, Contrôle'' (Université Paris 9 Dauphine) and is Timberlake Consultants' representative in France for the OxMetrics software.
http://viab.dauphine.fr/~choirat/

Dr. Miriam Scaglione is a Professor at the Lausanne Institute for Hospitality Research, Ecole Hoteliere de Lausanne and is a member of the International Association of Scientific Experts in Tourism and the International Institute of Forecasters.

Seminar Programme
(may be subject to change)

9.00 - Coffee and Registration

9.15- 9.20 - Welcome by Melika Ben Salem, EUREQua

  • Introduction to OxMetrics - System overview and basic use of interactive software components by Dr. Jurgen A. Doornik (presentation in English)
  • Advanced techniques in (univariate and multivariate) volatility models and financial applications using G@rch, by Sebastien Laurent (presentation in French)
  • Ox: a programming language for Applied Mathematics, by Christine Choirat (presentation in French)

13.00-14.00 Lunch

14.00-14.05 - Welcome by Emmanuel Guerre, Universite Pierre and Marie Curie

14.05- 17.00

  • State space modelling with special references to the business cycle and financial markets using STAMP, by Prof Dr. Siem Jan Koopman (presentation in English)
  • Forecasting trends in Swiss Airports: back from the future, by Prof. Dr. Miriam Scaglione (presentation in French)
  • Using OxMetrics for research and teaching: Some advanced features, by Dr. Jurgen A. Doornik (presentation in English)

Discussion

17.30-Close