Financial Econometrics Conference

Financial Econometrics Conference

Date: 16-17 May 2008
Venue: Imperial College Business School (Upper Ground Lecture Theatre)

Organizer: Dr. Nour Meddahi

Download the programme (PDF)

Sponsors

Financial support from the Risk Management Lab, the Hedge Fund Centre, the Finance and Accounting Group (Imperial College Business School) and the Journal of Applied Econometrics is gratefully acknowledged.

Copies of the papers presented at the conference can be found below

Estimating Correlation from High, Low, Opening and Closing Prices Chris Rogers (University of Cambridge), Fanyin Zhou (University of Cambridge)

Which Parts of the Distribution of Stock Returns Are Predictable? Tolga Cenesizoglu (HEC-Montreal), Allan Timmermann (University of California at San Diego)

Jump and Volatility Analysis for High-Frequency Financial Data Jianqing Fan (Princeton University), Yazhen Wang (Shanghai University of Finance and Economics)

Multivariate Realised Kernels Ole Barndorff-Nielsen (University of Aarhus), Peter Hansen (Stanford University), Asger Lunde (University of Aarhus) and Neil Shephard (University of Oxford, Oxford-Man Institute)

Data-Based Ranking of Realised Volatility Estimators Andrew Patton (Oxford University, Oxford-Man Institute)

Activity Signature Plots and the Generalized Blumenthal-Getoor Index George Tauchen (Duke University), Viktor Todorov (Northwestern University)

What’s Vol Got to Do With It? Itamar Drechsler (University of Pennsylvania), Amir Yaron (University of Pennsylvania, NBER)

Consumption Volatility and the Cross-Section of Stock Returns Romeo Tedongap (Stockholm School of Economics)

Model Averaging in Risk Management with an Application to Futures Markets Hashem Pesaran (University of Cambridge), Christoph Schleicher (GSA Capital), Paolo Zaffaroni (Imperial
College London)

A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns andOption Prices Mark Shackleton (Lancaster University), Stephen Taylor (Lancaster University), Peng Yu (Lancaster University)

Empirical Likelihood Estimators for Stochastic Discount Factors Caio Almeida (Vargas Foundation, Brazil), Rene Garcia (Edhec Business School, France)

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premia Valentina Corradi (University of Warwick), Walter Distaso (Imperial College London), Antonio Mele (London
School of Economics)

When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia? Ralph Koijen (New York University), Theo Nijman (Tilburg University), Bas Werker (Tilburg University)

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach Jean Jacod (Universite Pierre et Marie Curie), Yingying Li (University of Chicago), Per Mykland (University of
Chicago), Mark Podolskij (CREATES, University of Aarhus), Mathias Vetter (Ruhr-Universitat Bochum)

Quantile-based Realized Variance Kim Christensen (Aarhus School of Business, Denmark), Roel Oomen (Deutsche Bank), Mark Podolskij (CREATES, University of Aarhus)

Identification Robust Inference in Multivariate Reduced Rank Regression and Factor Models Marie-Claude Beaulieu (Universite Laval), Jean-Marie Dufour (McGill University), Lynda Khalaf (Carleton
University)

Modelling Multivariate Volatilities via Conditionally Uncorrelated Components  Jianqing Fan (Princeton University), Mingjin Wang (Peking University), Qiwei Yao (London School of Economics)

Fitting and Testing Vast Dimensional Time-Varying Covariance Models Robert Engle (New York University), Neil Shephard (Oxford University, Oxford-Man Institute), Kevin Sheppard (Oxford University, Oxford-Man Institute)

Econometric Asset Pricing Modelling Henri Bertholon (INRIA, CNAM, France), Alain Monfort (CREST and CNAM, France), Fulvio Pegoraro (Banque de France)

Generalized Affine Models Bruno Feunou (Universite de Montreal, CREST), Nour Meddahi (Imperial College London)