THE STEVANOVICH CENTER 
FOR FINANCIAL MATHEMATICS
Stevanovich Center - CREATES conference
Financial Econometrics and Statistics: Current Themes and New Directions
Ruths Hotel - Gammel Skagen, Denmark 4-6 June 2009
program
4 June
12.00-13.00 Lunch
13.00-14.45 Session 1
14.45-15.30 Coffee Break
15.30-16.40 Session 2
16.55-18.05 Session 3
19.30 Ruths Gourmet Dinner
5 June
08.00-09.00 Breakfast
09.00-10.45 Session 4
10.45-11.15 Coffee Break
11.15-12.25 Session 5
12.30-13.30 Lunch
13.30-15.15 Session 6
15.30- Sightseeing Skagen , including Grenen , and Skagens Museum
19.00- Dinner, Brøndums Hotel , Skagen
6 June
08.00-09.00 Breakfast
09.00-10.45 Session 7
10.45-11.15 Coffee Break
11.15-12.25 Session 8
12.30- Lunch Departure
sessions
Session 1
Chair: Niels Haldrup, Aarhus University, CREATES
Dag Tjøstheim, University of Bergen: Measuring asymmetries in financial returns: A new approach using local Gaussian correlation (with Bård Støve and Karl Ove Hufthammer)
Qiwei Yao, London School of Economics: Modelling dynamics of curve time series via dimension reduction
Dennis Kristensen, Columbia University, CREATES: Testing Conditional Factor Models (with Andrew Ang)
Session 2
Chair: Anders Rahbek, University of Copenhagen, CREATES
Ole Barndorff-Nielsen, Aarhus University, CREATES: A General Framework for Continuous Time Modelling of Stationary Processes: Theory and some Applications
Yacine Ait-Sahalia, Princeton University: The Fine Characteristics of Jumps and Volatility in High Frequency Financial Data (with Jean Jacod)
Session 3
Chair: Asger Lunde, Aarhus University, CREATES
Yazhen Wang, University of Connecticut, National Science Foundation: Large Volatility Matrix Estimation for High-Frequency Data
Nikolaus Hautsch, Humboldt-Universität zu Berlin: Refining Multivariate Realized Kernels: A Blocking and Random Matrix Theory Approach (with Lada Kyj and Roel Oomen)
Session 4
Chair: Peter Reinhard Hansen, Stanford University, CREATES
Eric Ghysels, University of North Carolina: Realized Limit Orders and Realized Volatility (with Michael Fleming and Per Mykland)
Jeff Russell, University of Chicago: On the econometrics of realized effective spreads
Yingying Li, Chicago + Princeton: Realized volatility when sampling times can be endogenous (with Per Mykland, Eric Renault, Lan Zhang, and Zinghua Zheng)
Session 5
Chair: Bent Jesper Christensen, Aarhus University, CREATES
Torben G. Andersen, Northwestern University, CREATES: Exploring the Volatility Risk Premium across Equity and Foreign Exchange via Up- and Down-Variance Contracts (with Oleg Bondarenko)
Viktor Todorov, Northwestern University: Tails, Fears and Risk Premia (with Tim Bollerslev)
Session 6
Chair: Tim Bollerslev, Duke University, CREATES
Per Mykland, University of Chicago, Stevanovich Center: Aggregated and Instantaneous Volatility: Connections and Comparisons (with Eric Renault and Lan Zhang)
Federico Bandi, University of Chicago: Bandwidth selection for recurrent continuous-time Markov processes (with Valentina Corradi and Guillermo Moloche)
Michael Sørensen, University of Copenhagen, CREATES: Efficient estimation for discretely sampled ergodic SDE models
Session 7
Chair: Timo Teräsvirta, Aarhus University, CREATES
Eric Renault, University of North Carolina: A Structural Autoregressive Conditional Duration Model (with Thijs van der Heijden and Bas J. M. Werker)
Mark Podolskij, ETH Zürich, CREATES: Quantile-based estimation for high-frequency observations
Nour Meddahi, Toulouse School of Economics: Too Many Jumps
Session 8
Chair: Niels Nygaard, University of Chicago, Stevanovich Center
Allan Timmermann, University of California at San Diego, CREATES: The shape of the risk-return relation
Nicholas Polson, University of Chicago: Sequential learning, predictive regressions, and optimal portfolio returns (with Michael Johannes, Arthur Korteweg)
participants
|
Yacine Ait-Sahalia |
Princeton University |
|
Torben G. Andersen |
Northwestern University, CREATES |
|
Federico Bandi |
University of Chicago |
|
Ole Barndorff-Nielsen |
Aarhus University, CREATES |
|
Tim Bollerslev |
Duke University, CREATES |
|
Bent J. Christensen |
Aarhus University, CREATES |
|
Jianqing Fan |
Princeton University |
|
Eric Ghysels |
University of North Carolina |
|
Niels Haldrup |
Aarhus University, CREATES |
|
Peter R. Hansen |
Stanford University, CREATES |
|
Nikolaus Hautsch |
Humboldt-Universität zu Berlin |
|
Takaki Hayashi |
Keio University |
|
Marc Hoffman |
Universite Marne-la-Valle |
|
Lancelot James |
Hong Kong University of Science and Technology |
|
Søren Johansen |
University of Copenhagen, CREATES |
|
Dennis Kristensen |
Columbia University, CREATES |
|
Yingying Li |
Chicago + Princeton |
|
Oliver Linton |
London School of Economics |
|
Asger Lunde |
Aarhus University, CREATES |
|
Nour Meddahi |
Toulouse School of Economics |
|
Per Mykland |
University of Chicago |
|
Niels Nygaard |
University of Chicago |
|
Andrew Patton |
University of Oxford |
|
Mark Podolskij |
Aarhus University, CREATES |
|
Nicholas Polson |
University of Chicago |
|
Anders Rahbek |
University of Copenhagen, CREATES |
|
Eric Renault |
University of North Carolina |
|
Jeff Russell |
University of Chicago |
|
Kevin Sheppard |
University of Oxford |
|
Lars Stentoft |
HEC Montreal, CREATES |
|
Michael Sørensen |
University of Copenhagen, CREATES |
|
George Tauchen |
Duke University |
|
Timo Terasvirta |
Aarhus University, CREATES |
|
Allan Timmermann |
UC, San Diego, CREATES |
|
Dag Tjøstheim |
University of Bergen |
|
Viktor Todorov |
Northwestern University |
|
Almut Veraart |
Aarhus University, CREATES |
|
Valeri Voev |
Aarhus University, CREATES |
|
Yazhen Wang |
University of Conneticut |
|
Qiwei Yao |
London School of Economics |
|
Xinghua Zheng |
University of British Colombia |
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Martha Berdiin |
Administratror, CREATES |
links