Isaac Newton Institute for Mathematical Sciences

Nonlinear and Nonstationary Signal Processing

July to December 1998

Organisers: W J Fitzgerald (Cambridge), R L Smith (University of North Carolina), A Walden (Imperial College, London) and P C Young (Lancaster University)

A Newton Institute Workshop

Econometrics and Financial Time Series

12 - 16 Oct 1998

Organisers: Neil Shephard (Nuffield College, Oxford) and Ruey Tsay (Chicago)

Program (40 minute sessions. 30 minutes for paper plus 10 minute open discussion) - Updated 09.10.98


Financial econometrics I

9:30-10.10 Jeff Russell (Chicago)
Autoregressive conditional multinomial: a new model for irregularly-spaced discrete-values time series data with application to high frequency financial data (with Robert F. Engle)

10.10-10:40 Coffee

10:40-11.20 Tina Rydberg (Oxford)
A Modelling Framework for the Prices and Times of Trades Made on the NYSE (with Neil Shephard).

11.20-12.00 Ruey Tsay (Chicago)
A bivariate model for prices and times (with Rob McCulloch)

12.00-2:30 Lunch


2:30-3:10 Clive Granger (UCSD)

3:10-3.50 James H Stock (Harvard)
Macroeconomic Forecasting with Many Predictors

Tea 3:50-4:20

4:20-5:00 Denise Osborn (Manchester)
Leading indicators, nonlinear models and forecasts of UK macrtoeconomic variables

5:00-5:40 Andrew C Harvey (Cambridge)
Estimating the change in unemployment  (with C-H Chung)


Extremes in finance

9:30-10.10 Paul Embrechts (ETHZ)
Estimating beyond value-at-risk (general talk based on work with S.I. Resnick and G. Samorodnitsky)

10.10-10:40 Coffee

10:40-11.20 Michel Dacorogna (Olsen and Associates, Zurich)
Predicting the occurrence of rare events: the use of high frequency data in risk management.

11:20-12:00 Richard Davis (Colorado State)
Asymptotic Theory for Some Nonlinear Time Series Models (with Thomas Mikosch)

12.00-2:00 Lunch

Volatility in finance

2:00-2:40 Frank Diebold (Penn)
How relevant is volatility forecasting for financial risk management.

2:40-3.20 Stephen Taylor (Lancaster)
Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

3:20-3:50 Tea

3.50-4.30 Enrique Sentana (CEMFI, Madrid)
Exact likelihood-based estimation of conditionally heteroskedastic factor models

4.30-5.10 Tim Bollerslev (Duke)
Forecasting financial market volatility: sampling frequency vis--vis forecasting horizon (with Torben G. Andersen).

5:10-5:50 Siddhartha Chib  (Washington, St Louis)
Estimation of multivariate stochastic volatility models

5:55 wine reception at the Isaac Newton Institute.


Diffusions I

9:30-10.10 Ola Elerian (Oxford)
Likelihood inference for discretely observed diffusions (with Siddhartha Chib and Neil Shephard).

10.10-10:40 Coffee

10:40-11.20 Yacine Ait-Sahalia (Princeton)
Maximum-likelihood estimation of discretely-sampled diffusions: a closed-form approach.

11.20-12.00 A Ronald Gallant (North Carolina)        
The relative efficiency of EMM estimators.

12.00-2:00 Lunch

(Afternoon free)


Diffusions II

9:30-10.10 George Tauchen (Duke)
Using high/low data to calibrate volatility diffusions and extract the forward integrated variance (with A Ronald Gallant).

10.10-10:40 Coffee

10:40-11.20 Nour Meddahi (Montreal
Modelling High Frequency Data in Continuous Time (with Eric Renault and Bas Werker)

11.20-12.00 Torben G. Andersen (Northwestern)
Estimating jump-diffusions for equity returns (with Luca Benzoni and Jesper Lund).

12.00-2:00 Lunch


2:00-2:40 Eric Ghysels (Penn State)
What data should be used to price options?(with Mike Chernov)

2:40-3.20 John P Lehoczky (Carnegie Mellon)
Simulation methods for pricing options under term structure models" (with Fredrik Akesson)

3:20-3:50 Tea

3.50-4.30 David Wilkie (Watson Wyatt, Heriot-Watt University and InQA Ltd)
Autoregressive investment models

4.30-5.10 Stewart Hodges (Warwick)

5.10-5.50 Per Mykland (Chicago)
Translating statistical analyses into prices of financial instruments.


Financial econometrics II

9:30-10.10 Michael Sorensen (Copenhagen)
Estimating functions for stochastic volatility models

10.10-10:40 Coffee

10:40-11.20 Neil Shephard (Oxford)
Incorporation of a leverage effect in a stochastic volatility model (with Ole E. Barndorff-Nielsen)

11.20-12.00 Richard Smith (North Carolina)
Extremes (short talk)

12.00-2:00 Lunch

Financial econometrics III

2:00-2:40 T.L. Lai (Stanford)
Stochastic neural networks with applications to   econometrics and nonlinear time series. (With S.P.Wong)

2:40-3.20 Daniel Pena (Carlos III, Madrid)
Modelling and prediction in multivariate time series with dynamic factors analysis

3:20-3:50 Tea

3.50-4.30 Ngai Hang Chan  (Carnegie Mellon)
Truncated likelihood approach to long-memory models

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