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)
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)
10:40-11.20 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)
2:30-3:10 Clive Granger (UCSD)
3:10-3.50 James H Stock (Harvard)
Macroeconomic Forecasting with Many Predictors
Denise Osborn (Manchester)
Leading indicators, nonlinear models and forecasts of UK macrtoeconomic variables
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)
10:40-11.20 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)
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
3.50-4.30 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-à-vis forecasting horizon (with Torben G. Andersen).
5:10-5:50 Siddhartha Chib (Washington,
Estimation of multivariate stochastic volatility models
5:55 wine reception at the Isaac Newton Institute.
9:30-10.10 Ola Elerian (Oxford)
Likelihood inference for discretely observed diffusions (with Siddhartha Chib and Neil Shephard).
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.
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).
10:40-11.20 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).
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)
3.50-4.30 David Wilkie (Watson Wyatt, Heriot-Watt University and
Autoregressive investment models
4.30-5.10 Stewart Hodges (Warwick)
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
Neil Shephard (Oxford)
Incorporation of a leverage effect in a stochastic volatility model (with Ole E. Barndorff-Nielsen)
Richard Smith (North Carolina)
Extremes (short talk)
Financial econometrics III
2:00-2:40 T.L. Lai
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
3.50-4.30 Ngai Hang Chan (Carnegie Mellon)
Truncated likelihood approach to long-memory models