NCER Quarterly Report
National Centre for Econometric Research
September 2009
The NCER was established in July 2006 and is a research organisation dedicated to enhancing econometric research and to disseminating the outcomes to policymakers, business professionals, and the academic community. This research embraces all forms of econometrics, including the development of new methodologies, estimating quantitative models of economic and financial behaviour, assessing the effects of public policy and projecting the effects of alternative policy proposals.
The NCER supports research activities of its programs, organises special events such as seminars and workshops and maintains an active Distinguished Visitor Program. The current research of NCER members and visitors is disseminated by means of the working paper series.
News
- The “Frontiers in Financial Econometrics Workshop” which was held at the Bendheim Center for Finance at Princeton on 25/26 September was a great success. Many thanks to our hosts, Yacine Aït-Sahalia and Center Manager, Phyllis Fafalios.
 Many of the workshop participants can be seen at the foot of the archway which featured in the opening scenes of "A Beautiful Mind". |
 Annastiina Silvennoinen, Adam Clements, Vlad Pavlov and Ken Lindsay outside the Bendheim Center for Finance. |
- The new Sportometrics Program is now operational with Professor Benno Torgler as Chair. The research fellows associated with this program are now listed on the NCER website.
- NCER has become an institutional member of the Society for Financial Econometrics (SoFiE). The other institutional members are: CentER at Tilburg University, CREATES at Aarhus University, The Stevanovich Center at the University of Chicago and The Volatility Institute at the NYU Stern School of Business. Stan Hurn has been elected to the SoFiE Council.
Events
The following events were held from March to October:
- Labour Econometrics Workshop, QUT, 7-8 August 2009.
- Frontiers in Financial Econometrics Workshop at The Bendheim Center for Finance, Princeton University, 25-26 September 2009.
- Seminar by Professor Timo Teräsvirta, University of Aarhus, 23 Octobe
Hot off the Press
Recently published working papers include:
- Inter‐market Arbitrage in Sports Betting, Egon Franck, Erwin Verbeek and Stephan Nüesch, WP 48
- Relational Good at Work! Crime and Sport Participation in Italy. Evidence from Panel Data Regional Analysis over the Period 1997-2003, Raul Caruso, WP 47
- The Influence of Social Pressure and Nationality on Individual Decisions: Evidence from the Behaviour of Referees, Peter Dawson and Stephen Dobson, WP 46
- Forecast performance of implied volatility and the impact of the volatility risk premium, Ralf Becker, Adam Clements and Christopher Coleman-Fenn, WP 45
- On the economic benefit of utility based estimation of a volatility model, Adam Clements and Annastiina Silvennoinen, WP 44
- A nonparametric approach to forecasting realized volatility, Adam Clements and Ralf Becker, WP 43
RePEc Update
The overall most popular download for the period April to September is: Forecast performance of implied volatility and the impact of the volatility risk premium, Ralf Becker, Adam Clements and Christopher Coleman-Fenn.
Corporate Affiliates
The NCER gratefully acknowledges the generous financial support of its corporate affiliates.
Queensland Investment Corporation
Office of Economic and Statistical Research, Queensland Treasury
NCER Quarterly Report is produced by the National Centre for Econometric Research