The Society of Financial Econometrics (SoFiE), together with the National Centre for Econometric Research (NCER) will hold a 1-day conference titled "Volatility Modelling and Financial Decision Making" at the Gardens Point Campus, Queensland University of Technology, Brisbane, on Monday 9 July, 2012.

The conference venue is the Gardens Threatre at Queensland University of Technology. (Please see the Gardens Point map for location information. Ref. X Block, top right-hand corner.)

Volatility plays a crucial role in many financial decisions, ranging from portfolio selection and asset pricing, to risk management and capital setting in prudential regulation. The significant losses in financial markets surrounding the Great Recession have highlighted the importance of having a good understanding about the risks involved in financial markets.  This conference will showcase recent econometric innovations in modelling and forecasting financial volatility, highlighting the benefit a clear understanding of risk has for making sound financial decisions.

If you are interested in attending, please register via the online registrations page.

Keynote Speakers

Jean-Marie Dufour is the William Dow Professor of Economics at McGill University and Emeritus Professor of Economics at the Université de Montréal.

George Tauchen is the William Henry Glasson Professor of Economics and Finance and Professor of Finance, Fuqua School of Business at Duke University.

Jun Yu is Professor of Economics and Finance, Director of SKBI and Co-Director of CoFiE at Singapore Management University.

Invited Speaker

Alain Hecq is Associate Professor at the Department of Quantitative Economics at Maastricht University.

Mardi Dungey is Professor and Deputy Head of the School of Economics and Finance at University of Tasmania.

Call for Papers

The Organising Committee invites the submission of papers to be presented at the joint SoFiE and NCER conference. Papers dealing with topics relevant to the conference theme are welcome. Acceptance of contributed papers will be detemined by the Program Committee.

Submissions are now closed.

Registrations

Although the conference is free-of-charge, please advise via the online registrations page of your attendance for catering purposes, by Wednesday 27 June, 2012.

Program Committee

Professor Heather Anderson, Monash University
Professor Adam Clements, Queensland University of Technology
Professor Mardi Dungey, University of Tasmania
Professor Stan Hurn, Queensland University of Technology
Professor Daniel Smith, Queensland University of Technology
Professor Jun Yu, Singapore Management University.

Schedule

The schedule will consist of keynote speakers, an invited speaker and contributed academic papers; and a Wine and Cheese Reception.

Time Monday 9 July 2012
9:00 am Jean-Marie Dufour (Keynote Presentation)
Identification-robust Estimation and Testing of the Zero-beta CAPM
9:45 am

Alain Hecq (Invited Presentation)
On the Univariate Representation on BEKK Models with Common Factors

10:30 am Morning Tea
11:00 am

George Tauchen (Keynote Presentation)
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions

11:45 am

Mardi Dungey (Invited Presentation)
Identifying Contagion

12:30 pm Ben Hunt, UTS (Contributed paper)
The Influence of Changes in Asset Volatilities and Correlations on Minimum Variance Portfolio Risk
1:00 pm Lunch
2:15 pm

Jun Yu (Keynote Presentation)
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility

3:00 pm Vyacheslav Fos, University of Illinois (Contributed paper)
Insider Trading, Stochastic Liquidity and Equilibrium Prices
3:30 pm Susan Thorp, UTS (Contributed paper)
Phase Dating and Contagion in the Global Financial Crisis: A Smooth Transition Structural GARCH approach
4:00 pm Afternoon Tea
4:30 pm Kam Fong Chan, UQ (Contributed paper)
Currency Jumps and Crises: Do Developed and Emerging Market Currencies Jump Together?
5:00 pm Lyudmyla Hvozdyk, University of Cambridge (Contributed paper)
The Impact of Thin Trading and Jumps on Realised Hedge Ratios
5:30 pm Wine and Cheese Reception

Important Dates

Date Activity
26 March Deadline for submission of papers
26 April Notification of paper acceptance
27 June Last day for registration
9 July Conference

Accommodation

The following information is taken directly from the hotel's websites and we do not necessarily endorse any of the accommodation places and services listed below. If you would like further alternatives, please contact the Conference Secretariat. All accommodation requests need to be made directly with the hotel provider.

Quay West Suites Brisbane (5 stars) (Approximately 5 minutes walk to QUT, and the closest of the accommodation options provided.)

Quay West Suites Brisbane offers secluded Brisbane accommodation in the heart of the city featuring a resort-style swimming pool, fitness facilities, business centre and contemporary dining.

Oaks 212 Margaret Brisbane (4.5 stars) (Approximately 7 minutes walk to QUT.)

Oaks 212 Margaret, is the perfect base from which to enjoy everything Brisbane accommodation has to offer. Cool café precincts and fine dining, theatres, nightclubs, busy streets and leafy corners. Enjoying breathtaking river, city and parkland views, 212 Margaret is just an easy stroll from the financial, commercial and shopping heart with its great restaurants and entertainment venues. Excellent access to public transport makes getting around a breeze.

Royal on the Park (4.5 stars) (Approximately 7 minutes walk to QUT.)

Award winning Royal on the Park, Brisbane is positioned in one of the city’s most central locations. As one of the first hotels to be established in Brisbane, Royal on the Park is renowned for its history, elegance and professional service.

Offering incomparable conference facilities, spacious accommodation and majestic skyline views, Royal on the Park epitomises the very best in four and a half star accommodation.

Enquiries

For further details please contact the Conference Secretariat:

Angela Fletcher
Queensland University of Technology (NCER)
Email: a.fletcher@qut.edu.au