The National Centre for Econometric Research (NCER) and Princeton University's Bendheim Center for Finance will hold a 2-day workshop entitled "Frontiers in Financial Econometrics" at the Gardens Point campus, Queensland University of Technology, Brisbane, on Tuesday 12 and Wednesday 13 July 2011.
If you are interested in attending, please contact the workshop secretariat.
Workshop venue is the Dennis Gibson Room, Level 10, Z Block, QUT. (Please see the Gardens Point map for location information.)
Workshop Conveners
Professor Stan Hurn, Queensland University of Technology.
Professor YacineAït-Sahalia, Princeton University
Participants
Heather Anderson, Monash University
Yacine Aït-Sahalia, Director Bendheim Center for Finance, Princeton University
Jinyuan Chang, Peking University
Carl Chiarella, University of Technology Sydney
Adam Clements, Queensland University of Technology
Mardi Dungey, University of Tasmania
Jiti Gao, Monash University
Stan Hurn, Queensland University of Technology
Tony Hall, University of Technology Sydney
Jorge Cruz Lopez, Simon Fraser
Andrew McClelland, Queensland University of Technology
Gael Martin, Monash University
Vance Martin, The University of Melbourne
Adrian Pagan, The University of Sydney
Joon Park, Indiana University
Andrew Patton, Duke University
Annastiina Silvennoinen, Queensland University of Technology
Daniel Smith, Queensland University of Technology
Susan Thorp, University of Technology, Sydney
Jianxin Wang, University of Technology Sydney
Dacheng Xiu, Princeton University
Minxian Yang, University of NSW
Jun Yu, Singapore Management University
Schedule
| Time | 12 July 2011 | 13 July 2011 |
|---|---|---|
| 9:00 am | Carl Chiarella (UTS) Stochastic Correlation and Risk Premia in Term Structure Models (with Chih-Ying Hsiao and Thuy-Duong To) (pdf, 9kb) |
|
| 9:20 am | Dacheng Xiu (Princeton) Dissecting and Deciphering European Option Prices using Closed Form Expansion |
|
| 9:40 am | Andrew McClelland (QUT) An Investigation of Self-Exciting Market Processes using Option Prices |
|
| 10:00 am | Jinyuan Chang (Peking) On the approximate maximum likelihood estimation for diffusion processes (with Song Xi Chen, Iowa State University) (pdf, 305kb) |
|
| 10:20 am | Morning Tea | |
| 10:40 am | Adrian Pagan (Sydney) Assessing Some Models of the Impact of Financial Stress Upon Business Cycles (with Tim Robinson RBA) (pdf, 260kb) |
|
| 11:10 am | Jorge Cruz Lopez (Simon Fraser) CoMargin: A System to Enhance Financial Stability (with Jeffrey H Harris, Christophe Hurlin and Christophe Pérignon) (pdf, 547kb) |
|
| 11:30 am | Daniel Smith (QUT) | |
| 11:50 am | Andrew Patton (Duke) Modelling Dependence in High Dimensions with Factor Copulas (with Dong Hwan Oh, Duke) |
|
| 12:10 pm | Jiti Gao (Monash) Non- and Semi-Parametric Cointegration: Theory and Practice |
|
| 12:30 pm | Lunch | Lunch |
| 1:30 pm | Heather Anderson (Monash) Testing for co-jumps in high frequency financial data: an approach based on first-high-low-last prices (with Yin Liao, ANU) (pdf, 3.2mb) |
|
| 1:50 pm | Yacine Aït-Sahalia (Princeton) | |
| 2:10 pm | Joon Park (Indiana) Inference on Conditional Mean Models in Continuous Time (pdf, 753kb) |
|
| 2:30 pm | Jun Yu (Singapore Management University) Testing for Multiple Bubbles (with Peter Phillips and Shu-Ping Shi) |
|
| 2:50 pm | Afternoon Tea | |
| 3:20 pm | Mardi Dungey (Tasmania) Identifying Contagion (with Eric Renault) |
|
| 3:40 pm | Susan Thorpe (UTS) / Annastiina Silvennoinen (QUT) Conditional correlation dynamics in energy and agriculture |
|
| 4:00 pm | Gael Martin (Monash) Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models (with Jason Ng, Catherine S Forbes (Monash University) and Brendan P M McCabe (University of Liverpool, UK)) |
|
| 4:20 pm | Adam Clements (QUT) A global model of high frequency trading activity in Yen-Dollar futures (with Stan Hurn) |
|
| 4:40 pm | Minxian Yang (UNSW) and Jianxin Wang (UTS) Modelling the risk-return relationship which simultaneously takes into account of the risk premium and the volatility-feedback effect |
|
| 6:30 pm | Dinner |
Enquiries and Registration
For further details please contact the workshop secretariat:
Angela Fletcher
Queensland University of Technology (NCER)
Email: a.fletcher@qut.edu.au