Workshop Theme
This meeting is aimed to provide both academics and practitioners with access to an assembly of leading researchers in econometric methodology for complex systems. Contemporary topics in finance and econometrics will be treated with emphasis on new methods and perspectives.
Dates and Location
The workshop will be held on Thursday, 27 September 2007 and Friday, 28 September 2007, 10am-5:40pm daily. The venue is Level 10, Z Block, Gardens Point (city) Campus, Queensland University of Technology, 2 George Street, Brisbane.
Organisation
This workshop is sponsored by the National Centre for Econometric Research and the Financial Integrity Research Network. Professor Rodney Wolff is organising the program.
Contributed Papers
A small number of speaker slots (20 minutes) are available for contributed talks. Please submit an abstract via the registration form by 31 August 2007. Contributed papers will be held either as a single-track or dual-track session, depending on demand.
Invited Speakers
Invited papers will be held as a single-track plenary session. Abstracts for invited and contributed papers are here.
- Associate Professor Adam Clements (Queensland University of Technology)
Estimating the payoffs of temperature-based weather derivatives
- Dr Jonathan Dark (Monash University)
Price limits, long memory and basis convergence when dynamic hedging with futures
- Associate Professor Cees Diks (Universiteit van Amsterdam)
Weighted likelihood ratio scores for evaluating forecast densities
- Dr Abdou Kâ Diongue (Université Gaston Berger de St-Louis / Queensland University of Technology)
The asymmetric power GARCH-stable Paretian models
- Professeure Dominique Guégan (Université Paris I la Sorbonne)
Pricing bivariate options under GARCH GH model with dynamic copula: applications for Chinese markets
- Professor Dr Wolfgang Härdle (Humboldt-Universität zu Berlin)
Empirical pricing kernels and investor preferences
- Professor Anthony Lawrance (University of Warwick)
Volatility graphics and interest rate laws
- Professor Wai Keung Li (Hong Kong University)
Testing for threshold moving average with conditional heteroscedasticity
- Dr Peter Thomson (Statistics Research Associates Ltd)
Hidden Markov models: some examples of their application and reflections on their use
- Dr Stefan Trück (Macquarie University)
Dependent credit migrations: a copula approach
Contributing Speakers
Contributed papers will be held as a single-track plenary session. Abstracts for invited and contributed papers are here.
- Ms Nedda Cecchinato (Queensland University of Technology)
Verification of bootstrapping procedures for long-memory processes by Edgeworth expansions
- Dr Marco Reale (University of Canterbury)
Are stock market volatility series H-self-similar?
- Mr Victor Wong (Griffith University)
An analysis of Australian superannuation funds volatility using an EGARCH approach
- Ms Xin Zhao (University of Canterbury)
Stochastic volatility of oxygen concentration in preterm Infants
Schedule
| Time | Thursday 27 September | Friday 28 September |
|---|---|---|
| 10:00-10:50 | Cees Diks | Dominique Guégan |
| 10:50-11:40 | Wolfgang Härdle | Abdou Kâ Diongue |
| 11:40-12:00 | Refreshments | Refreshments |
| 12:00-12:30 | Xin Zhao | Nedda Cecchinato |
| 12:30-13:20 | Tony Lawrance | Jonathan Dark |
| 13:20-14:30 | Lunch Break | Lunch Break |
| 14:30-15:20 | Peter Thomson | Wai Keung Li |
| 15:20-15:50 | Victor Wong | Marco Reale |
| 15:50-16:10 | Refreshments | Refreshments |
| 16:10-17:00 | Stefan Trück | Adam Clements |
| 17:00 | Drinks and Dinner | Close |
Publication of Papers
Possible refereed publication of proceedings will be advised here shortly. The intention will be to produce a special issue early in 2008. Those who are not able to attend the meeting will be welcome to submit a paper. Papers will be ranked according to referees' reports and satisfying the aims of the journal. All things being equal, those who attend the meeting and present a paper will have priority over those who do not. Those who submit a paper will be asked to participate in the refereeing process.
Scholarships
The Financial Integrity Research Network (FIRN) is generously offering six travel scholarships for eligible FIRN PhD students and younger researchers to attend the event. Applications for scholarship should be made on the appropriate forms well in advance of the meeting. PhD students and younger researchers are encouraged to submit a paper for a short (20 minute) presentation.
The deadline for submission of abstracts is 31 August 2007.
The deadline for applications for scholarships is 12 September 2007.
Registration and Cost
A fee of $80 (inclusive of GST) will apply to defray the costs of lunches and refreshments at breaks on both days. Payment options will be listed here shortly.
Please complete the registration form. You will be contacted soon after you register to arrange payment.
Some Accommodation Options
Please book directly with the property, and quote “Queensland University of Technology” when making your booking to secure discounted government rates. Rates include GST and are subject to change. Early bookings are strongly recommended.
- Quay West Hotel (from $240/night), 132 Alice Street, Brisbane: tel 1800 672 726 or 07 3853 6000
- Royal on the Park (from $179/night), 152 Alice Street, Brisbane: tel 1800 773 337 or 07 3211 3411
- Ibis Hotel (from $149/night), 35 Turbot Street, Brisbane: tel 1300 656 565 or 07 3237 2333
Enquiries
Professor Rodney Wolff
School of Economics and Finance
Queensland University of Technology
GPO Box 2434
BRISBANE QLD 4001
T (07) 3138 2080
F (07) 3138 1500
E r.wolff@qut.edu.au