Frontiers in Financial Econometrics
This conference is being co-hosted by the National Centre for Econometric Research (Queensland University of Technology) and the Bendheim Center for Finance. The conference will be held on September 25-26, 2009 in the Bendheim Center for Finance classroom, 26 Prospect Avenue.
The purpose of the conference is to bring together researchers working on financial econometrics.
Friday September 25
11:15-12:15 Princeton Campus Tour (top floor of Clio Hall)
12:30-1:30 Lunch (Bendheim Center for Finance)
1:30-2:30 Session Chair: Anthony Hall
Jean Jacod (with T. Hayashi and N. Yoshida): "Estimation of Volatility with Irregular and Random Sampling"
Ken Lindsay: "Quasi-maximum Likelihood Estimation of the Parameters of Continuous Stochastic Processes"
Jianqing Fan (with Yingying Fan): “Testing and Detecting Jumps Based on a Discretely Observed Process”
2:30-3:00 Coffee Break
3:00-4:00 Session Chair: Wei Xiong
Susan Thorp (with Annastiina Silvennoinen): "Commodity, Stock and Bond Correlations in Calm and Crisis: Evidence from Smooth Transition Models"
Andrew Patton (with Michela Verardo): "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows"
Vlad Pavlov: "Business Cycles and Stock Market Recoveries"
4:00-4:30 Coffee Break
4:30-5:30 Session Chair: Eric Renault
Gael M. Martin (with Catherine S. Forbes and Simone Grose): "Modeling and Predicting Volatility and its Risk Premium: A Bayesian Non-Gaussian State Space Approach"
Wei Xiong (joint with Ke Tang): "Index Investing and the Financialization of Commodities"
Mathieu Rosenbaum: "On the Microstructural Hedging Error"
7:00 Conference Dinner
Saturday, September 26
9:30-10:30 Session Chair: Jean Jacod
Eric Renault (with Prosper Dovonon): "GMM Overidentification Test with First Order Underidentification"
Vance Martin (with Yoshihiko Nishiyama and John Stachurski): "A General Hypothesis Test for Stationary Markov Processes"
Yongmiao Hong (with Yoon-Jin Lee): "A General Approach to Testing Nonlinear Time Series Models via Generalized Spectrum"
10:30 - 11:00 Session Break
11:00 - 12:00 Session Chair: Vance Martin
Stan Hurn: "Forecasting Spikes in Electricity Prices"
Renee Fry (with Mardi Dungey and Vance Martin): "Crisis Transmission and Contagion: Which Test to Use?"
Yacine Ait-Sahalia (with Julio Cacho-Diaz, Ton Hurd and Roger Laeven): "Financial Crises and Mutually Exciting Jumps"
12:00-1:30 Lunch
1:30-2:30 Session Chair: Stan Hurn
Mardi Dungey (with Lyudmyla Hvozdyk): "Bivariate Jump Tests: Evidence from the US Treasury Bond and Futures Markets"
Jakub Jurek (with Joshua Coval and Erik Stafford): "The Pricing of Investment Grade Credit Risk during the Financial Crisis"
Viktor Todorov (with Tim Bollerslev): "Estimation of Jump Tails"
2:30-3:00 Coffee Break
3:00-4:00 Session Chair: Jianqing Fan
Adam Clements: "Semi-parametric Forecasting of Realized Volatility"
Annastiina Silvennoinen, "Determining the Dimension of a Conditional Correlation GARCH Model with Common Dynamics"
Daniel Smith: "The Stochastic Equicorrelation Model"
11:15-12:15 Princeton Campus Tour (top floor of Clio Hall)
12:30-1:30 Lunch (Bendheim Center for Finance)
1:30-2:30 Session Chair: Anthony Hall
Jean Jacod (with T. Hayashi and N. Yoshida): "Estimation of Volatility with Irregular and Random Sampling"
Ken Lindsay: "Quasi-maximum Likelihood Estimation of the Parameters of Continuous Stochastic Processes"
Jianqing Fan (with Yingying Fan): “Testing and Detecting Jumps Based on a Discretely Observed Process”
2:30-3:00 Coffee Break
3:00-4:00 Session Chair: Wei Xiong
Susan Thorp (with Annastiina Silvennoinen): "Commodity, Stock and Bond Correlations in Calm and Crisis: Evidence from Smooth Transition Models"
Andrew Patton (with Michela Verardo): "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows"
Vlad Pavlov: "Business Cycles and Stock Market Recoveries"
4:00-4:30 Coffee Break
4:30-5:30 Session Chair: Eric Renault
Gael M. Martin (with Catherine S. Forbes and Simone Grose): "Modeling and Predicting Volatility and its Risk Premium: A Bayesian Non-Gaussian State Space Approach"
Wei Xiong (joint with Ke Tang): "Index Investing and the Financialization of Commodities"
Mathieu Rosenbaum: "On the Microstructural Hedging Error"
7:00 Conference Dinner
Saturday, September 26
9:30-10:30 Session Chair: Jean Jacod
Eric Renault (with Prosper Dovonon): "GMM Overidentification Test with First Order Underidentification"
Vance Martin (with Yoshihiko Nishiyama and John Stachurski): "A General Hypothesis Test for Stationary Markov Processes"
Yongmiao Hong (with Yoon-Jin Lee): "A General Approach to Testing Nonlinear Time Series Models via Generalized Spectrum"
10:30 - 11:00 Session Break
11:00 - 12:00 Session Chair: Vance Martin
Stan Hurn: "Forecasting Spikes in Electricity Prices"
Renee Fry (with Mardi Dungey and Vance Martin): "Crisis Transmission and Contagion: Which Test to Use?"
Yacine Ait-Sahalia (with Julio Cacho-Diaz, Ton Hurd and Roger Laeven): "Financial Crises and Mutually Exciting Jumps"
12:00-1:30 Lunch
1:30-2:30 Session Chair: Stan Hurn
Mardi Dungey (with Lyudmyla Hvozdyk): "Bivariate Jump Tests: Evidence from the US Treasury Bond and Futures Markets"
Jakub Jurek (with Joshua Coval and Erik Stafford): "The Pricing of Investment Grade Credit Risk during the Financial Crisis"
Viktor Todorov (with Tim Bollerslev): "Estimation of Jump Tails"
2:30-3:00 Coffee Break
3:00-4:00 Session Chair: Jianqing Fan
Adam Clements: "Semi-parametric Forecasting of Realized Volatility"
Annastiina Silvennoinen, "Determining the Dimension of a Conditional Correlation GARCH Model with Common Dynamics"
Daniel Smith: "The Stochastic Equicorrelation Model"