Program: Financial Econometrics Conference

Vendredi 24 avril 2009 / Friday, April 24, 2009

8:40

Mot de bienvenue / Welcome address : Eric Jacquier (HEC Montréal, CIREQ, CIRANO)

8:45 – 10:30

SESSION I
Président / Chair : Eric Jacquier (HEC Montréal, CIREQ, CIRANO)

Guofu ZHOU (Washington University), Aiguo Kong (Fudan University), David Rapach, Jack Strauss (St. Louis University), Jun Tu (Singapore Management University)
How Predictable Are Components of the Aggregate Market Portfolio?
Commentateur / Discussant : Rossen Valkanov (University of California at San Diego)

Nicholas POLSON (The University of Chicago Booth School of Business), Michael Johannes (Columbia University), Arthur Korteweg (Stanford University)
Sequential Learning, Predictive Regressions, and Optimal Portfolio Returns
Commentateur / Discussant : Michael Halling (University of Utah)

Xiaoyan ZHANG (Cornell University), Geert Bekaert, Robert Hodrick (Columbia University)
Is There a Trend in Idiosyncratic Volatility?
Commentateur / Discussant : Timothy T. Simin (Penn State University)

10:30 – 10:50

Pause / Break

10:50 – 12:00

SESSION II
Président / Chair : Rossen Valkanov (University of California at San Diego)

Eric GHYSELS (University of North Carolina, CIRANO), Elena Andreou, Andros Lourtellos (Cyprus University)
Should Macroeconomic Forecasters Look at Daily Financial Data?

Commentateur / Discussant : Ana Beatriz Galvão (Queen Mary, University of London)

Mikhail CHERNOV (London Business School), Ruslan Bibkov (Barclays Capital)
Monetary Policy Regimes and the Term Structure of Interest Rates

Commentateur / Discussant : Wei Yang (University of Rochester)

12:00 – 13:30

Lunch

13:30 – 15:15

SESSION III
Président / Chair : Eric Ghysels (University of North Carolina, CIRANO)

Raymond KAN (Rotman School of Management), Cesare Robotti (Federal Reserve Bank of Atlanta), Jay Shanken (Emory University)
Two-Pass Cross-Sectional Regressions under Potentially Misspecified Models
Commentateur / Discussant : Tarun Chordia (Emory University)

Robert KORAJCZYK (Kellogg School of Management), Gregory Connor (London School of Economics), Robert Uhlaner (Microsoft)
Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components

Commentateur / Discussant : Cesare Robotti (Federal Reserve Bank of Atlanta)

Robert ENGLE, Abishek Mistry (New York University)
Priced Risk and Asymmetric Volatility in the Cross-section of Skewness
Commentateur / Discussant : Éric Renault (University of North Carolina at Chapel Hill, CIREQ, CIRANO)

15:15 – 15:45

Pause / Break

15:45 – 17:15

SESSION IV
Président / Chair : Raymond Kan (Rotman School of Management)

Jeroen ROMBOUTS, Lars Stentoft (HÉC Montréal)
Bayesian Option Pricing with Mixed Normal Heteroskedasticity Models

Commentateur / Discussant : Michael Johannes (Columbia University)

Romeo TEDONGAP (Stockholm School of Economics), Bruno Feunou Kamkui (Duke University), Jean-Sebastien Fontaine (Banque du Canada)
Implied Volatility and Skewness Surface

Commentateur / Discussant : Stephen Heston (University of Maryland)

Christopher JONES, Joshua Shemesh (University of Southern California)
The Week-end Effect in Equity Option Returns

Commentateur / Discussant : Nikunj Kapadia (University of Massachusetts Amherst)

 
Samedi 25 avril 2009 / Saturday, April 25, 2009

8:30 – 10:15

SESSION V
Président / Chair : Mikhail Chernov (London Business School)

Anders TROLLE (Copenhagen Business School)
Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives

Commentateur / Discussant : Kris Jacobs (McGill University, CIREQ, CIRANO)

Dante AMENGUAL (Princeton University)
The Term Structure of Variance Risk Premia

Commentateur / Discussant : Viktor Todorov (Kellogg School of Management)

Francis X. DIEBOLD (University of Pennsylvania), Jens Christensen, Glenn Rudebusch (The Federal Reserve Bank of San Francisco)
Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Commentateur / Discussant : Bruno Feunou Kamkui (Duke University)

10:15 – 10:45

Pause / Break

10:45 – 12:30

SESSION VI
Président / Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)

Jeffrey RUSSELL (University of Chicago Graduate School of Business)
Forecasting Realized Variance in the Presence of Time-Varying Noise
Commentateur / Discussant : Rachidi Kotchoni (Université de Montréal, CIREQ)

George TAUCHEN (Duke University), Viktor Todorov (Kellogg School of Management)
Volatility Jumps

Commentateur / Discussant : Rama Cont (Columbia University)

Éric RENAULT (University of North Carolina at Chapel Hill, CIREQ, CIRANO), Prosper Dovonon (Université de Montréal, CIREQ)
GMM Overidentification Test with First Order Underidentification

Commentateur / Discussant : Valentina Corradi (University of Warwick)

12:30 – 14:00

Lunch