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Program; Financial Econometrics

Économétrie de la finance / Financial Econometrics
Montréal, 4-5 mai/May 2007

Programme / Program


Vendredi 4 mai

Friday, May 4


  8:25am –  8:30am

Mot de bienvenue / Welcoming Address

  8:30am – 10:15am

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

George Jiang (University of Arizona) (avec/with Abdoul Sam)
Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields

Dobrislav Dobrev (Northwestern University)
Capturing Volatility from Large Price Moves : Generalized Range Theory and Applications

Éric Renault (University of North Carolina) (avec/with Yanqin Fan, Sergio Pastorello)
Maximization by Parts in Extremum Estimation

Commentateurs / Discussants:
Jianqing Fan (Princeton University)
Kim Christensen (University of Aarhus)
Marine Carrasco (Université de Montréal, CIREQ, CIRANO)

10:15am – 10:45am

Pause / Break

10:45am – 12:30pm

Session II
Président / Chair : Jeroen Rombouts (HEC Montréal)

Peter Christoffersen (McGill University, CIREQ, CIRANO) (avec/with Kris Jacobs, Lotfi El-Karoui, Karim Mimouni)
Estimating Term Structure Models Using Swap Rates

Matthew Harding (MIT, Harvard University)
Structural Estimation of High-Dimensional Factor Models : Uncovering the Effect of Global Factors on the US Economy

Nour Meddahi (Imperial College, CIREQ, CIRANO) (avec/with Bruno Feunou)
Generalized Affine Models

Commentateurs / Discussants:
Bob Kimmel (The Ohio State University)
Alexei Onatski (Columbia University)
Christian Gouriéroux (University of Toronto)

12:30pm – 2:00pm

Lunch

  2:00pm – 3:10pm

Session III
Président / Chair : John Galbraith (McGill University, CIREQ, CIRANO)

Rob Engle (New York University) (avec/with Bryan Kelly)
Dynamic Equicorrelation

Eric Ghysels (University of North Carolina) (avec/with Xilong Chen)
News – Good or Bad – and Its Impact Over Multiple Horizons

Commentateurs / Discussants:
Peter Christoffersen (McGill University, CIREQ, CIRANO)
Benoit Perron (Université de Montréal, CIREQ, CIRANO)

  3:10pm – 3:40pm

Pause / Break

  3:40pm – 5:25pm

Session IV
Président / Chair : Bryan Kelly (Stern School of Business)

Allan Timmermann (University of California at San Diego) (avec/with Tolga Cenesizoglu)
Predictability of Stock Returns : A Quantile Regression Approach

Debrah Meloso (Caltech) (avec/with Peter Bossaerts)
Portfolio Correlation and the Power of Portfolio Efficiency Tests

Viktor Todorov (Duke University)
Variance Risk Premium Dynamics

Commentateurs / Discussants:
Raffaella Giacomini (UCLA)
Kris Jacobs (McGill University, CIREQ, CIRANO)
Mikhail Chernov (London Business School)


Samedi 5 mai

Saturday, May 5


  9:00am – 10:10am

Session V
Président / Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)

Dennis Kristensen (University of Columbia) (avec/with Yongseok Shin)
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Yacine Ait-Sahalia (Princeton University) (avec/with Jean Jacod)
Testing for Jumps in a Discretely Observed Process

Commentateurs / Discussants:
George Tauchen (Duke University)
Cecilia Mancini (University of Firenze)

10:10am – 10:35am

Pause / Break

10:35am – 12:20pm

Session VI
Président / Chair : Lars Stentoft (HEC Montréal)

Tom McCurdy (University of Toronto) (avec/with John Maheu)
How Useful Are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Jessica Wachter (Wharton, University of Pennsylvania) (avec/with Missaka Warusawitharana)
What is the Chance that the Equity Premium Varies over Time? Evidence from Predictive Regressions

Dana Kiku (Wharton, University of Pennsylvania) (avec/with Ravi Bansal, Amir Yaron)
Risks for the Long Run : Estimation and Inference

Commentateurs / Discussants:
Nick Polson (University of Chicago)
Michael Johannes (Columbia Business School)
Annette Vissing-Jorgensen (Kellogg School of Management)

12:20pm – 1:45pm

Lunch

  1:45pm – 3:30pm

Session VII
Président / Chair : Tolga Cenesizoglu (HEC Montréal)

Michael Brandt (Duke University) (avec/with David Chapman)
Linear Approximations and Tests of Conditional Pricing Models

René Garcia (Université de Montréal, CIREQ, CIRANO) (avec/with Richard Luger)
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates

Gurdip Bakshi (University of Maryland) (avec/with Dilip Madan)
Investor Heterogeneity, Long–Short Equity Positions, Aggregation, and the Non-Monotonicity of the Aggregate Marginal Rate of Substitution in the Price of Market-Equity

Commentateurs / Discussants:
Ray Kan (Rotman School of Management)
Hao Zhou (Federal Reserve)
René Garcia (Université de Montréal, CIREQ, CIRANO)


  3:30pm

Clôture / Adjourn

 

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