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Program: Financial Econometrics Conference


9-10 mai/May 2003
Hôtel Delta, Montréal

Sous la direction de / Organized by Nour Meddahi (Université de Montréal, CIREQ, CIRANO)


Vendredi 9 mai                                                                                                   Friday, May 9


8:20-8:30

Mot de bienvenue / Opening Remarks-Welcome : Victoria Zinde-Walsh (McGill University, CIREQ)

8:30-9:40

Session I: GMM and IV Methods: Theory and Applications
Président/Chair: Douglas Hodgson (UQAM, CIRPÉE)

Ravi Bansal (Duke University), Ronald Gallant (Duke University, University of North Carolina at Chapel Hill), George Tauchen (Duke University)
Rational Pessimism, Rational Exuberance, and Markets for Macro Risks

Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Mohamed Taamouti (ENSEA, Rabat)
Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models

Commentateurs / Discussants:
Kris Jacobs (McGill University, CIREQ, CIRANO)
Lars Peter Hansen (University of Chicago, NBER)

9:40-10:10

Pause / Break

10:10-11:55

Session II: Interest Rate Models
Présidente/Chair: Sílvia Gonçalves (Université de Montréal, CIREQ, CIRANO)

Qiang Dai (New York University), Kenneth J. Singleton (Stanford University, NBER), Wei Yang (Stanford University)
Are Regime Shifts Priced in the U.S. Treasury Markets?

Torben G. Andersen (Northwestern University, NBER), Luca Benzoni (University of Minnesota), Jesper Lund (Nykredit Bank)
Stochastic Volatility, Mean Drift and Jumps in the Short Rate Diffusion: Sources of Steepness, Level, and Curvature

Benoit Perron (Université de Montréal, CIREQ, CIRANO), Hyungsik Roger Moon (University of South California)
Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-Sectional Dependence

Commentateurs / Discussants:
George Tauchen (Duke University)
Robert Kimmel (Princeton University)
Werner Ploberger (University of Rochester)

11:55-13:15

Lunch

13:15-15:00

Session III: Statistical Inference of Continuous Time Processes
Président/Chair: Marcel Rindisbacher (University of Toronto, CIRANO)

Yacine Ait-Sahalia (Princeton University, NBER)
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)?

Siddhartha Chib (Washington University), Michael K. Pitt (University of Warwick), Neil Shephard (Oxford University)
Likelihood Based Inference for Observed and Partially Observed Diffusions

Éric Jacquier (Boston College, CIRANO), Michael Johannes (Columbia University), Nicholas Polson (University of Chicago)
MCMC Maximum Likelihood for Latent State Models

Commentateurs / Discussants:
Nicholas Polson (University of Chicago)
Mikhail Chernov (Columbia University)
Ernst Schaumburg (Northwestern University)

15:00-15:30

Pause / Break

15:30-17:15

Session IV: Forecasting
Président/Chair: Simon van Norden (HEC Montréal, CIREQ, CIRANO)

Graham Elliott (University of California at San Diego), Ivana Komunjer (Caltech), Allan Timmermann (University of California at San Diego)
Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

Sean Campbell (Brown University), Francis X. Diebold (University of Pennsylvania, NBER)
Weather Forecasting for Weather Derivatives

Nikolay Gospodinov (Concordia University, CIREQ)
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes

Commentateurs / Discussants:
Bryan Campbell (Concordia University, CIREQ, CIRANO)
John Galbraith (McGill University, CIREQ, CIRANO)
Barbara Rossi (Duke University)


Samedi 10 mai                                                                                             Saturday, May 10


8:30-9:40

Session V: Predictability of Asset Returns and Volatility
Président/Chair: Wing Chan (Wilfrid Laurier University)

Yongmiao Hong (Cornell University), Jaehun Chung (Cornell University)
Are the Directions of Stock Price Changes Predictable? Statistical Theory and Evidence

Torben G. Andersen (Northwestern University, NBER), Tim Bollerslev (Duke University, NBER), Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
2e papier / 2nd paper

Commentateurs / Discussants:
Peter Christoffersen (McGill University, CIREQ, CIRANO)
Thomas McCurdy (University of Toronto, CIRANO)

9:40-10:10

Pause / Break

10:10-11:55

Session VI: Asset Pricing and Operator Methods
Président/Chair: René Garcia (Université de Montréal, CIREQ, CIRANO)

Lars Peter Hansen (University of Chicago, NBER), José Scheinkman (Princeton University)
Semigroup Pricing

René Garcia (Université de Montréal, CIREQ, CIRANO), Richard Luger (Banque du Canada), Éric Renault (Université de Montréal, CIREQ, CIRANO)
Pricing and Hedging Options with Implied Asset Prices and Volatilities

Patrick Gagliardini (Università della Svizzera Italiana), Christian Gouriéroux (University of Toronto, CREST, CIREQ, CIRANO)
Efficient Nonparametric Estimation of Models with Nonlinear Dependence

Commentateurs / Discussants:
Christian Gouriéroux (University of Toronto, CREST, CIREQ, CIRANO)
Michael Johannes (Columbia University)
Oliver Linton (London School of Economics)

11:55-13:15

Lunch

13:15-15:00

Session VII: Volatility Models
Président/Chair: Éric Jacquier (Boston College, HEC Montréal, CIRANO)

Oliver Linton (London School of Economics), Enno Mammen (University of Heidelberg)
Estimating Semiparametric ARCH( ) Models by Kernel Smoothing Methods

Eric Ghysels (University of North Carolina at Chapel Hill, CIRANO), Pedro Santa-Clara (University of California at Los Angeles), Rossen Valkanov (University of California at Los Angeles)
The MIDAS Touch: Mixed Data Sampling Regression Models
2e papier / 2nd paper

William McCausland (Université de Montréal, CIREQ, CIRANO)
Time Reversibility or Irreversibility of Asset Returns

Commentateurs / Discussants:
Xiaohong Chen (New York University)
Éric Renault (Université de Montréal, CIREQ, CIRANO)
Bjorn Eraker (Duke University)

15:00-15:30

Pause / Break

15:30-17:15

Session VIII: Time Series Dependences and Specification Tests
Président/Chair: John Maheu (University of Toronto)

Xiaohong Chen (New York University), Yanqin Fan (Vanderbilt University)
Estimation of Copula-Based Semiparametric Time Series Models
2e papier / 2nd paper

Jin-Chuan Duan (University of Toronto, CIRANO)
A Specification Test for Time Series Models by a Normality Transformation

Christian Bontemps (CENA-LEEA, Toulouse), Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Testing Normality: A GMM Approach

Commentateurs / Discussants:
Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Haitao Li (Cornell University)
James MacKinnon (Queen’s University)

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