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Program: Financial Econometrics

Économétrie de la finance
Financial Econometrics

Montréal, 20-21 mai/May 2005

Programme / Program


Vendredi 20 mai

Friday, May 20


8:25 – 8:30

Mot de bienvenue / Welcoming Address
John Galbraith (McGill University, CIREQ, CIRANO) 

8:30 – 10:15

Session I : Affine Models
Président/Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)

Ruslan Bikbov, Mikhail Chernov (Columbia University)
No-Arbitrage Macroeconomic Determinants of the Yield Curve

Antonio Diez de los Rios (CIREQ, CIRANO)
The Term Structure of Uncovered Interest Parity Regression Slopes in an Affine Economy

Alan C. Bester (University of Chicago)
Random Field and Affine Models for Interest Rates: An Empirical Comparison

Discussants :
René Garcia (Université de Montréal, CIREQ, CIRANO)
Qiang Dai (University of North Carolina)
Robert Kimmel (Princeton University) 

10:15 – 10:45

Pause / Break 

10:45 – 12:30

Session II : Volatility Models
Président/Chair : René Garcia (Université de Montréal, CIREQ, CIRANO)

Robert F. Engle (New York University, University of California at San Diego), Jose Gonzalo Rangel (University of California at San Diego)
The Spline Garch Model of Unconditional Volatility and Its Global Macroeconomic Causes

Gregory H. Bauer (Bank of Canada), Keith Vorkink (Brigham Young University)
Economic Forces and the Cross Section of Realized Stock Market Volatility

Carmela Quintos (University of Rochester)
Factor Tests in a Generalized OGARCH System

Discussants :
Angelo Melino (University of Toronto)
Denis Pelletier (North Carolina State University)
Nour Meddahi (Université de Montréal, CIREQ, CIRANO) 

12:30 – 13:45

Lunch 

13:45 – 15:30

Session III : Portfolio Choice
Président/Chair : Masayuki Hirukawa (Concordia University)

Jessica A. Wachter (University of Pennsylvania, NBER), Missaka Warusawitharana (University of Pennsylvania)
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

Christian Julliard (Princeton University)
Human Capital and International Portfolio Choice

Michael Brandt (Duke University, NBER), Pedro Santa-Clara (University of California at Los Angeles, NBER), Rossen Valkanov (University of California at Los Angeles)
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Discussants :
Bjorn Eraker (Duke University)
Min Wei (Federal Reserve Board)
Jessica A. Wachter (University of Pennsylvania, NBER) 

15:30 – 16:00

Pause / Break 

16:00 – 17:45

Session IV : Financial Derivatives and Stochastic Volatility Models
Président/Chair : Zhiwu Chen (Yale University)

Peter Christoffersen (McGill University, CIREQ, CIRANO), Kris Jacobs (McGill University, CIREQ, CIRANO), Yintian Wang (McGill University)
Option Valuation with Long-run and Short-run Volatility Components

Gurdip Bakshi (University of Maryland), Peter Carr (Bloomberg L.P., Courant Institute), Liuren Wu (Baruch College)
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Pascale Valéry (HEC Montréal)
Finite and Large Sample Inference for One- and Two-Factor Stochastic Volatility Models

Discussants :
Christopher Jones (University of South California)
Peter Christoffersen (McGill University, CIREQ, CIRANO)
Rohit Deo (New York University) 


Samedi 21 mai

Saturday, May 21


8:30 – 10:15

Session V : Realized Volatility
Président/Chair : Nikolay Gospodinov (Concordia University, CIREQ)

Federico Bandi, Jeffrey Russell, Yinghua Zhu (University of Chicago)
Optimally-Sampled Realized Covariances and Dynamic Portfolio Choice

Lan Zhang (Carnegie Mellon University)
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach

Sílvia Gonçalves, Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Bootstrapping Realized Volatility

Discussants :
Torben G. Andersen (Northwestern University, NBER)
Peter R. Hansen (Stanford University)
Per Mykland (University of Chicago) 

10:15 – 10:45

Pause / Break 

10:45 – 12:30

Session VI : Risk and Preferences
Président/Chair : William McCausland (Université de Montréal, CIREQ, CIRANO)

Martin Lettau (New York University, CEPR, NBER), Sydney C. Ludvigson (New York University, NBER)
Euler Equation Errors

John M. Maheu (University of Toronto), Thomas H. McCurdy (University of Toronto, CIRANO)
Accurate Volatility Forecasts Imply a Positive Relationship between Market Risk and Return

Fousseni Chabi-Yo (Bank of Canada), René Garcia (Université de Montréal, CIREQ, CIRANO), Éric Renault (University of North Carolina, CIREQ, CIRANO)
State Dependence in Fundamentals and Preferences Explains Risk Aversion Puzzle

Discussants :
Motohiro Yogo (University of Pennsylvania)
Benoit Perron (Université de Montréal, CIREQ, CIRANO)
Gurdip Bakshi (University of Maryland) 

12:30 – 13:45

Lunch 

13:45 – 14:55

Session VII : Statistical Inference
Président/Chair : Roch Roy (Université de Montréal)

Richard A. Davis, Thomas Lee, Gabriel Rodriguez-Yam (Colorado State University)
Structural Break Detection in Time Series Models

Rohit Deo, Mengchen Hsieh, Clifford M. Hurvich (New York University)
Tracing the Source of Long Memory in Volatility

Discussants :
Xiaohong Chen (New York University)
Jeffrey Russell (University of Chicago) 

14:55

Adjourn

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