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Program: Financial Econometrics

Économétrie de la finance / Financial Econometrics

Montréal, 5-6 mai/May 2006

Program / Programme

Vendredi 5 mai

Friday, May 5

8:25 – 8:30

Mot de bienvenue / Welcoming Address
Bryan Campbell (Concordia University, CIREQ, CIRANO)

8:30 – 10:10

Session I
Président / Chair : René Garcia (Université de Montréal, CIREQ, CIRANO)

Samuel Hanson (Harvard University), Hashem Pesaran (University of Cambridge, University of Southern California), Til Schuermann (Federal Reserve Bank of New York)
Firm Heterogeneity and Credit Risk Diversification

Per Mykland
(University of Chicago)
Combining Statistical Intervals and Market Prices: The Worst Case State Price Distribution

Andrew Patton (London School of Economics)
Volatility Forecast Comparison Using Imperfect Volatility Proxies

Alan White (University of Toronto)
Éric Renault (University of North Carolina, CIREQ, CIRANO)
Peter Christoffersen (McGill University, CIREQ, CIRANO)

10:10 – 10:40

Pause / Break

10:40 – 12:20

Session II
Président / Chair : Peter Christoffersen (McGill University, CIREQ, CIRANO)

Qiang Dai (University of North Carolina), Anh Le (New York University), Kenneth J. Singleton (Stanford University, NBER)
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

Torben Andersen (Northwestern University, NBER), Luca Benzoni (University of Minnesota)
Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Alain Monfort (CREST, CNAM), Fulvio Pegoraro (Université Paris-Dauphine, CREST)
Switching VARMA Term Structure Models

Torben Andersen (Northwestern University, NBER)
Christopher Jones (University of Southern California)
Richard Luger (Emory University)

12:20 – 13:45


13:45 – 15:25

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

Tae-Hwan Kim (University of Nottingham), Halbert White (University of California, San Diego)
On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index

Ángel León (Universidad de Alicante), Javier Mencía (CEMFI, UPNA), Enrique Sentana (CEMFI)
Parametric Properties of Seminonparametric Distributions, with Applications to Option Valuation

Eric Jondeau, Michael Rockinger (HEC Lausanne)
Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?

Mark Salmon (University of Warwick)
Michael Rockinger (HEC Lausanne)
Eric Jacquier (HEC Montréal, CIREQ, CIRANO)

15:25 – 15:50

Pause / Break

15:50 – 17:30

Session IV
Président / Chair : Kris Jacobs (McGill University, CIREQ, CIRANO)

Ivan Shaliastovich, George Tauchen (Duke University)
Pricing Implications of Stochastic Volatility, Business Cycle Time Change, and Non-Gaussianity

Christopher Malloy (London Business School), Tobias Moskowitz (University of Chicago, NBER), Annette Vissing-Jørgensen (Northwestern University, NBER)
Long-Run Stockholder Consumption Risk and Asset Returns

René Garcia, Nour Meddahi (Université de Montréal, CIREQ, CIRANO), Roméo Tedongap-Nguefack (Université de Montréal, CIREQ)
An Analytical Framework for Assessing Asset Pricing Models and Predictability

Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Ravi Bansal (Duke University)
Motohiro Yogo (University of Pennsylvania)

Samedi 6 mai

Saturday, May 6

8:30 – 10:10

Session V
Président / Chair : Lynda Khalaf (Université Laval, CIREQ)

Bertille Antoine (Université de Montréal), Éric Renault (University of North Carolina at Chapel Hill, CIREQ, CIRANO)
Efficient GMM with Semi-Weak Identification

Luc Bauwens, Christian Hafner (Université Catholique de Louvain, CORE), Jeroen Rombouts (HEC Montréal, CIRANO)
Multivariate Mixed Normal Conditional Heteroskedasticity

Peter Christoffersen, Kris Jacobs (McGill University, CIREQ, CIRANO), Karim Mimouni (McGill University)
An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options

Marine Carrasco (Université de Montréal, CIREQ)
Razvan Sufana (University of Toronto)
Mikhail Chernov (New York University)

10:10 – 10:30

Pause / Break

10:30 – 12:10

Session VI
Président / Chair : Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

Yacine Aït-Sahalia (Princeton University, NBER), Jean Jacod (Université Pierre et Marie Currie)
Toward Deciding Whether a Discretely Observed Process Has Jumps

Yanqin Fan (Vanderbilt University), Ramazan Gençay (Simon Fraser University)
Unit Root and Cointegration Tests with Wavelets

Jean-Marie-Dufour (Université de Montréal, CIREQ, CIRANO), Emma Iglesias (Michigan State University)
Finite-Sample and Optimal Adaptive Inference in Possibly Nonstationary General Volatility Models with Gaussian or Heavy-Tailed Errors

Per Mykland (University of Chicago)
Benoit Perron (Université de Montréal, CIREQ, CIRANO)
Dennis Kristensen (University of Wisconsin)

12:10 – 13:20


13:20 – 15:00

Session VII
Président / Chair : Éric Renault (University of North Carolina, CIREQ, CIRANO)

Manabu Asai (Soka University), Michael McAleer(University of Western Australia)
The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models

Eric Jacquier (HEC Montréal, CIREQ, CIRANO), Michael Johannes (Columbia University), Nicholas Polson (University of Chicago)
Maximum Expected Utility via MCMC

William McCausland (Université de Montréal, CIREQ, CIRANO), Denis Pelletier (North Carolina State
Drawing Stochastic Volatility

Kevin Sheppard (Oxford University)
Gregory Bauer (Banque du Canada)
Michael Johannes (Columbia University)



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