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Programme: Colloque: Volatilité réalisée

7-8 novembre / November 2003


Vendredi 7 novembre / Friday, November 7


9:00-9:05

Mot de bienvenue / Welcoming Address : René Garcia (Université de Montréal, CIREQ, CIRANO)

9:05-10:35

Session I: Jumps and Realized Variation
Président/Chair: Torben Andersen (Northwestern University, NBER)

Ole Barndorff-Nielsen (Aarhus University), Neil Shephard (Oxford University)
Power and Bipower Variation with Stochastic Volatility and Jumps
2e papier / 2nd paper

Xin Huang, George Tauchen (Duke University)
The Relative Contribution of Jumps to Total Price Variance

10:35-11:00

Pause café / Coffee Break

11:00-12:30

Session II: Option Pricing, Long Memory and Realized Volatility
Président/Chair: Éric Jacquier (HEC Montréal, CIREQ, CIRANO)

Fabienne Comte (Université René Descartes-Paris V), Laure Coutin (Université Paul Sabatier, Toulouse), Éric Renault (Université de Montréal, CIREQ, CIRANO)
Affine Fractional Stochastic Volatility Models with Application to Option Pricing

Arek Ohanissian, Jeffrey Russell, Ruey S. Tsay (Graduate School of Business, University of Chicago)
True or Spurious Long Memory in Volatility: Does It Matter for Pricing Options?

12:30-14:00

Lunch

14:00-15:30

Session III: Jumps and Realized Volatility
Président/Chair: John Galbraith (McGill University, CIREQ, CIRANO)

Torben Andersen (Northwestern University, NBER), Tim Bollerslev (Duke University, NBER), Francis Diebold (University of Pennsylvania, NBER)
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

John Maheu (University of Toronto), Thomas McCurdy (University of Toronto, CIRANO)
Modeling Foreign Exchange Rates with Jumps?

15:30-16:00

Pause café / Coffee Break

16:00-17:30

Poster Session

18:30

Dîner conférence / Conference Dinner
(sur invitation seulement / with invitation only)


Samedi 8 novembre / Saturday, November 8


9:30-11:00

Session IV: Forecasting Volatility II
Président/Chair: Francis Diebold (University of Pennsylvania, NBER)

Eric Ghysels (University of North Carolina at Chapel Hill, CIRANO), Pedro Santa-Clara, Rossen Valkanov (University of California at Los Angeles)
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

Martin Martens, Dick van Djik, Michiel de Pooter (Erasmus University Rotterdam)
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

11:00-11:30

Pause café / Coffee Break

11:30-13:00

Session V: Market Microstructure and Realized Volatility
Président/Chair: Benoit Perron (Université de Montréal, CIREQ, CIRANO)

Yacine Ait-Sahalia (Princeton University, NBER), Per Mykland (University of Chicago), Lan Zhang (Carnegie Mellon University)
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
2e papier / 2nd paper

Federico Bandi, Jeffrey Russell (University of Chicago)
Microstructure Noise, Realized Volatility, and Optimal Sampling
2e papier / 2nd paper

13:00-14:15

Lunch

14:15-15:45

Session VI: Realized Volatility Based Statistical Inference
Président/Chair: Bryan Campbell (Concordia University, CIREQ, CIRANO)

Valentina Corradi (Queen Mary, University of London), Walter Distaso (University of Exeter)
Testing for the Correct Specification of Integrated Volatility

Tim Bollerslev (Duke University, NBER), Hao Zhou (Federal Reserve Board, Washington D.C.)
Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions

 

 

Poster Session:

 

Michel Beine (Université de Lille 2, Université Libre de Bruxelles), Sébastien Laurent (CREST, CORE), Franz Palm (Maastricht University)
Central Bank Forex Interventions Assessed Using Realized Moments

Peter Christoffersen (McGill University, CIREQ, CIRANO), Stefano Mazzoti (McGill University)
The Informational Content of Currency Options

Giuseppe Curci (University of Pisa), Fulvio Corsi (University of Southern Switzerland)
A Discrete Sine Transform Approach for Realized Volatility Measurement

Rohit Deo, Clifford Hurvich, Yi Lu (New York University)
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment

Robert Engle, Zheng Sun (New York University)
Forecasting Volatility Using Tick by Tick Data

Peter Reinhard Hansen (Brown University), Asger Lunde (Aarhus University)
An Optimal and Unbiased Measure of Realized Variance Based on Intermittent High-Frequency Data

George Jiang (University of Arizona), Roel Oomen (University of Warwick)
Estimating Spot and Integrated Volatility of Jump-Diffusion Models

Martin Martens (Erasmus University Rotterdam)
Estimating Unbiased and Precise Realized Covariances

Christopher Neely (Federal Reserve Bank of St. Louis)
Implied Volatility from Options on Gold Futures: Do Statistical Forecasts Add Value or Simply Paint the Lilly?
2e papier / 2nd paper

Christopher Neely (Federal Reserve Bank of St. Louis)
Implied Volatility from Options on Gold Futures: Do Statistical Forecasts Add Value or Simply Paint the Lilly?
2e papier / 2nd paper

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