June 14, 2024
Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

April 23 - 24, 2010
Workshop on Financial Econometrics

Scientific Committee:

Yacine Ait-Sahalia (Chair), Jianqing Fan, Per Mykland

Sponsored by

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  • high frequency econometric and statistical methods for jump processes, volatility measurement, market microstructure noise
  • low frequency methods to estimate and calibrate derivative pricing models, likelihood-based inference
Distinguished Lecture Series
-- Darrell Duffie
Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University
Dark Markets
April 21 --3:30 p.m.
April 22 --3:30 p.m.
April 23 --11:00 a.m.

Invited Speakers (talk title and abstracts)

Yacine Ait-Sahalia (Princeton)
Tim Bollerslev (Duke)
Marco Bonomo (Getulio Vargas Foundation)
Robert Engle (New York)
Jiangqing Fan (Princeton)
Kaddour Hadri (Queen's, Belfast Management School)
Lars Hansen (Chicago)
Stan Hurn (QUT Business)
Jean Jacod (Pierre et Marie Curie)
Robert Kimmel (Ohio State)
Suzanne Lee (Georgia Tech)
Haitao Li (Michigan)
Jia Li (Princeton)
Yingying Li (Science & Technology, HK)
Andrew W. Lo (MIT)
Gael Martin (Monash)
Vance Martin (Melbourne)
Nour Meddahi (Le Centre Interuniversitaire de Calcul de Toulouse)
Joon Park (Indiana)
Eckhart Platen (Univ. of Technology Sydney)
Eric Renault (North Carolina, Chapel Hill)
Roberto Renò (Siena)
Paul Schneider (Warwick)
Osnat Stramer (Iowa)
George Tauchen (Duke)
Allan Timmerman (UC San Diego)
Giovanni Urga (Cass Business School, London)
Rossen Valkanov (UC San Diego)
Liuren Wu (Baruch College, New York)
Dacheng Xiu (Princeton)
Nakahiro Yoshida (Tokyo)
Jialin Yu (Columbia)
Zhibiao Zhao (Penn State)


Friday April 23
9:10 - 9:20 Welcome and Introduction
9:20-9:40 Lars Hansen (Chicago)
Nonlinear Filtering and Learning Dynamics
9:40-10:00 Allan Timmerman (UC San Diego)
What is the Shape of the Risk-return Relation?
10:00-10:20 Rossen Valkanov (UC San Diego)
Robust Measure of Time-Varying Skewness at Short and Long Horizons
10:20-10:40 Jialin Yu (Columbia)
Option Value of Cash
10:40-11:00 Coffee break
11:00-12:00 Distinguished Lecture Series
Darrell Duffie lecture #3
Dark Markets
12:00-1:20 Lunch Break
1:20-1:40 Robert Engle (New York)
Long Term Skewness and Systemic Risk
1:40-2:00 Eric Renault (North Carolina, Chapel Hill)
A Structural Autoregressive Conditional Duration Model
2:00-2:20 Gael Martin (Monash)
Optimal Probabilistic Forecasts for Counts
2:20-2:40 Coffee break
2:40 - 3:00 Yacine Ait-Sahalia (Princeton)
Modeling Financial Contagion using Mutually Exciting Jump Processes
3:00-3:20 Kaddour Hadri (Queen's, Belfast Management School)
Modelling Multivariate Interest Rates using Time-varying Copulas and Reducible Non-linear Stochastic Differential Equations
3:20-3:40 Liuren Wu (Baruch College, New York)
A Multifrequency Theory of the Interest Rate Term Structure
3:40-4:00 Haitao Li (Michigan)
Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads
4:00-4:20 Coffee break
4:20-4:40 Suzanne Lee (Georgia Tech)
Jumps and Information Flow in Financial Markets
4:40-5:00 Giovanni Urga (Cass Business School, London)
Identifying Jumps in Financial Assets with a Comparison between Nonparametric Jump Tests
5:00-5:20 Yingying Li (Science & Technology, HK)
Studying the Leverage Effect Based on High-frequency Data
5:20-5:40 Roberto Reno (Siena)
Nonparametric Leverage Effects
5:40-6:30 Reception - cash bar
Fields Atrium
Saturday April 24
9:20-9:40 Eckhard Platen (Univ. of Technology Sydney)
Empirical Properties of a Well Diversified Global Stock Index
9:40-10:00 Marco Bonomo (Getulio Vargas Foundation)
Generalized Disappointment Aversion, Volatility Long-run Risk and Asset Prices
10:00-10:20 Robert Kimmel (Ohio State)
On Estimation of Risk Premia in Linear Factor Models
10:20-10:40 Coffee break
10:40-11:00 Joon Park (Indiana)
Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model
11:00-11:20 Stan Hurn (QUT Business)
Quasi-maximum Likelihood Estimation of the Parameters of Multivariate Diffusion
11:20-11:40 Osnat Stramer (Iowa)
Bayesian Inference of Discretely Sampled Markov Processes with Closed-form Likelihood Expansions
11:40-12:00 Paul Schneider (Warwick)
Transition Density Approximations for Multivariate Affine Jump Diffusion Processes
12:00-1:20 Lunch break
1:20-1:40 Andrew Lo (MIT)
WARNING: Physics Envy May Be Hazardous To Your Wealth
1:40-2:00 Jianqing Fan (Princeton)
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
2:00-2:20 Viktor Todorov
Estimation of Jump Tails
2:20-2:40 Zhibiao Zhao (Penn State)
Nonparametric Model Validations for Hidden Markov Models with Applications in Financial Econometrics
2:40-3:00: Coffee break
3:00-3:20: Jean Jacod (Pierre et Marie Curie)
Testing for Functional Relationships between Log-price and Volatility
3:20-3:40: George Tauchen (Duke)
The Realized Laplace Transform of Volatility
3:40-4:00: Jia Li (Princeton)
A Local-to-continuity Theory for the Pre-averaging Method
4:00-4:20 Coffee break
4:20-4:40 Nour Meddahi (Le Centre Interuniversitaire de Calcul de Toulouse)
The Economic Value of Realized Volatility
4:40-5:00 Dacheng Xiu (Princeton)
Quasi-maximum Likelihood Estimation of Volatility with High Frequency Data

Confirmed Participants

Full Name University/Affiliation
Aït-Sahalia, Yacine Princeton University
Alexandru-Gajura, Elena McMaster University
Badescu, Alex University of Calgary
Bae, Tae Han Algorithmics Inc.
Bollerslev, Tim Duke University
Bonomo, Marco EPGE-Fundação Getulio Vargas
Cartea, Álvaro Universidad Carlos III de Madrid
Chellathurai, Thamayanthi Canadian Imperial Bank of Commerce
DaCosta, Anthony TD Bank Financial Group
Dalakouras, Georgios Clarus Advisory
Dallaire, David Algorithmics
De Maeseneire, Jeroen Centre for Computational Mathematics in Industry and Commerce
Draviam, Thangaraj  
Duffie, Darrell Stanford University
Engle, Robert New York University
Fahim, Arash Ecole Polytechnique
Fan, Jianqing Princeton University
Fayyad, Wael McMaster University
Grasselli, Matheus McMaster University
Ha, Eugene Fields Institute
Hadri, Kaddour Queen's University Belfast Management School
Halevy, Itamar  
Hansen, Lars University of Chicago
Hurd, Tom McMaster University
Hurn, Stan QUT Business
Jacod, Jean Université Pierre et Marie Curie
Jaimungal, Sebastian University of Toronto
Jasiak, Joanna York University
Jia, Zhibo University of Western Ontario
Jin, Jenny Yue no affiliation
Jun, Doobae Sungkyunkwan University
Kapchinsky, Michael Toronto Dominion Bank
Kim, Kyoung-kuk Columbia Business School
Kimmel, Robert The Ohio State University
Korol, Dmytro University of Waterloo
Ku, Hyejin York University
Kuznetsov, Alexey York University
Lee, Suzanne Georgia Institute of Technology
Li, Haitao University of Michigan
Li, Jia Princeton University
Li, Sebastian University of Toronto
Li, Tony CPP Investment Board
Li, Yanfei University of Toronto
Li, Yingying Hong Kong University of Science and Technology
Lin, Jen-Wen TD Bank Financial Group
Lo, Andrew W. Massachusetts Institute of Technology
Maheu, John University of Toronto
Martin, Gael Monash University
Martin, Vance The University of Melbourne
McCurdy, Tom University of Toronto
Meddahi, Nour Toulouse School of Economics
Mnif, Walid University of Western Ontario
Muhina, Irina Manulife
Niu, Shilei University of Waterloo
Ntantamis, Christos Aarhus University
Park, Joon Indiana University
Peng, Xianhua Fields Institute and York University
Platen, Eckhard University of Technology Sydney
Renault, Eric University of North Carolina, Chapel Hill
Renò, Roberto University of Siena
Salisbury, Thomas York University
Schneider, Paul University of Warwick
Schulze, Klaas McMaster University
Silla, Sebastiano Polytechnic University of Marche
Song, Dong Scotia Bank
Stramer, Osnat University of Iowa
Tauchen, George Duke University
Timmerman, Allan University of California, San Diego
Todorov, Viktor Northwestern University
Tourin, Agnes Fields Institute
Touzi, Nizar Ecole Polytechnique
Tresor, Lunkeso Geba University of Kinshasa
Tretiakova, Ioulia PUR Investing Inc.
Tsui, Lung Kwan University of Pittsburgh
Urga, Giovanni Cass Business School, London
Valkanov, Rossen University of California, San Diego
Vaz, Anthony Manulife Financial
Vyushin, Dmitry Scotiabank
Wang, Yufeng University of Western Ontario
Wiese, Anke Heriot-Watt University
Wu, Liuren Baruch College, City University of New York
Xie, Dejun University of Delaware
Xing, Hao Boston University
Xiu, Dacheng Princeton University
Yi, Chuang Royal Bank of Canada
Yu, Jialin Columbia University
Zaidi, Ali-Kazim University of Toronto
Zeng, Yong University of Missouri
Zhao, Zhibiao Pennsylvania State University
Zhou, Zhuowei McMaster University
Zhu, Frances TD Bank Financial Group

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