| (preliminary)Program
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Saturday
Morning
8:00-8:30 Breakfast
8:30-10:10
RV estimation and microstructure
noise
Chair: Lars Hansen (University of Chicago)
8:30
Robert Engle*, Zheng Sun (New York University)
When is Noise Not Noise - A Microstructure Estimate of Realized Volatility
8:55
Yingying Li*, Per Mykland (University of Chicago)
Are Volatility Estimators Robust with Respect
to Modeling Assumptions?
Paper
9:20
Ole E. Barndorff-Nielsen(University of Aarhus), Peter Reinhard Hansen
(Stanford University), Asger Lunde (University of Aarhus), Neil Shephard*
(University of Oxford)
Designing realised kernels to measure
the ex-post variation of equity prices in the presence of noise
9:45
Yixiao Sun* (University of California, San Diego)
Best Quadratic Unbiased Estimators of Integrated
Variance in the Presence of Market Microstructure Noise
Paper
10:10-10:35 Break
10:35-11:50 Jump
I
Chair: Jean
Jacod (Universit¨¦ Paris VI)
10:35
Yacine Ait-Sahalia* (Princeton University), Jean Jacod (Universit¨¦
Paris VI)
Testing for jumps in a discretely
observed process
11:00
Tim Bollerslev, Tzuo Hann Law, George Tauchen* ( Duke University)
Risk, Jumps, and Diversification
Paper
Slides
11:25
Lan Zhang* (University of Illinois at Chicago)
What you don't know cannot hurt you
Saturday
Afternoon
12:00-1:00 Lunch
1:00-2:15 Volatility
asymmetry, liquidity
Chair:
Robert Engle
(New York University)
1:00
Jean-Marie Dufour, Ren¨¦ Garcia*, Abderrahim Taamoutix (Universit¨¦
de Montr¨¦al)
Measuring Causality between Volatility and
Returns with High-Frequency Data
Paper
1:25
Xilong Chen, Eric Ghysels* ( University of North Carolina
- Chapel Hill)
News - good or bad - and its impact
over multiple horizons
1:50
Yacine Ait-Sahalia (Princeton University), Jialin Yu* (Columbia
University)
High Frequency Market Microstructure
Noise Estimates and Liquidity Measures
2:15-3:30 Jump
II
Chair:
George Tauchen (Duke
University)
2:15
Yacine Ait-Sahalia (Princeton University), Jean Jacod* (Universit¨¦
Paris VI)
Estimating the degree of activity of jumps
in high frequency financial data
2:40
Suzanne Lee* (Georgia Institute of Technology)
Jumps and Information Flow in Financial
Markets
3:05
Roberto Reno* (University of Siena)
Disentangling jumps from diffusion in equity and electricity markets
Paper
3:30-3:55 Break
3:55-5:35 RV
forecasting
Chair:
Tim Bollerslev
(Duke University)
3:55
Torben Andersen* (Northwestern University), Per Frederiksen
(Nordea Bank), Arne Staal (Lehman Brothers)
The Information Content of Realized
Volatility Forecasts
4:20
Federico Bandi*, Jeff Russell, Chen Yang (University of Chicago)
Realized Volatility Forcasting in the
Presence of Time-varying Noise
4:45
Christian T. Brownlees, Giampiero M. Gallo* (Universit¨¤
di Firenze)
Comparison of Volatility Measures: a Risk Management
Perspective
5:10
Torben Andersen (Northwestern University), Tim Bollerslev (Duke
University), Nour Meddahi* (Imperial College London)
Realized
Volatility Forecasting and Market Microstructure Noise
Sunday
Morning
8:00-8:30 Breakfast
8:30-9:45 Approaches
to volatility estimation
Chair:
Torben Andersen (Northwestern
University)
8:30
Dobrislav Dobrev* (Northwestern University)
Capturing Volatility from Large Price
Moves: Generalized Range Theory and Applications
Paper
8:55
Eric Ghysels (University of North Carolina - Chapel Hill), Per
Mykland (University of Chicago), Eric Renault* (University of
North Carolina - Chapel Hill)
In-sample Asymptotics and Across-sample Efficiency Gains for Volatility
Measurement
9:20
Per Mykland* (University of Chicago), Lan Zhang (University
of Illinois at Chicago)
Partial likelihood in volatility estimation
9:45 - 10:10 Break
10:10 - 11:50
Parametric and semi-parametric inference
Chair:
Nour Meddahi (Imperial
College London)
10:10
Ying Chen*, Vladimir Spokoiny (Weierstrass Institute)
Adaptive volatility estimation with application
to risk management
10:35
Gregory Connor(University of London), Matthias Hagmann (Concordia
Advisors and the Swiss Finance Institute), Oliver Linton* (University
of London)
Efficient Semiparametric Estimation of
the Fama-French Model and Extensions
Paper
11:00
Mogens Bladt (Universidad Nacional Autonoma de Mexico), Michael
Sorensen* (University of Copenhagen)
On likelihood inference for stochastic
volatility models
11:25
Yong Zeng* (University of Missouri, Kansas City)
Statistical Analysis of the Filtering Model
for Financial Ultra-High Frequency Data
Sunday
Afternoon
12:00-1:00 Lunch
(followed
by Poster
Session1:00-2:15)
2:15-4:20 Volatility
risk, derivatives
Chair:
Stan Pliska (Unversity
of Illinois at Chicago)
2:15
Torben Andersen (Northwestern University), Luca Benzoni*
(Chicago FED and University of Minnesota)
Do Bonds Span Volatility Risk in the
U.S. Treasury Market? A Specification Test for Affine Term Structure
Models
Paper
2:40
Henri Berestycki* (Ecole des Hautes Etudes en Sciences
Sociales)
Computing the implied volatility
in local and stochastic volatility models
3:05
Oleg Bondarenko* (University of Illinois at Chicago)
Nonparametric Test of Affine Option
Models
3:30
Peter Carr* (New York University)
Recent Developments in Volatility Contracting
Slides
3:55
Peter Carr (New York University), Roger Lee* (University
of Chicago)
Hedging Variance Options on Continuous
Semimartingales
Posters
(Sunday
Afternoon 1:00-2:15)
Simone Bianco* and Roberto Reno (University of Siena)
Unexpected Volatility and Intraday Serial
Correlation
Bruno Feunou* (Universit¨¦ de Montr¨¦al, CREST), Nour Meddahi
(Imperial College London)
Realized term structure of risk
Anisha Ghosh* (University of London)
Realized Beta and the Conditional CAPM:
A Time-Series Test When Risk Premia Are Time-Varying
Xin Huang* ( Duke University)
Macroeconomic News Announcements, Financial
Market Volatility and Jumps
Ilze Kalnina*, Oliver Linton (University of London)
Conducting Inference for Realised
Variance using Infill Subsampling
Paper
Federico M. Bandi, Lei Lian*, Jeffrey R. Russell (University
of Chicago)
How Effective are Realized Effective Spreads?
Federico M. Bandi, Jeffrey R. Russell, Omid Sabbaghi* (University
of Chicago)
Liquidity, Asymmetric Information,
and Asset Pricing
Abderrahim Taamouti* (Universit¨¦ de Montr¨¦al)
Risk Measures and Portfolio Optimization
Under Regime Switching Models
The remaining titles will be published as soon as we have them.
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