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Vendredi
7 novembre
/ Friday, November 7
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9:00-9:05
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Mot
de bienvenue / Welcoming Address : René Garcia (Université
de Montréal, CIREQ, CIRANO)
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9:05-10:35
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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
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10:35-11:00
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Pause
café / Coffee Break
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11:00-12:30
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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?
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12:30-14:00
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Lunch
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14:00-15:30
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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?
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15:30-16:00
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Pause
café / Coffee Break
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16:00-17:30
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Poster
Session
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18:30
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Dîner
conférence / Conference Dinner
(sur invitation seulement / with invitation only)
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Samedi
8 novembre / Saturday,
November 8
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9:30-11:00
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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
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11:00-11:30
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Pause
café / Coffee Break
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11:30-13:00
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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
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13:00-14:15
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Lunch
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14:15-15:45
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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
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Poster
Session: |
| 1-
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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 |
| 2-
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Peter
Christoffersen (McGill University, CIREQ, CIRANO), Stefano
Mazzoti (McGill University)
The Informational Content of Currency Options |
| 3-
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Giuseppe
Curci (University of Pisa), Fulvio Corsi (University of Southern
Switzerland)
A Discrete Sine Transform Approach for Realized Volatility
Measurement |
| 4-
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Rohit
Deo, Clifford Hurvich, Yi Lu (New York University)
Forecasting Realized Volatility Using a Long Memory Stochastic
Volatility Model: Estimation, Prediction and Seasonal Adjustment |
| 5-
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Robert
Engle, Zheng Sun (New York University)
Forecasting Volatility Using Tick by Tick Data |
| 6-
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Peter
Reinhard Hansen (Brown University), Asger Lunde (Aarhus University)
An Optimal and Unbiased Measure of Realized Variance Based
on Intermittent High-Frequency Data |
| 7-
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George
Jiang (University of Arizona), Roel Oomen (University of Warwick)
Estimating Spot and Integrated Volatility of Jump-Diffusion
Models |
| 8-
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Martin
Martens (Erasmus University Rotterdam)
Estimating Unbiased and Precise Realized Covariances |
| 9-
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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 |
| 10-
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Roel
Oomen (University of Warwick)
Statistical Models for High Frequency Security Prices
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