|
|
Conférence
en économétrie de la finance / Financial Econometrics
Conference
7-8
mai/May 2004
Programme
/ Program
|
Vendredi
7 mai ..............................................................................................
Friday, May 7
|
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| 8:30-8:40 |
Mot
de bienvenue / Welcoming Remarks
Benoit Perron (Université de Montréal, CIREQ,
CIRANO) |
| |
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| 8:40-10:00 |
Session
I: Statistical Inference of Continuous Time Processes
Président/Chair:
Marcel Rindisbacher (University of Toronto, CIRANO)
Peter
Brockwell (Colorado State University), Tina Marquardt (Zentrum
Mathematik Technische Universität München)
Lévy-Driven and Fractionally
Integrated Arma Processes with Continuous Time Parameter
Jianqing
Fan, Chunming Zhang (Princeton University)
Higher-Order Difference and GLR
Tests for Diffusion Models
Commentateurs
/ Discussants:
Clifford Hurvich (New York University)
Éric Renault (Université de Montréal, CIREQ,
CIRANO)
|
| |
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| 10:00-10:30 |
Pause
/ Break |
| |
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| 10:30-12:30 |
Session
II: Asset Pricing
Président/Chair:
Bryan Campbell (Concordia University,
CIREQ, CIRANO)
Lars Peter
Hansen, John Heaton, Nan li (University of Chicago, NBER)
Consumption Strikes Back?
Xiaohong
Chen (New York University), Sydney Ludvigson (New York
University, NBER)
Land of Addicts? An Empirical Investigation
of Habit-Based Asset Pricing Models
Marie-Claude
Beaulieu (Université Laval), Jean-Marie Dufour (Université
de Montréal, CIREQ, CIRANO), Lynda Khalaf (Université
Laval, CIREQ)
Testing Black’s CAPM with Possibly Non-Gaussian
Errors: An Exact Identification-Robust Simulation-Based Approach
Commentateurs
/ Discussants:
Ravi Bansal (Duke University)
George Tauchen (Duke University)
Raymond Kan (University of Toronto)
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| |
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| 12:30-13:45 |
Lunch |
| |
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| 13:45-15:45 |
Session
III: Forecasting and Predictability of Asset Returns
Président/Chair:
Eric Ghysels (University of North Carolina, CIRANO)
Willa Chen
(Texas A&M University), Rohit Deo (New York University)
The Variance Ratio Statistic at
Large Horizons
Christopher
Polk (Northwestern University), Samuel Thompson, Tuomo
Vuolteenaho (Harvard University)
Cross-Sectional Forecasts of the
Equity Premium
John Campbell
(Harvard University, NBER), Motohiro Yogo (Harvard University)
Efficient Tests of Stock Return
Predictability
Commentateurs
/ Discussants:
Raffaella Giacomini (Boston College)
Barbara Rossi (Duke University)
Jean-Marie Dufour (Université de Montréal, CIREQ,
CIRANO)
|
| |
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| 15:45-16:00 |
Pause
/ Break |
| |
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| 16:00-17:30 |
Poster
Session |
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Samedi
8 mai ...........................................................................................
Saturday,
May 8
|
|
| 8:45-10:05 |
Session
IV: Distributions Analysis for Risk Management
Président/Chair:
Alex Maynard (University of Toronto)
Ivana
Komunjer (California Institute of Technology)
Asymmetric Power Distribution:
Theory and Applications to Risk Measurement
René
Garcia, Éric Renault (Université de Montréal,
CIREQ, CIRANO), David Veredas (Tilburg University)
Estimation of Stable Distributions
by Indirect Inference
Commentateurs
/ Discussants:
Christian Bontemps (LEEA-CENA, Toulouse)
Marine Carrasco (University of Rochester)
|
| |
|
| 10:05-10:30 |
Pause
/ Break |
| |
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| 10:30-11:50 |
Session
V: Specification Tests
Président/Chair:
Victoria Zinde-Walsh (McGill University, CIREQ)
Marine Carrasco,
Liang Hu, Werner Ploberger (University of Rochester)
Optimal Test for Markov Switching
Christian
Francq (Université Lille III), Roch Roy (Université
de Montréal), Jean-Michel Zakoïan (Université
Lille III, CREST)
Goodness-of-Fit Tests for ARMA
Models with Uncorrelated Errors
Commentateurs
/ Discussants:
Russell Davidson (McGill University, CIREQ)
Denis Pelletier (North Carolina State University)
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| |
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| 11:50-13:00 |
Lunch |
| |
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| 13:00-15:00 |
Session
VI: MCMC Methods: Theory and Applications
Président/Chair:
William McCausland (Université de Montréal,
CIREQ, CIRANO)
Ronald Gallant
(Duke University), Robert McCulloch (University of Chicago)
On the Determination of General
Scientific Models
Haitao
Li, Martin Wells, Long-Xi Yu (Cornell University)
A MCMC Analysis of Time-Changed
Levy Processes of Stock Return Dynamics
Bjørn
Eraker (Duke University)
The Performance of Model Based
Option Trading Strategies
Commentateurs
/ Discussants:
Tony Smith (Yale University)
Ernst Schaumburg (Northwestern University)
Kris Jacobs
(McGill University, CIREQ, CIRANO)
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Poster
Session:
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| 1-
|
Alan
Bester (Duke University)
Random Field and Affine Models for Interest Rates: An
Empirical Comparison
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| 2-
|
Jean-Marie
Dufour (Université de Montréal, CIREQ, CIRANO),
Pascale Valéry (HEC-Montréal)
Finite and Large Sample Inference for a Stochastic Volatility
Model
|
| 3-
|
Sílvia
Gonçalves, Nour Meddahi (Université de
Montréal, CIREQ, CIRANO)
Bootstrapping Realized Volatility
|
| 4-
|
Nikolay
Gospodinov (Concordia University, CIREQ)
A TAR-GARCH Approach to Testing and Modeling Nonlinearities
in Short-Term Interest Rates (2e papier / 2nd paper)
|
| 5-
|
Christian
Gouriéroux (CREST, University of Toronto, CIREQ, CIRANO),
Joann Jasiak (York University, CIREQ), Razvan Sufana (University
of Toronto)
The Wishart Autoregressive Process of Multivariate Stochastic
Volatility
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| 6-
|
Emma
Iglesias (University of Alicante), Garry Phillips (Cardiff
University)
Multivariate ARCH Models: Finite Sample Properties of
QML Estimators and an Application to an LM-Type Test
|
| 7-
|
Alex
Maynard (University of Toronto), Katsumi Shimotsu (Queen's
University)
Covariance-Based Orthogonality Tests for Regressors with
Unknown Persistence
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| 8-
|
Francisco
Javier Mencía, Enrique Sentana (CEMFI)
Estimation and Testing of Dynamic Models with Generalised
Hyperbolic Innovations
|
| 9-
|
Andrei
Semenov (York University)
High-Order Consumption Moments and Asset Pricing |
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