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The First Symposium on Econometric Theory and Application(SETA) |
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會議地點:本院經濟研究所
主辦單位:本院經濟研究所、行政院國家科學委員會、臺灣證券交易所、中華民國證券商業同業公會
May 18~20
Wednesday, May 18
8:00 |
Registration |
9:00 |
Opening: Chung-Ming Kuan |
9:00 ~ 9:45 |
Invited Session A
Chair: Yongmiao Hong, Cornell Univ. Speaker: Andrew W. Lo, Massachusetts Institute of Technology Paper: Temporal Averaging and Nonstationarities in Financial Markets |
10:00 ~ 12:00 |
Regular Session I
Chair: Ching-Fan Chung, Institute of Economics, Academia Sinica
[1] Predicting Volatility Conditional Confidence Intervals via Realized Measures Valentina Corradi, Univ. of London, Walter Distaso, Univ. of Exeter, and Norman R. Swanson, Rutgers Univ.
[2] A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations Peter Phillips, Yale Univ., and Jun Yu, Singapore Management Univ.
[3] Bootstrapping Realized Volatility Silvia Goncalves and Nour Meddahi, Univ. of Montreal
[4] Option Valuation with Long-run and Short-run Volatility Components Peter Christoffersen, Kris Jacobs, and Yintian Wang, McGill Univ. |
1:30 ~ 2:15 |
Invited Session B
Chair: Cheng Hsiao, Univ. of Southern California Speaker: Bruce N. Lehmann, Univ. of California, San Diego Paper: The Role of Beliefs in Inference for Rational Expectations Models |
2:15 ~ 3:45 |
Regular Session II
Chair: W. K. Li, Univ. of Hong Kong
[1] Asymmetric Multivariate Stochastic Volatility M. Asai, Tokyo Metropolitan Univ., and M. McAleer, Univ. of Western Australia
[2] Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations Annastiina Silvennoinen and Timo Terasvirta, Stockholm School of Economics
[3] Copula-based Multivariate GARCH Models with Uncorrelated Dependent Errors Tae-Hwy Lee and Xiangdong Long, Univ. of California, Riverside |
4:00 ~ 6:00 |
Regular Session III
Chair: Zhijie Xiao, Boston College
[1] Optimal Forecast Combination Weights under Regime Shifts: An Application to US Interest Rates Massimo Guidolin, Federal Reserve Bank of St. Louis, and Allan Timmermann, Univ. of California, San Diego
[2] A New Regime Switching Model and Its Applications to Strategic Asset Allocation Ching-Fan Chung, Institute of Economics, Academia Sinica, Kuang-Liang Chang, National Taiwan Univ., and Chun-Khui Hsieh, National Taiwan Univ.
[3] Discrete Choice Modeling with Nonstationary Panels Applied to Exchange Rate Regime Choice Sainan Jin, Peking Univ.
[4] Exchange Rates and Markov Switching Dynamics Yin-Wong Cheung, Univ. of California Santa Cruz, and Ulf G. Erlandsson, Lund Univ. | Thursday, May 19
9:00 ~ 9:45 |
Invited Session C
Chair: Jin-Chuan Duan, Univ. of Toronto Speaker: George Tauchen, Duke Univ. Paper: Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models |
10:00 ~ 12:00 |
Regular Session IV
Chair: Allan Timmermann, Univ. of California, San Diego
[1] An Autoregressive Conditional Marked Duration Model for Transaction Data Anthony Tay, Christopher Ting, Yiu Kuen Tse, and Mitch Warachka, Singapore Management Univ.
[2] Maximum Entropy Autoregressive Conditional Heteroskedasticity Model Anil K. Bera and Sung Yong Park, Univ. of Illinois, Urbana - Champaign
[3] Assessing Value at Risk with CARE, A Conditional AutoRegressive Expectile Model Chung-Ming Kuan, Institute of Economics, Academia Sinica, and Jin-Huei Yeh, National Taiwan Univ.
[4] Multifactor Volatility Models: Evidence from Stock and Option Markets Antoine P.C. van der Ploeg, Univ. of Amsterdam |
1:30 ~ 2:15 |
Invited Session D
Chair: Michael McAleer, Univ. of Western Australia Speaker: Christian Gourieroux, Univ. of Toronto and Universite PARIS IX et ENSAE Paper: The Wishart Autoregressive Process of Multivariate Stochastic Volatility |
2:15 ~ 3:45 |
Regular Session V
Chair: Yiu-Kuen Tse, Singapore Management Univ.
[1] Finite and Large Sample Inference for a Stochastic Volatility Model Jean-Marie Dufour, Univ. of Montreal, and Pascale Valery, HEC-Montreal, IFM
[2] Resurrecting the Expectation Hypothesis: How to Extract Additional Information from the Term Structure of Interest Rates Andrea Carriero, Univ. of Bocconi
[3] A New Test of the Affine Class of Term Structure Models: Simulation and Empirical Evidence Pierluigi Balduzzi and I-Hsuan Ethan Chiang, Boston College |
4:00 ~ 6:00 |
Regular Session VI
Chair: Jean-Marie Dufour, Univ. of Montreal
[1] On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models Jin-Chuan Duan, Univ. of Toronto, Genevieve Gauthier, Carleton Univ., and Jean-Guy Simonato, HEC-Montreal
[2] Testing for Stochastic Dominance Efficiency Oliver Linton, London School of Economics, and Yoon-Jae Whang, Korea Univ.
[3] Nonparametric Kernel Estimation and Testing in Continuous-Time Financial Econometrics Manuel Arapis and Jiti Gao, Univ. of Western Australia
[4] Nonparametric Estimation of Volatility Models with Serially Dependent Innovations Christian M. Dahl and Michael Levine, Purdue Univ. |
Friday, May 20
9:00 ~9:45 |
Invited Session E
Chair: Joon Y. Park, Rice Univ. Speaker: Yacine Ait-Sahalia, Princeton Univ. Paper: Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
10:00 ~ 12:00 |
Regular Session VII
Chair: Timo Terasvirta, Stockholm School of Economics
[1] Testing for Martingales in Continuous Time Joon Y. Park, Rice Univ.
[2] Checking Nonlinearity in Dynamic Volatility Modeling Yongmiao Hong, Cornell Univ., and Yoon-Jin Lee, Cornell Univ.
[3] A New Test of Stock Return Predictability Jinho Bae, Yeungnam Univ., and Chang-Jin Kim, Korea Univ. and Univ. of Washington
[4] Quality Control for Financial Risk Management Elena Andreou, Univ. of Cyprus, and Eric Ghysels, Univ. of North Carolina and CIRANO |
1:30 ~ 3:30 |
Regular Session VIII
Chair: Anil K. Bera, Univ. of Illinois, Urbana-Champaign
[1] Quantile Cointegrating Regression: Estimation, Inference and Financial Applications Zhijie Xiao, Boston College
[2] Extracting Common Stochastic Trend: Theories with Some Applications Yoosoon Chang, Rice Univ.
[3] Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? Heather Anderson and Farshid Vahid, Australian National Univ.
[4] High-Order Consumption Moments and Asset Pricing Andrei Semenov, York Univ. |
Notes: Invited Session: presentation 36 min; floor discussion 9 min. Regular Session: presentation 25 min; floor discussion 5 min.
Poster Session
[1] |
Nonparametric Models for Time-Vaying Betas Zongwu Cai, University of North Carolina at Charlotte |
[2] |
Forecasting Correlation and Covariance with a Range-Based Dynamic Conditional Correlation Model Ray Y Chou, Institute of Economics, Academia Sinica, Nathan Liu, National Chiao-Tung University, and Chun-Chou Wu, Chung Yuan Christian University |
[3] |
Pricing Currency Options Under Stochastic Volatility Ming-Hsien Chen, National Cheng Chi University, and Yin-Feng Gau, National Chi Nan University |
[4] |
Trading activity and liquidity supply in a pure limit order book market - An empirical analysis using a multivariate count data model Joachim Grammig, University of T?ubingen, Andreas Heinen and Erick Rengifo, Catholic University of Louvain |
[5] |
Nonlinear Price Adjustment and Transactions Costs between Global Stock Market Jae-Young Kim, Seoul National University |
[6] |
Venture Capital Exists in China Ping Qian, Accounting Research Institute of Tsinghua University, Beijing |
[7] |
Impulse Response and Variance Decomposition in the Presence of Time-Varying Volatility: with Applications to Price Discovery Chor-yiu SIN, Hong Kong Baptist University |
[8] |
Nonparametric Prewhittening Estimators for Conditional Quantiles Liangjun Su, Peking University, and Aman Ullah, UCR, Riverside |
[9] |
The Volatility Structure Of The Fixed Income Market Under The HJM Framework: A Nonlinear Filtering Approach Carl Chiarella, Hing Hung, and Thuy-Duong T ˆ o, University of Technology, Sydney |
[10] |
Information Contents of Spot and Futures Prices and the Digressive Convergence to Price Equilibrium in Taiwan Stocks Keshin Tswei, National Chung Cheng University |
[11] |
Modeling Credit Spread: A Fractional Integration Approach Lucio Della Ratta, Cass Business School, London |
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