Invited Session A

Chair: Yongmiao Hong, Cornell Univ.
Speaker: Andrew W. Lo, Massachusetts Institute of Technology
Paper: Temporal Averaging and Nonstationarities in Financial Markets

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.

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

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

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.

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

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

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

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

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.

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

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

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.