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Centre interuniversitaire de recherche
en économie quantitative
Septième colloque CIREQ-CIRANO
Économétrie de la finance / Financial Econometrics Conference
Hôtel de l'Institut, Montréal
24-25 avril / April 2009
PROGRAMME PRÉLIMINAIRE / PRELIMINARY PROGRAM
Vendredi 24 avril 2009 / Friday, April 24, 2009
8:40
Mot de bienvenue / Welcome address :
Eric Jacquier
(HEC Montréal,
CIREQ, CIRANO)
8:45 -
10:30
SESSION I
Président / Chair :
Eric Jacquier
(HEC Montréal, CIREQ, CIRANO)
Guofu ZHOU
(Washington University), Aiguo Kong (Fudan University), David
Rapach, Jack Strauss (St. Louis University), Jun Tu (Singapore Management
University)
How Predictable Are Components of the Aggregate Market Portfolio?
Commentateur / Discussant :
Rossen Valkanov
(University of California at
San Diego)
Nicholas POLSON
(The University of Chicago Booth School of Business),
Michael Johannes (Columbia University), Arthur Korteweg (Stanford
University)
Sequentia
l Learning, Predictive Regressions, and Optimal Portfolio
Returns
Commentateur / Discussant :
Michael Halling
(University of Utah)
Xiaoyan ZHANG
(Cornell University), Geert Bekaert, Robert Hodrick
(Columbia University)
Is There a Trend in Idiosyncratic Volatility?
Commentateur / Discussant :
Timothy T. Simin
(Penn State University)
10:30 -
10:50
Pause / Break
10:50 -
12:00
SESSION II
Président / Chair :
Rossen Valkanov
(University of California at San Diego)
Eric GHYSELS
(University of North Carolina, CIRANO), Elena Andreou,
Andros Lourtellos (Cyprus University)
Should Macroeconomic Forecasters Look at Daily Financial Data?
Commentateur / Discussant :
Ana Beatriz Galvão
(Queen Mary, University of
London)
Mikhail CHERNOV
(London Business School), Ruslan Bibkov (Barclays
Capital)
Monetary Policy Regimes and the Term Structure of Interest Rates
Commentateur / Discussant :
Wei Yang
(University of Rochester)
12:00 -
13:30
Lunch
13:30 -
15:15
SESSION III
Président / Chair :
Eric Ghysels
(University of North Carolina, CIRANO)
Raymond KAN
(Rotman School of Management), Cesare Robotti (Federal
Reserve Bank of Atlanta), Jay Shanken (Emory University)
Two-Pass Cross-Sectional Regressions under Potentially Misspecified
Models
Commentateur / Discussant :
Tarun Chordia
(Emory University)
Robert KORAJCZYK
(Kellogg School of Management), Gregory Connor
(London School of Economics), Robert Uhlaner (Microsoft)
Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and
Asymptotic Principal Components
Commentateur / Discussant :
Cesare Robotti
(Federal Reserve Bank of
Atlanta)
Robert ENGLE
, Abishek Mistry (New York University)
Priced Risk and Asymmetric Volatility in the Cross-section of Skewness
Commentateur / Discussant :
Éric Renault
(University of North Carolina at
Chapel Hill, CIREQ, CIRANO)
15:15 -
15:45
Pause / Break
15:45 -
17:15
SESSION IV
Président / Chair :
Raymond Kan
(Rotman School of Management)
Jeroen ROMBOUTS
, Lars Stentoft (HÉC Montréal)
Bayesian Option Pricing with Mixed Normal Heteroskedasticity Models
Commentateur / Discussant :
Michael Johannes
(Columbia University)
Romeo TEDONGAP
(Stockholm School of Economics), Bruno Feunou
Kamkui (Duke University), Jean-Sebastien Fontaine (Banque du Canada)
Implied Volatility and Skewness Surface
Commentateur / Discussant :
Stephen Heston
(University of Maryland)
Christopher JONES
, Joshua Shemesh (University of Southern California)
The Week-end Effect in Equity Option Returns
Commentateur / Discussant :
Nikunj Kapadia
(University of Massachusetts
Amherst)
Samedi 25 avril 2009 / Saturday, April 25, 2009
8:30 -
10:15
SESSION V
Président / Chair :
Mikhail Chernov
(London Business School)
Anders TROLLE
(Copenhagen Business School)
Price of Interest Rate Variance Risk and Optimal Investments in Interest
Rate Derivatives
Commentateur / Discussant :
Kris Jacobs
(McGill University, CIREQ,
CIRANO)
Dante AMENGUAL
(Princeton University)
The Term Structure of Variance Risk Premia
Commentateur / Discussant :
Viktor Todorov
(Kellogg School of
Management)
Francis X. DIEBOLD
(University of Pennsylvania), Jens Christensen, Glenn
Rudebusch (The Federal Reserve Bank of San Francisco)
Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Commentateur / Discussant :
Bruno Feunou Kamkui
(Duke University)
10:15 -
10:45
Pause / Break
10:45 -
12:30
SESSION VI
Président / Chair :
Bryan Campbell
(Concordia University, CIREQ, CIRANO)
Jeffrey RUSSELL
(University of Chicago Graduate School of Business)
Forecasting Realized Variance in the Presence of Time-Varying Noise
Commentateur / Discussant : Rachidi Kotchoni (Université de Montréal,
CIREQ)
George TAUCHEN
(Duke University), Viktor Todorov (Kellogg School of
Management)
Volatility Jumps
Commentateur / Discussant :
Rama Cont
(Columbia University)
Éric RENAULT
(University of North Carolina at Chapel Hill, CIREQ,
CIRANO), Prosper Dovonon (Université de Montréal, CIREQ)
GMM Overidentification Test with First Order Underidentification
Commentateur / Discussant :
Valentina
Corradi
(University of Warwick)
12:30 -
14:00
Lunch
Adjourn