CALL FOR PAPERS

for the International Workshop on

"COMPUTATIONAL AND FINANCIAL ECONOMETRICS"

Department of Econometrics, University of Geneva, Switzerland, April 20-22, 2007

Computational and financial econometrics have been of interest for a wide variety of researchers in economics, finance, statistics, mathematics and computing. Financial time series analyses focus on asset valuations over time with emphases on option pricing, volatility measurement, and modelling market microstructure effects. Apart from theoretical developments, financial time series analyses also have a high empirical content. The computational aspects of such analyses are of crucial importance since one typically deals with high-dimensional problems and large numbers of observations. Existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. Furthermore, environments for conducting econometrics are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development.

The CSDA has published several special issues on Computational and Financial Econometrics that have addressed computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, specific applications involving computing and econometrics, and data analytic methods in finance. These special issues indicate the importance of computing in econometrics and highlight research opportunities that exist in this discipline.

This workshop invites presentations that contain computational or financial econometric components. The organization of sessions and minisymposia are encouraged.

Publication:

Papers containing strong computational statistical or econometric components or substantive data-analytic elements will be considered for publication in a special peer-reviewed, or regular, issue of the journal Computational Statistics & Data Analysis.

Co-Chairs: A. Amendola, D. Belsley, E.J. Kontoghiorghes and P. Winker

Scientific Programme Committee Members:

J. Coakley (UK), C. Croux (BE), C. Deissenberg (FR), R. Davidson (US), I. Demetriou (GR), E. Ronchetti (CH), K. Fokianos (CY), P. Foschi (IT), C. Francq (FR), A.-M. Fuertes (UK), M. Gilli (CH), L. Godfrey (UK), N. Hautsch (DM), S. Holly (UK), M. Juillard (FR), J. Krishnakumar (CH), J.H. Kim (AU), L. Khalaf (CA), S.J. Koopman (NL), J.F. Kiviet (NL), H. Lütkepohl (GE), J.G. MacKinnon (CA), D. Maringer (UK), I. Moustaki (GR), Y. Omori (JP), M. Paolella (CH), A. Luati (IT), M.H. Pesaran (UK), T. Proietti (IT), D.S.G. Pollock (UK), M. Riani (IT), J. Rust (US), M. Schroeder (DE), S. Siokos (UK), G. Storti (IT), H.K. Van Dijk (NL), J. Walde (AU), A. Zeileis (AS), E. Zivot (US).

Important dates:

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Submission of 1-page abstracts:

extended to March 16, 2007

Notification of decision:

20 March 2006

Workshop:

20-22 April 2007

Submission of full papers:

7 September 2007

Notification of decision:

20 December 2007

Single page plain text abstracts should be submitted electronically before the deadline.

The workshop will take place jointly at the same venue as the 4th International Conference on Computational Management Science, (http://www.cms2007.unige.ch/). The local organization will be handled by the CMS conference.

For further information please contact: Peter Winker