Kick-off meeting of the ERCIM Working Group on "Computing & Statistics", and
International Workshop on Computational and Financial Econometrics
Department of Econometrics, University of Geneva, Switzerland, April 20-22, 2007

PARALLEL SESSIONS

Friday, 20th April 2007

    
09:30    Registration
 
11:00 - 12:30    M3250 CSDA Editorial Board Meeting
12:30 - 12:45    MR380 Opening
12:45 - 13:35    MR380 Plenary Talk (John Mulvey)
 
13:40 - 15:20    PARALLEL SESSION A
MR380    SN13: Signal extraction and filtering - 1
MR080    SN02: Model averaging, term structure and option evaluation
MR160    SN43: Issues in econometric modelling and testing
MR030    SN05: Nonlinear time series analysis & financial econometrics
MR150    SN29: Matrix computations and statistics - 1
 
15:20 - 15:50    Coffee Break
 
15:50 - 17:30    PARALLEL SESSION B
MR380    SN18: Nonlinear time series analysis
MR080    SN45: Computational intensive methods in econometrics
MR160    SN37: Bootstrap and applications
MR030    SN12: High-frequency data in finance
MR150    SN10: Robustness
 
17:40 - 18:30    MR380 Plenary Talk (Peter Rousseeuw)
 
18:35 - 19:50    PARALLEL SESSION C
MR380    SN41: Bayesian modelling
MR080    SN27: Modelling financial time series
MR160    SN30: Simulation based inference
MR030    SN22: Business cycle analysis and optimal policy
MR150    SN34: Signal extraction and filtering - 2
 
20:15    Reception
 
Saturday, 21st April 2007

08:00 - 09:40    PARALLEL SESSION D
MR380    SN03: Nonlinear financial time series modelling
MR080    SN09: Global financial markets and econometric modelling
MR160    SN01: Stochastic volatility, realized variance and covariance
MR030    SN07: Nonparametric time series
MR150    SN44: Applied economics
 
09:45 - 10:35    MR380 Plenary Talk (Demetri Bertsekas)
 
10:35 - 11:00    Coffee Break
 
11:00 - 12:40    PARALLEL SESSION E
MR380    SN21: Signal extraction and filtering - 3
MR080    SN32: VEC models and MCMC methods
MR160    SN33: Diagnostics and algorithms
MR030    SN40: Asset pricing
MR150    SN11: Computational econometrics and finance in R -1
 
12:40 - 14:15    Lunch
 
14:15 - 15:55    PARALLEL SESSION F
MR380    SN35: Matrix computations and statistics - 2
MR080    SN23: Aggregation and identification
MR160    SN31: Computational econometrics and finance in R - 2
MR030    SN17: Risk measurement and prediction
MR150    SN26: Fuzzy statistics
 
16:00 - 16:50    MR380 Plenary Talk (Claudio Albanese)
 
16:50 - 17:20    Coffee Break
 
17:20 - 19:25    PARALLEL SESSION G
MR380    SN20: Signal extraction and filtering - 4
MR080    SN28: Fat tails, VaR and portfolio choice
MR160    SN08: Modelling exchange rates and commodities
MR030    SN39: Market microstructure analysis
MR150    SN06: Financial engineering for asset management
 
20:15    Conference Dinner
 
Sunday, 22nd April 2007

08:30 - 10:10    PARALLEL SESSION H
MR380    SN25: Exact tests and goodness of fit
MR080    SN19: Market Dynamics and Credit Ratings
MR160    SN36: Hidden Markov models
MR030    SN16: Risk measurement and estimation risk
MR150    SN42: Credit risk and risk modelling
 
09:30 - 10:30    MR170 ERCIM WG Meeting
10:10 - 10:40    Coffee Break
 
10:40 - 12:20    PARALLEL SESSION I
MR380    SN38: Computational intensive methods in statistics
MR080    SN14: Time series smoothing and modelling
MR160    SN24: Estimation and validation of multivariate financial models
MR030    SN15: Modeling financial asset returns
MR150    SN04: Spatial and/or temporal modeling
 
12:30 - 13:20    MR380 Plenary Talk (James G. MacKinnon)
 
13:20 - 13:25    Closing
13:25 - 15:00    Lunch
15:00 - 17:00    COMISEF Meeting