2nd International Workshop on

Computational and Financial Econometrics (CFE'08)

19-21 June 2008, Neuchâtel, Switzerland


Wednesday 18th June 2008
15:00 - 18:00   Registration
Thursday 19th June 2008
08:30 - 17:00   Registration
08:50 - 09:00   GGA Welcome
09:00 - 09:55   GGA Plenary Talk (Herman K. Van Dijk)
09:55 - 10:15   Coffee Break
10:15 - 12:15   PARALLEL SESSION B
GPA   ES02: Variable selection and robustness
B104   ES15: Time series estimation and prediction
GB1   ES16: Statistics with incomplete data
E003   CS01: Time series and financial econometrics
B013   CS04: Decision making under uncertainty
GGA   CS06: Multivariate GARCH
B103   CS13: Applied macroeconometrics
AUM   CS17: Dynamic factor models: analysis and real-time forecasting
ALG   CS18: Financial econometrics - 1
B217   CS25: Credit risk, financial markets and computational methods
12:15 - 14:00   Lunch
14:00 - 16:00   PARALLEL SESSION C
GGA   ES06: Computational methods for mixtures
GB1   ES17: Probabilistic methods in learning problems
GPA   ES22: Robustness with high dimensional data
B013   CS02: International financial management
AUM   CS09: Non-linear estimation, multivariate and structural models
E003   CS12: Integer valued time series and related topics - 1
B103   CS14: Financial risk management
B104   CS15: Risk management
ALG   CS31: Inference in time series and econometrics
B217   CS36: Time series forecasting
16:00 - 16:25   Coffee Break
16:25 - 17:20   GGA Plenary Talk (Oliver Linton)
18:00 - 19:30   Reception
Friday 20th June 2008
09:00 - 16:00   Registration
09:00 - 11:00   PARALLEL SESSION E
GPA   ES08: Statistical software
B104   ES09: Statistics for dependent data and econometric models
GB1   ES18: Intelligent data analysis
B217   CS05: Markov-switching models for financial returns
B103   CS22: Asset price dynamics and portfolio choice
ALG   CS24: Time series and signal extraction
E003   CS26: Computational and financial econometrics with R
AUM   CS28: Simulation based Bayesian inference for dynamic and financial models
B013   CS33: Econometric analysis of financial markets
11:00 - 11:20   Coffee Break
11:20 - 12:15   GGA Plenary Talk (Bernard Philippe)
12:15 - 14:00   Lunch
14:00 - 16:00   PARALLEL SESSION G
B103   ES11: Robust methods for data analysis
B013   ES14: Computational statistics in learning
GB1   ES20: Computational statistics in life sciences
E003   CS10: Bayesian analysis of latent variable models and volatility models
B217   CS19: Computational econometrics - 1
AUM   CS20: Econometric methods and applications for financial time series
ALG   CS21: Time series components and volatility
B104   CS29: Dynamics of financial markets
GGA   PS07: Robust multilevel methods and parallel algorithms - 1
GPA   PS11: Krylov space methods and applications
16:00 - 16:25   Coffee Break
16:25 - 18:30   PARALLEL SESSION H
B103   ES01: Robustness in theory and practice
B104   ES05: Small area estimation
B013   ES13: Mixture models and clustering
AUM   CS07: Graph based modelling
ALG   CS16: Numerical methods in econometrics
B217   CS32: Stochastic volatility models
E003   CS47: Integer valued time series and related topics - 2
GGA   PS03: Parallel preconditioners
GPA   PS04: Parallel combinatorial scientific computing
GB1   PS09: Large-scale sparse matrix computations
20:00 - 23:00   Conference Dinner
Saturday 21st June 2008
09:00 - 11:00   PARALLEL SESSION I
GB1   ES04: Depth and trimming in robustness
B104   ES10: Spatial and temporal computational statistics
B013   ES12: Switches and structural breaks in a Bayesian framework
ALG   CS03: Financial econometrics - 2
B217   CS23: Computational statistics
E003   CS27: Financial time series
B103   CS37: Robust inference
AUM   CS38: Extreme value and electricity prices
GGA   PS13: Robust multilevel methods and parallel algorithms - 2
GPA   PS14: SVD and Jacobi methods
11:00 - 11:20   Coffee Break
11:20 - 13:20   PARALLEL SESSION J
B103   ES03: Robust regression
B013   ES07: Penalization approaches: algorithms, software and applications
B104   ES19: Time series and design specification
GB1   ES21: Discriminant problems and sample coordination
B217   CS08: Term structure, risk, and monetary policy
E003   CS11: Option pricing
AUM   CS45: Value at risk and volatility prediction
ALG   CS46: Leverage, credit markets, financial integration
GGA   PS01: Algebraic preconditioning of iterative methods
GPA   PS06: Parallel dense numerical linear algebra
13:20 - 15:00   Lunch
15:00 - 17:00   PARALLEL SESSION K
B013   CS34: Financial market analysis
B103   CS35: Computational econometrics - 2
AUM   CS39: Financial Econometrics - 3
E003   CS40: Multivariate financial econometrics
B104   CS41: Econometric applications
GGA   PS10: Parallel eigensolvers and applications
GPA   PS15: Parallelizing iterative methods
17:00 - 17:20   Coffee Break
17:20 - 18:15   GGA Plenary Talk (Michael Berry)
19:30 - 22:00   Fondue Dinner

Created by Computing & Statistics 2007