4th CSDA International Conference on
Computational and Financial Econometrics (CFE'10)
10-12 December 2010, Senate House, University of London, UK


4th International Conference on


10-12 December 2010, Senate House, University of London, UK

Supported and organized by the London School of Economics, Queen Mary, University of London and Birkbeck University of London.

The new CSDA Annals of Computational and Financial Econometrics, will be inaugurated during this conference. This journal will be published as a supplement to Computational Statistics & Data Analysis to serve as an outlet for distinguished research papers in computational econometrics and financial econometrics. Papers containing strong computational, statistical, or econometric components or substantive data-analytic elements will be considered for publication either in the Annals or in the regular issues of CSDA. To obtain further information please Send an Email.

Computational and financial econometrics comprise a broad field that has clearly interested a wide variety of researchers in economics, finance, statistics, mathematics and computing. Examples include financial time series analyses that focus on efficient and robust portfolio allocations over time, asset valuations with emphases on option pricing, volatility measurements, models of market microstructure effects and credit risk. While such studies are often theoretical, they can also have a strong empirical element measuring risk and return and often have a significant computational aspect dealing with issues like high-dimensionality and large numbers of observations. Algorithmic developments are also of interest since existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. So also are developments of environments for conducting econometrics, which are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development.

Previosuly the CSDA has published a number of 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 conference invites oral and poster presentations that contain computational or financial econometric components. The organization of sessions and minisymposia are encouraged. Tutorials will be given on Thursday the 9th of December 2010 at the LSE. The conferene will take place jointly with the ERCIM working Group meeting on Computing & Statistics.

International Organizing Committee: E.J. Kontoghiorghes, Ana Maria Fuertes and Esther Ruiz.

CSDA Annals of CFE Managing Editors: David A. Belsley, Erricos J. Kontoghiorghes and Herman K. Van Dijk.

Co-Chairs: George Kapetanios, Oliver Linton, Michael McAleer and Esther Ruiz.

CSDA Annals of CFE Guest Editors: Luc Bauwens, Siem Jan Koopman, Oliver Linton and Michael McAleer.

Keynote Speakers: Qiwei Yao, M. Hashem Pesaran, Mark Steel, Anthony C. Atkinson and Stan Azen.

Scientific Programme Committee Members:
A. Amendola, F. Audrino, P. Boswijk, M. Billio, M. Binder, C. Chen, D. van Dijk, C. Francq, A.-M. Fuertes, A.B. Galvao, R. Gerlach, D. Guegan, S. Hodges, S.J. Koopman, L. Khalaf, J.F. Kiviet, T. Lux, S. Mittnik, M. Ooms, J. Nankervis, Y. Omori, M. Paolella, D.S.G. Pollock, T. Proietti, M. Reale, M. Riani, B. Rustem, W. Semmler, M. Steel, M. So, E. Tzavalis, D. Veredas, M. Wagner, P. Winker, P. L H Yu, P. Zadrozny, P. Zaffaroni, J.-M. Zakoian, A. Zeileis.

Important dates:

Submission of abstracts:24 September 2010 (Extended deadline. Submit an abstract)
Acceptance decision: 30 September 2010 (Decision is made at most two weeks after submission)
Tutorial: 9th December 2010
Conference: 10-12 December 2010
Submission of full papers: 15 January 2011 (Papers can be submitted at any time)
Notification of decision: 15 April 2011 (tentative)
Publication of the CSDA Annals of CFE: 15 September 2011 (tentative)