5th CSDA International Conference on
Computational and Financial Econometrics (CFE'11)
17-19 December 2011, Senate House, University of London, UK


5th International Conference on


17-19 December 2011, 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 CSDA Annals of Computational and Financial Econometrics is associated with 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 Friday the 16th of December 2011. The conferene will take place jointly with the ERCIM working Group meeting on Computing & Statistics.

International Organizing Committee: Ana Maria Fuertes, George Kapetanios, Erricos J. Kontoghiorghes, Herman K. Van Dijk and Qiwei Yao.

Co-Chairs: Hashem Pesaran, Siem Jan Koopman, Monica Billio, Christian Francq and Mike So.

CSDA Annals of CFE Guest Editors: David A. Belsley, Erricos J. Kontoghiorghes, Esther Ruiz, Herman K. Van Dijk.

Keynote Speakers: Dick van Dijk, Andrew Harvey and Peter M. Robinson.

Scientific Programme Committee Members:
A. Amendola, R F. Audrino, C. Baum, L. Bauwens, M. Binder, F. Canova, A. Carriero, C.W.S. Chen, L. Calvet, R. Gerlach, D. Guegan, L. Khalaf, C.-M. Kuan, M. Lippi, M. McAleer, G.M. Martin, Y. Omori, T. Perez Amaral, D.S.G. Pollock, M. Reale, M. Riani, J. Rombouts, E. Ruiz, W. Semmler, M. Steel, L. Soegner, E. Tzavalis, D. Veredas, I. Vrontos, M. Wagner, P. Zadrozny, P. Zaffaroni, J.M. Zakoian, A. Zeileis.

Local organizers:

Important dates:

Abstract submissions:30 September 2011 (Extended deadline. Submit an abstract)
Acceptance decision: 15 October 2011 (Decision is made at most two weeks after submission)
Tutorial: 16 December 2011
Conference: 17-19 December 2011
Submission of full papers (optional): 15 February 2012 (Papers can be submitted at any time)
Notification of decision: 15 June 2012 (tentative)
Publication of the CSDA Annals of CFE: 15 December 2012 (tentative)

Single page abstracts should be submitted online by the deadline.