6th CSDA International Conference on
Computational and Financial Econometrics (CFE 2012)
1-3 December 2012, Conference Centre, Oviedo, Spain


6th International Conference on


1-3 December 2012, Conference Centre "Ciudad de Oviedo", Oviedo, Spain

Supported and organized by University of Oviedo and the Queen Mary, University of London.

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 30th of November 2012. The conferene will take place jointly with the ERCIM working Group meeting on Computing & Statistics.

Tutorials will be given by Andrew Harvey and Hans-Georg Müller.

The Keynote talks will be given by Luc Bauwens, Stefan Mittnik and Esther Ruiz.

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.

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.

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.

International Organizing Committee: Ana Colubi, Christophe Croux, Erricos J. Kontoghiorghes and Herman K. Van Dijk.

Co-Chairs: Andrew Harvey, Yasuhiro Omori, Willi Semmler and Mark Steel.

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

Scientific Programme Committee Members:

A. Amendola, G. Amisano, F. Audrino, M. Billio, F. Canova, S. Chaudhuri, C.W.S. Chen, C. Francq, A.-M. Fuertes, L. Khalaf, G. Koop, S.J. Koopman, C.-M. Kuan, R. Leon-Gonzalez, H. Lopes, M. McAleer, M. Paolella, H. Pesaran, J.-Y. Pitarakis, D.S.G. Pollock, P. Poncela, T. Proietti, M. Reale, J. Rombouts, S. Sanfelici, K. Sheppard, M.K.P. So, L. Soegner, G. Storti, E. Tzavalis, J.-P. Urbain, D. Veredas, M. Wagner, Q. Yao, P. Zadrozny, J.M. Zakoian, Z. Zhang.

Local organizer: University of Oviedo, Spain.

Important dates:

Abstract submission for invited and organized sessions: 15 July 2012 (Submit an abstract)
Contributed abstract submission:21 September 2012 (Extended deadline. Submit an abstract)
Acceptance decision: 27 September 2012 (Decision is made at most two weeks after submission)
Presenting Authors Registration: 21 September 2012
Tutorial: 30 November 2012
Conference: 1-3 December 2012
Submission of full papers (optional): 15 February 2013 (Papers can be submitted at any time)
Notification of decision: 15 June 2013 (tentative)
Publication of the CSDA Annals of CFE: 15 December 2013 (tentative)