3rd IASC world conference on
Computational Statistics & Data Analysis
Amathus Beach Hotel, Limassol, Cyprus, 28-31 October, 2005
 
Title: Financial econometrics

Description:

The research topic of financial econometrics has been of interest for a wide variety of researchers in economics, finance, statistics and mathematics. Financial time series focusses on asset valuation over time with an emphasis on option pricing, volatility measurement and modelling market microstructure effects. Apart from theoretical developments, financial time series analysis also has a high empirical content. Moreover, computational aspects of the analysis is of crucial importance since typically one deals with high- dimensional problems and with a huge number of observations. For example, ultra high-frequency time series have become widely available over the last years. Such series usually consists of multiple observations for hundreds of days and for each day a hundred or sometimes thousands entries may be available. Typically non-Gaussian and nonlinear inference methods need to be applied to analyse such series. Therefore the topic of financial time series offer a range of research opportunities. This track aims at providing a platform for the presentation of research papers that addresses econometric, statistical, computational and empirical aspects of analysing financial time series.

Focus:

GARCH
Stochastic volatility
Long memory
Dynamic correlations
Bid-ask spread
Duration
Extreme values
Value at Risk
Continuous-time (ARMA) processes
(Jump) Diffusion models
Option pricing models
Realised volatility

Co-Chairs:

Siem Jan Koopman
Faculty of Economics and Business Administration,
Vrije Universiteit Amsterdam,
De Boelelaan 1105, NL 1081 HV Amsterdam
The Netherland
Tel: +31 20 444 60 19
Fax: +31 20 444 60 20
E-mail: s.j.koopman@feweb.vu.nl

Prof. Giovanni Barone-Adesi
Faculty of Economics
USI
Via Buffi 13
6900 Lugano
Switzerland
Tel: +41 91 9124753
Fax: +41 91 9124647
E-mail: giovanni.barone-adesi@lu.unisi.ch
Marius Ooms
Department of Econometrics
Faculty of Economics and Business Administration
Vrije Universiteit Amsterdam
De Boelelaan 1105 - NL 1081 HV Amsterdam
The Netherland
Tel: +31 20 4446023
Fax: +31 20 4446020
E-mail: ooms@econometriclinks.com


Alessandra Amendola
Department of Economics and Statistics
University of Salerno
84084 Fisciano (SA) - Italy
Tel: +39 089962207
Fax: +39 089962049
E-mail: alamendola@unisa.it
Eric Zivot
University of Washington
Economics Box 353330,
Seattle, WA 98195-3330,
USA
Tel: +1 206 543-6715
Fax: +1 206 685-7477
E-mail: ezivot@u.washington.edu