Computational Econometrics and Financial Time Series

The track concerns with methodological and computational aspects of econometrics. Empirical aspects of analysing financial time series are also addressed.

Computational and financial econometrics have been of interest for a wide variety of researchers in economics, finance, statistics, mathematics and computing. Financial time series analyses focus on asset valuations over time with emphases on option pricing, volatility measurement, and modelling market microstructure effects. Apart from theoretical developments, financial time series analyses also have a high empirical content. The computational aspects of such analyses are of crucial importance since one typically deals with high-dimensional problems and large numbers of observations. Existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. Furthermore, environments for conducting econometrics are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development.

Co-Chairs:

Alessandra Amendola, University of Salerno, Italy. E-mail: Send
Ana-Maria Fuertes, Cass Business School, City University, UK E-mail: Send
Marc Paolella, Swiss Bank Institute, University of Zurich, Switzerland. E-mail: Send
Herman K. Van Dijk, Erasmus University Rotterdam, The Netherlands. E-mail: Send

Members:

1. Josu Arteche, University of the Basque Country, Spain.
2. Francesco Audrino, University of Lugano, Switzerland.
3. Giovanni Barone Adesi, University of Lugano, Switzerland.
4. Luc Bauwens, UCL/CORE, Belgium.
5. Kai Carstensen, University of Munich, Germany
6. Jerry Coakley, University of Essex, UK.
7. Andrea Cipollini, University of Essex, UK.
8. Veronika Czellar, University of Washington, US
9. Petros Dellaportas, Athens University, Greece.
10. Giovanni De Luca, University of Naples Parthenope, Italy.
11. Jurgen Doornik, Nuffield College, Oxford, UK.
12. Christian. Francq, University Lille III, France.
13. Sylvia Fruhwirth-Schnatter, Johannes Keppler University, Austria.
14. Giampiero Gallo, University of Florence, Italy.
15. Roberto Leon Gonzalez, University of Leicester, UK.
16. Christian Hafner, UCL/CORE, Belgium.
17. Markus Haas, University of Munich, Germany
18. Lennart Hoogerheide, Erasmus University Rotterdam, The Netherlands.
19. James Huang, Lancaster University, UK.
20. Marwan Izzeldin, Lancaster University Management School, UK.
21. Robert C. Jung, Eberhard-Karls University at Tuebingen, Germany.
22. Elena Kalotychou, Cass Business School City University, London, UK
23. Neil Kellard, University of Essex, UK.
24. Siem Jan Koopman, VU Amsterdam, The Netherlands.
25. Michele La Rocca, University of Salerno, Italy.
26. Jose Juan Lopez Espin, Universidad Miguel Hernandez de Elche, Spain
27. Oscar Martinez, Universitat Rovira i Virgili, Spain.
28. David McMillan, University of St Andrews, UK.
29. Stefan Mittnik, University of Munich, Germany.
30. Anthony Murphy, Nuffield College & Oxford University, UK.
31. Marcella Niglio, University of Salerno, Italy.
32. Jose Olmo, City University, London, UK.
33. Richard Paap, Erasmus University Rotterdam, The Netherlands.
34. Marc Paolella, Swiss Bank Institute, University of Zurich, Switzerland.
35. Paolo Paruolo, University of Insubria, Italy.
36. Marius Ooms, VU Amsterdam, The Netherlands.
37. Cira Perna, University of Salerno, Italy.
38. Giuseppe Storti, University of Salerno, Italy.
39. Herman K. Van Dijk, Erasmus University Rotterdam, The Netherlands
40. Carlos Velasco, Universidad Carlos III de Madrid, Spain.
41. Jean Michel Zakoian, University Lille III, France.

Created by Computing & Statistics 2007