Conference on “Measuring and Predicting Risk from Financial High-Frequency Data"

Posted on 2010/09/16. Filed under: 管理, 經濟, 綜合, 財務 | 標籤:, , |

The Society for Financial Econometrics (SoFiE) in collaboration with The Center for Research in Econometric Analysis of Time Series (CREATES)
Co-organize a conference on

“Measuring and Predicting Risk from Financial High-Frequency Data"

15 October-16 October 2010
School of Economics and Management, Aarhus University

The conference aims to shed new light on the uses of high frequency financial data in improved risk measurement, management, and asset pricing, including ways in which to distill large intraday data bases into manageable information structures. Examples of studies that fall within the scope of the conference include, but are not limited to: realized volatility measures and their uses in characterizing the dynamic dependencies in asset returns; multivariate volatility measures and risk measurements; quantile and VaR predictions and extreme value extrapolations; high-frequency Monte Carlo and historical simulation techniques; risk and volatility model evaluation procedures.

Confirmed Invited Speakers:
Viral Acharya, New York University, Stern School of Business
Mikhail Chernov, London Business School
Nour Meddahi, Toulouse School of Economics
Per Mykland, University of Oxford

Program Committee:
Torben Andersen, Northwestern University
Robert F. Engle, New York University, Stern School of Business
Giampiero Gallo, University of Florence
Eric Ghysels, University of North Carolina
Niels Haldrup, Aarhus University, CREATES
Nikolaus Hautsch, Humboldt-Universität zu Berlin
Asger Lunde, Aarhus University, CREATES

Local Organizing Committee:
Kim Christensen, Aarhus University, CREATES
Niels Haldrup, Aarhus University, CREATES
Asger Lunde, Aarhus University, CREATES

On behalf of the local organizing committee

Solveig Nygaard Sørensen
Center AdministratorDirect tel: +45 89 42 15 63
E-mail: sns
CREATES
School of Economics and Management
Aarhus University

Building 1326
Bartholins Allé 10
8000 Aarhus C
http://www.creates.au.dk

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