6th CSDA International Conference on COMPUTATIONAL AND FINANCIAL ECONOMETRICS (CFE 2012)

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6th CSDA International Conference on
COMPUTATIONAL AND FINANCIAL ECONOMETRICS (CFE 2012)
1-3 December 2012, Conference Centre, Oviedo, Spain
http://www.cfe-csda.org/cfe12

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.

This conference invites oral and poster presentations that contain computational or financial econometric components. The organization of sessions and minisymposia are encouraged.

Tutorials are given on Thursday the 30th of November 2012 by Andrew Harvey and Hans Mueller.

A list of invited and organized sessions can be found at http://www.cfe-csda.org/cfe12/InvitedSessions.html
http://www.cfe-csda.org/cfe12/CFEOrganizedSessions.html

The new CSDA Annals of Computational and Financial Econometrics is associated with this conference.  The Annals are 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 of CFE or in the regular issues of CSDA. Guest Editors of the annals: David Belsley, Erricos J. Kontoghiorghes and Herman K. Van Dijk: http://www.cfe-csda.org/cfe12/cfpCSDAAnnalsCFE.html

Keynote Speakers:
Luc Bauwens, Stefan Mittnik and Esther Ruiz.

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.

Scientific Program Committee:
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.

Important dates:

Invited Abstract submission:            15 July 2012
Contributed Abstract submission:        5 September 2012
Tutorials:                              30 November 2012
Conference:                             1-3 December 2012
Deadline for submitting full papers:    10th November 2012

The meeting will take place jointly with the 5th International
Conference of the ERCIM WG on COMPUTING & STATISTICS (ERCIM 2012):
http://www.cfe-csda.org/ercim12

For further information please contact: cfe-ercim@cfe-csda.org.

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