NAME |
AFFILIATION |
PAPER TO BE PRESENTED |
Deniz Dilan Karaman |
Humbolt University |
"Comparison of Panel Cointegration Tests"
|
Marcelo Fernandes
Joint work with Marco Aur´elio dos Santos Rocha |
Queen Mary University of London |
"Are price limits on futures markets that cool?
Evidence from the Brazilian Mercantile and Futures Exchange"
|
Tae-Hwy Lee
Burak Saltoðlu
Joint work with Yong Bao
|
University of California Riverside, Marmara University |
"Comparing Density Forecast Models"
|
Matthias R. Fengler
Joint work with Wolfgang K. Härdle, Enno Mammen |
CASE |
"A Dynamic Semiparametric Factor Model for
Implied Volatility Surface Dynamics"
|
Ralf Brüggemann
Joint work with Wolfgang Härdle, Julius Mungo,
Carsten Trenkler |
Humbolt University |
"VAR Modeling of Factor Loading Series from a
Dynamic Semiparametric Model for Implied Volatility String Dynamics"
|
Dick van Dijk
Joint work with Haris Munandar, Christian M. Hafner
|
Erasmus University Roterdam |
"The Euro Introduction and Non-Euro Currencies"
|
Iulian Nastac
Joint work with Elena Pelinescu, Emilian Dobrescu
|
Romanian Center For Economic Policies |
"Exchange Rate Forecasting Using An Adaptive Neural Technique"
|
Chokri Slim |
|
"A genetic Neural Network approach applied to
Forecast the volatility of financial time series"
|
Mark J. Jensen |
Federal Reserve Bank of Atlanta |
"A Markov Chain Monte Carlo Method for Fractionally Integrated, Autoregressive, Moving Average, Stochastic Volatility"
|
Mustafa Pýnar
Aslýhan Salih |
Bilkent University, Bilkent University |
"Gains and Losses for Pricing and Hedging of Contingent Claims by Stochastic Programming"
|
Karl Erlandzon
Joint work with Evert Carlsson |
Göteborg University |
"The Dark Side of Wage Indexed Pensions"
|
Ola Simonsen |
Umea University |
"An Empirical Model for Durations in Stocks"
|
Noud P.A. van Giersbergen |
University of Amsterdam |
"Bartlett Correction in the Stable AR(1) Model
with Intercept and Trend"
|
Christian Bontemps
Joint work with Nour Meddahi
|
Montreal University, University of Toulouse |
"Testing Distributional Assumptions: A GMM Approach"
|
Shahiduzzaman Quoreshi |
Umea University |
"Bivariate Time Series Modelling of Financial Count Data"
|
Szabolcs Blazsek
Joint work with Thierry Kamionka
|
CREST and Carlos III University Madrid |
"Liquidity and Volatility of the Electricity Market: A Multivariate Latent-Factor Intensity Model"
|
SESSION 2-Saturday 17 December |
NAME |
AFFILIATION |
PAPER TO BE PRESENTED |
Marcelo Takami
Joint work with Benjamin M.Tabak |
Universidade de Sao Paolo |
"Can we predict interest rate volatility? The Case of Brazil"
|
Niklas Ahlgren
Joint work with Jan Antell |
Swedish School of Economics |
"Bootstrap Tests of Cointegration Rank with
Financial Time Series (For Poster Sessions Only)"
|
Tae-Hwy Lee
Joint work with Huiyu Huang |
University of California Riverside |
"To Combine Forecasts or to Combine Information?"
|
Kamil Yilmaz
Joint work with Francis X. Diebold |
Koç University |
|
Pilar Soriano
Joint work with Francisco J. Climent
|
University of Valencia |
"Region versus Industry Effects: volatility transmission"
|
Jens Perch Nielsen
Joint work with Carsten Tanggaard
M.C. Jones
|
University of Copenhagen |
"Local Linear Density Estimation for Filtered Survival Data, With Bias Correction"
|
L. Barras
Joint work with O. Scaillet, R. Wermers |
Geneva University-HEC |
"False Discoveries in Mutual Fund Performance:
Measuring the Role of Lucky Alphas"
|
Oliver Blaskowitz
Joint work with Helmut Herwartz
|
Humbolt University |
"Modeling the FIBOR/EURIBOR Swap Term Structure:
An Empirical Approach"
|
João Leitão
Joint work with Cristóvão Oliveira
|
Universidade de Beira Interior |
"The Contagion Effect of the Terrorist Attacks of the 11th of September"
|
Emmanuel Jurczenko,
Bertrand Maillet
Joint work with Paul Merlin
|
ESCP-EAP & ABN-AMRO,Université Paris 1 & ABN-AMRO |
"Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness Kurtosis Efficient Frontier"
|
Paraschos A. Maniatis
Joint work with Thomas A. Anastassiou
|
Athens University of Economics and Business |
"THE ROLE OF RISK MANAGEMENT IN THE GREEK INSURANCE INDUSTRY"
|
Bertrand Maillet
Thierry Michel |
Université Paris 1 & ABN-AMRO, Autorité des Marchés Financiers |
"Extreme Distribution of Realized
and Range-based Risk Measures"
|
Nikolas Topaloglou
Joint work with Hercules Vladimirou, Stavros A. Zenio
|
Universirty of Geneva-HEC |
"Risk Management for International Investment Portfolios Using Forward Contracts and Options" |
Michael Flad
Joint work with Robert C. Jung
|
Goethe University |
"A common factor analysis for the US and the
German stock markets during overlapping trading hours"
|
Practitioner's Corner - Presentation By AKBANK Risk Management Group |
