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Saturday 6 December 2008

What Went Wrong? Financial Engineering,
Financial Econometrics, and the Current Stress.

Organiser: Giovanni Urga

PROGRAMME
(Download Conference Programme) [pdf]

Room 3002
Presentations: 30 minutes
Open floor discussion:  10 minutes

8:30 - 9:00 Refreshments


Session 4: Portfolios

Chair: Valentina Corradi (Warwick, UK)

9:00 - 11.00
G. De Rossi (UBS Bank, UK)
“Tracking Changes in the Shape of the Portfolio Returns Distribution”
[abstract]

E. Sentana (CEMFI, Spain)
“Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation” (with Javier Mencia)
[abstract]   

P. Zaffaroni (Tanaka Business School, London, UK)
“Optimal Asset Allocation with Factor Models for Large Portfolios” (with M. Hashem Pesaran).
[abstract] 
 

11:00 - 11:30 Refreshments


Session 5: Making Money

Chair: Giuliano De Rossi (UBS, UK)

11:30 - 13:30
F. Bandi (Graduate School of Business of University of Chicago, USA)
"The Joint Pricing of Volatility and Liquidity" (with Claudia Moise and Jeff Russell)
[abstract]

M. Rockinger (HEC Lausanne, CH)
“The Economic Value of Distributional Timing” (with Eric Jondeau)
[abstract]

V. Corradi (Warwick, UK)
“Bandwidth Selection for Continuous-Time Markov Processes” (with Federico Bandi and Guillermo Moloche)
[abstract]


13:30 - 15:00 Lunch


Session 6: Forecasting

Chair: Lorenzo Trapani (CASS, UK)

15:00 - 17:00
J. Russell (Graduate School of Business of University of Chicago, USA)
“Realized Volatility Forecasting in the Presence of Time-varying Noise” (with Federico M. Bandi and Chen Yang).
[abstract]

G. M. Gallo (University of Florence, Italy)
“Intra-daily Volume Modeling and Prediction for Algorithmic Trading” (with CT Brownlees and  F Cipollini)
[abstract]

N. Shephard (Oxford, UK)
“Measuring Downside Risk - Realised Semivariance”
[abstract]


17:00 END OF THE CONFERENCE