ERSC-CEA@Cass Seminar Series in Financial Econometrics 1

Measuring dependence in finance

CEA@Cass Seminar Series and International Conference in Financial Econometrics aims to provide a forum to present and discuss recent developments in financial econometrics techniques (such as copula methods, conditional correlations and contagion, dynamic conditional correlations with Gaussian and non Gaussian distributions, (Q)MLE vs semi-parametric methods of estimation) to estimate and test dependence between multiple financial time series.

The structure of the seminar series and the final conference
A thematic framework will be used for the five seminars and the final International Conference.

Seminar 1 (17 March 2006)
The use of copula and DCC model to measure dependence in finance

Seminar 2 (19 May 2006)
The use of thick distributions

Seminar 3 (13 October 2006)
Dependence or contagion?

Seminar 4 (16 March 2007)
Semiparametric methods to measure dependence in finance

Seminar 5 (14 May 2007)
Measuring dependence between foreign exchange rates, interest rates and stock markets

International Conference (7-8 December 2007)
Measuring dependence in finance: a summary of old and new results

For updates, please visit this web page regularly.

Sponsors: ESRC (G.N. RES-451-25-4036) and Centre for Econometric Analysis