Chicago/London Conference on Financial Markets Part One:
What Went Wrong? Financial Engineering, Financial Econometrics, and the Current Stress.
5-6 December 2008
Cass Business School
The purpose of this conference was to stimulate an ongoing dialogue among academics, practitioners, and policymakers with mutual interests in financial markets. Chicago and London are unique in having large communities of scholars engaged in financial market research and practitioners working with cutting-edge financial market products.
The conference was open to all those interested from academic and non-academic organisations. It had only invited speakers.
See the Conference Photo Gallery
Conference Sponsors:
CEA - Centre for Econometric Analysis
UIC International Center for Futures and Derivatives
Cass Business School (Knowledge Transfer Fund/Higher Innovation Fund)
Journal of Applied Econometrics
Conference Series Organisers:
Centre for Econometric Analysis (CEA), Faculty of Finance, Cass Business School, City of London.
Giovanni Urga
International Center for Futures and Derivatives (ICFD), Finance Department, University of Illinois at Chicago (UIC).
Gib Bassett and Bob Chirinko
Location
Cass Business School
106 Bunhill Row
London.EC1Y 8TZ
UK
Nature of the Conferences
The theme for the December 2008 conference was "What Went Wrong? Financial Engineering, Financial Econometrics, and the Current Stress."
The theme for the May 2009 conference was "Financial Markets: How Real?", which looked at the impact of financial markets on the real economy - consumption, business investment, housing investment.
The conference lasted 2 days.
Friday 5 December
What Went Wrong? Financial Engineering,
Financial Econometrics, and the Current Stress.
Organiser: Giovanni Urga
PROGRAMME
(Download Conference Programme) [pdf]
Abstracts [pdf]
Room 3002
Presentations: 30 minutes
Open floor discussion: 10 minutes
8:30 - 9:00 Registration and Refreshments
9:00 - 9:15 Opening Address: Steven Haberman (Director and Deputy Dean, Cass, UK)
Session 1: Volatility and Jumps
Chair: Giovanni Urga (Cass, UK)
9:15 - 11:15
T.G. Andersen (Northwestern, USA)
"Jump Robust Volatility Estimation" (with Dobrislav Dobrev and Ernst Schaumburg)
S. Laurent (University of Namur and CORE, Belgium)
"Robust Estimation of the Periodicity in Intraday Volatility and Intraday Jump Detection" (with Kris Boudt and Christophe Croux).
H. Zhou (Federal Reserve Board, Washington, USA)
"Bond Risk Premia and Realized Jump Risk" (with Jonathan Wright).
11:15 - 11:30 Refreshments
Session 2: Options
Chair: Alec Chrystal (Cass, UK)
11:30 - 12.50
L. Benzoni (Federal Reserve Bank of Chicago, USA)
"Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework" (with Pierre Collin-Dufresne and Robert S. Goldstein)
O. Bondarenko (University of Illinois at Chicago, USA)
"Nonparametric Test of Affine Option Models"
12:50 - 14:00 Lunch
Session 3: Estimation and Testing (Risk and Return)
Chair: Enrique Sentana (CEMFI, Spain)
14:00 - 15:20
O. Linton (London School of Economics, UK)
"Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error" (with Anish Ghosh)
G. Urga (Cass Business School, London, UK)
"Testing for Instability in Factor Structure of Yield Curves" (With C. Kao and D. Philip)
[paper]
15:20 - 15:30 Refreshments
Special Panel Session: What Went Wrong and the Current Stress
Chair: Bob Chirinko (UIC, USA)
15:30 - 17:45
F.Capie (Cass Business School and Bank of England,UK)
"Financial Crises and Their Solutions from the Past
[watch the talk]
M. S. Sundaresan (Columbia University, USA)
"Credit Crunch, Actions of Central Banks & Treasury and Welfare Consequences"
[watch the talk]
B. Hafeez (Deutsche Bank, Global Head of FX Strategy, London, UK)
"When the Fabric of Markets is Torn: Trading in a Non-normal World"
N. Jenkinson (Executive Director, Financial Stability, Bank of England, UK)
"Lowering Banks' Funding Risk: An Analytical and Policy Framework"
18:00 Conference Reception at the Bank of England Museum
(Welcome: Richard Gillingwater, Dean, Cass, UK)
Saturday 6 December
What Went Wrong? Financial Engineering,
Financial Econometrics, and the Current Stress.
Organiser: Giovanni Urga
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"
E. Sentana (CEMFI, Spain)
"Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation" (with Javier Mencia)
P. Zaffaroni (Tanaka Business School, London, UK)
"Optimal Asset Allocation with Factor Models for Large Portfolios" (with M. Hashem Pesaran).
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)
M. Rockinger (HEC Lausanne, CH)
"The Economic Value of Distributional Timing" (with Eric Jondeau)
V. Corradi (Warwick, UK)
"Bandwidth Selection for Continuous-Time Markov Processes" (with Federico Bandi and Guillermo Moloche)
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).
G. M. Gallo (University of Florence, Italy)
"Intra-daily Volume Modeling and Prediction for Algorithmic Trading" (with CT Brownlees and F Cipollini)
N. Shephard (Oxford, UK)
"Measuring Downside Risk - Realised Semivariance"
17:00 END OF THE CONFERENCE
Print page