Program


Thursday, October 14th

  • 6:30 – 9:30pm Welcome Reception at Radisson BLU Hotel

    Registration and buffet dinner in Restaurant Scenario.

Friday, October 15th

  • 8:15 – 9:00am Registration at ARoS – main entrance
  • 9:00 – 9:15am Opening Remarks by Niels Haldrup, CREATES, and Eric Ghysels, SoFiE

Session 1 Chair: Eric Ghysels University of North Carolina, Chapel Hill

  • 9:15 – 10:00am Invited Speaker - Per Mykland, Stevanovich Center, University of Chicago and University of Oxford
    "Econometric analysis of financial jumps using efficient bi- and multipower variation"
    Co-Authors: Neil Shephard and Kevin Sheppard
  • 10:00 – 10:30am Nikolaus Hautsch, Humboldt-Universität zu Berlin
    "Forecasting Vast Dimensional Covariances Using a Dynamic Multi-Scale
    Realized Spectral Components Model"
    Co-Author: Lada M. Kyj
  • 10:30 – 11:00am Coffee Break

Session 2 Chair: Giampiero Gallo, University of Florence

  • 11:00 – 11:30am Viktor Todorov, Northwestern University, Kellogg School of Management
    "Estimation of Jump Tails"
    Co-Author: Tim Bollerslev
  • 11:30 – 12:15pm Invited Speaker: Viral Acharya, New York University, Stern School of Business
    "Measuring and Regulating Systemic Risk"
  • 12:15 –2:00pm Lunch in the Art Restaurant, 8th floor

Session 3 Chair: Asger Lunde, Aarhus University and CREATES

  • 2:00 – 4:00pm George Tauchen, Duke University, Department of Economics
    "The Realized Laplace Transform of Volatility"
    Co-Author: Viktor Todorov
     
    Jerôme Lahaye, University of Lausanne
    "High-Frequency Jump Filtering in a Microstructure Model"
    Co-Authors: Eric Jondeau and Michael Rockinger

    Neil Shephard, University of Oxford, Oxford-Man Institute
    "Integer-valued Lévy processes and low latency financial econometrics"
    Co-Authors: Ole E. Barndorff-Nielsen and David G. Pollard
     
    Dobrislav Dobrev, Federal Reserve Board of Governors
    "The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk"
    Co-Author: Pawel Szerszen
  • 4:00 – 4:30pm Break

Session 4 Chair: Torben G. Andersen, Northwestern University and CREATES

  • 4:30 – 5:15pm Invited Speaker: Mikhail Chernov, London Business School
    "Sources of Entropy in Dynamic Representative Agent Models"
  • 5:15 – 5:45pm Peter Reinhard Hansen, Stanford University, Department of Economics and CREATES
    "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility"
    Co-Authors: Zhuo (Albert) Huang and Howard Howan Shek
  • 7:30pm Conference Dinner, Sponsored by CREATES
    Restaurant Terassen Tivoli Friheden

    Bus transport to and from the restaurant and hotels.
     
    The bus will pick up participants in the following order:
    6.45pm  Hotel Cabinn
    7.00pm  Scandic Plaza
    7.15pm  Radisson BLU Hotel

    Departure from the restaurant 10.30pm

Saturday, October 16th

  • 8:15 – 9:00am ARoS opens

Session 1 Chair: Kim Christensen, Aarhus University and CREATES

  • 9:00 – 9:45am Invited Speaker: Nour Meddahi, Toulouse School of Economics
    "The Economic Value of Realized Volatility"
  • 9:45 – 10:45am Torben G. Andersen, Northwestern University and CREATES
    "Constructing Coherent Implied Volatility Measures: VIX versus Corridor Implied Volatility"
    Co-Authors: Maria T. Gonzalez-Perez and Oleg Bondarenko
     
    Carl Lönnbark, Umeå University
    "Value at Risk for Large Portfolios"
    Co-Authors: Ulf Holmberg and Kurt Brännäs
  • 10:45 – 11:15am Coffee Break

Session 2 Chair: Frank Diebold, University of Pennsylvania

  • 11:15 – 12:15am Iryna Okhrin, European University Viadrina, Department of Statistics
    "Statistical Surveillance for Volatility Forecasting Models"
    Co-Authors: Vasyl Golosnoy and Wolfgang Schmid
     
    Roberto Renò, University of Siena
    "Discrete-Time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-Time Volatility Modeling"
    Co-Author: Fulvio Corsi
  • 12:15 am Lunch in the Art Restaurant, 8th floor

Goodbye