NYU Stern
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Innovations in Financial Econometrics: In Celebration of the 2003 Nobel
 
September 30 – October 1, 2004
NYU Stern School of Business
 
 
Thursday, September 30
12:00      
Sandwich Lunch
 
12:45      
 
Opening Remarks
1:00        
FORECASTING—NEW DIMENSIONS  
Chair: James D. Hamilton, University of California, San Diego
 
Mark W. Watson, Princeton University, “Forecasting with Large Data Sets
  Discussant: Serena Ng, University of Michigan
 
Francis X. Diebold, University of Pennsylvania, “Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
  Discussant: Anthony Hall, University of Technology Sydney
 
2:35       
Refreshment Break
 
3:05       
NEW MEASURES OF REALIZED VOLATILITY             
Chair: Torben G. Andersen, Northwestern University
 
Tim Bollerslev, Duke University, “Volatility Rough and Smooth
  Discussant: René Garcia, University of Montreal
 
Peter R. Hansen, Stanford University and Asger Lunde, Aarhus School of Business, “Realized Variance and Market Microstructure Noise” and “An Unbiased Measure of Realized Variance
   Discussant: Eric Ghysels, University of North Carolina at Chapel Hill
 
   Discussant: Liuren Wu, Baruch College
 
5:20       
Adjourn and travel to Cocktails and Dinner
 
6:30       
Cocktail Reception, Presentation and Dinner 
Time Warner Center, 51st floor
Retrospectives (Bollerslev, Diebold, Watson)
 Friday, October 1
 
7:45       
Continental Breakfast
 
8:15       
MULTIVARIATE MODELS AND ASSET ALLOCATION 
ChairKenneth F. Kroner, Barclays Global Investor, Advanced Strategies and Research Group
 
Simone Manganelli, European Central Bank, “Asset Allocation by Variance Sensitivity Analysis
   Discussant: A. Craig MacKinlay, University of Pennsylvania
 
Allan Timmermann, University of California, San Diego, “Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching
   Discussant: John Y. Campbell, Harvard University
 
Pedro Santa-Clara, University of California, Los Angeles, “Equity Portfolios with Parametric Weights: Exploiting Size, Book to Market, and Momentum
   Discussant: Anthony Lynch, New York University
 
10:30      
Refreshment Break
 
11:00      
MICROSTRUCTURE ECONOMETRICS  
ChairYacine Aït-Sahalia, Princeton University
 
Jeffrey R. Russell, University of Chicago, “Full Information Transaction Costs
   Discussant: Ingrid Werner, Ohio State
 
Andréas Heinen, University of California, San Diego, 
   Discussant: Joel Hasbrouck, New York University
 
12:35      
Luncheon Remarks (Robert Engle)
 
2:00       
COPULA BASED DEPENDENCE STRUCTURES             
Chair:  Josh Rosenberg, Federal Reserve Bank of New York
 
   Discussant: Eric Renault, University of North Carolina
 
Andrew J. Patton, London School of Economics, “Are ‘Market Neutral’ Hedge Funds Really Market Neutral?
   Discussant: Andrew Lo, Massachusetts Institute of Technology
 
3:35       
CONSUMPTION MODELS REVISITED             
Chair: Michael Rothschild, Princeton University
 
Lars Peter Hansen, University of Chicago, “Consumption Strikes Back
   Discussant: Martin Lettau, New York University
 
George Tauchen, Duke University, “Stochastic Volatility in General Equilibrium
   Discussant: Kenneth J. Singleton, Stanford University
 
5:10       
Adjourn