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Past Conferences

"Measuring and Predicting Risk from Financial High-Frequency Data" (2010)

SoFiE Presents a joint conference with The Center for Research in Econometric Analysis of Time Series (CREATES) at Aarhus University

Date:  15 October - 16 October 2010

The conference aims to shed new light on the uses of high frequency financial data in improved risk measurement, management, and asset pricing, including ways in which to distill large intraday data bases into manageable information structures. Examples of studies that fall within the scope of the conference include, but are not limited to: realized volatility measures and their uses in characterizing the dynamic dependencies in asset returns; multivariate volatility measures and risk measurements; quantile and VaR predictions and extreme value extrapolations; high-frequency Monte Carlo and historical simulation techniques; risk and volatility model evaluation procedures.

View Conference Website for more information.

The V-Lab

The Volatility Institute's V-Lab (Volatility Laboratory) calculates volatilities and correlations every day on a wide range of assets using various methods. It produces volatility forecasts up to a year in advance.
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