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Financial Econometrics Conference 2006

Friday 2nd and Saturday 3rd June 2006
Alcuin Research Resource Centre


Friday 2nd June

Coffee 10:00-10:30

Long Memory Models
Chair: Peter Spencer

10.30-11:15 Richard Baillie (Michigan State and Queen Mary) "Testing for neglected nonlinearity in Long Memory models" Paper (PDF , 265kb)

11.15-12:00 Fabrizio Iacone (York) "Local Whittle estimation of the memory parameter for processes subject to a break" Paper (PDF , 300kb)

Lunch 12:00-13.30

Credit, equity and foreign exchange markets
Chair: Peter N Smith

13:30-14.15 Hashem Pesaran (Cambridge and USC) "Firm heterogeneity and credit risk diversification" Paper (PDF , 545kb) | Slides (MS PowerPoint , 349kb)

14:15-15:00 Neil Shephard (Oxford) "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise" Paper (PDF , 416kb) | Slides (PDF , 980kb)

15:00-15:45 Mark Salmon (Warwick) "Using copulas to construct bivariate foreign exchange distributions" Paper (PDF , 1,489kb)

Tea 15:45-16:15

SDF Models
Chair: Peter Simmons

16:15-17:00 Marcelo Fernandes (Queen Mary, London) "The efficiency of risk sharing between UK and US: Estimation and calibration under market incompleteness" Paper (PDF , 221kb)

17:00-17:45 Peter Spencer (York) "Unit roots in a macro-finance model of the US term structure of interest rates" Paper (PDF , 352kb) | Tables (PDF , 78kb) | Charts (PDF , 157kb)

Conference Dinner 19:30
Del Rio's, Blossom Street

Saturday 3rd June

Chair: Leslie Godfrey

9:30-10:15 Peter Phillips (Yale and York) "Mildly Explosive Processes and Economic Bubbles" Abstract (PDF , 40kb)

10:15-11:00 Liudas Giraitis (York) "Recent advances in ARCH modelling" Abstract (PDF , 7kb)

Coffee 11:00-11.30

Stochastic volatility in bond and options markets Chair: Peter Phillips

11:30-12:15 Salih Neftci (Hong Kong University of Science and Technology, and ICMA Centre, Reading) "Bonds and cash flow news: Mysteries of convexity" Abstract (PDF , 7kb) | Slides (PDF , 315kb)

12:15-13:00 Paola Zerilli (York) "Option pricing and spikes in volatility: Theoretical and empirical analysis" Abstract (PDF , 7kb)

Entrance to the Seebohm Rowntree Building