Finance and Econometrics Conference 2007

Monday 28th and Tuesday 29th May 2007
Alcuin Research Resource Centre


Monday 28th May

Econometrics: Unit Roots
Chair: Peter Spencer

10.00-10:45 Peter Burridge (York/ City University, London ) and Daniela Hristova (City University)
"Consistent Estimation and Order Selection for Non-Stationary Autoregressive Processes with Stable Innovations" Paper (PDF , 315kb)

10.45-11:30 Patrick Marsh (York)
"Deterministic Components and the Distribution of Unit Root Tests"

11.30-12:15 Tassos Magdalinos (Nottingham) and Peter Phillips (Yale, York)
"Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors" Paper (PDF , 299kb) 

Lunch 12:30-13.30
ARRC Foyer

Financial Econometrics: Realised Volatility
Chair: Mike Wickens

13:30-14.15 Andrew J. Patton (LSE)
"Data-Based Ranking of Realised Volatility Estimators" Abstract (PDF , 64kb)

14:15-15:00 Marcelo Fernandes (Queen Mary, London ) with Valentina Corradi and Walter Distaso
"International Market Links and Realized Volatility Transmission" Abstract (PDF , 61kb)

15:00-15:45 Peter Phillips (Yale, York) and Jun Yu
"Realized Volatility with Flat Price Trading" Paper (PDF , 271kb)

Tea 15:45-16:15
Staff Room

Mathematical Finance - Options Pricing
Chair: Tomasz Zaskawniak

16:15-17:00 Peter Klein (Simon Fraser) with Jun (James) Yang (Simon Fraser)
"Pricing Vulnerable American Options" Paper (PDF , 175kb) 

17:00-17:45 Jacco Thijssen (Mathematics Department, York )
"Non-Exclusive Real Options and the Principle of Rent-Equalisation" Abstract (PDF , 60kb)

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

Tuesday 29th May

Coffee 9:00-9.30
B Henry's Cafe

Financial Econometrics:
Chair: Richard Baillie

9:30-10:15 Ryan J. Davies (Babson College, Massachusetts) and Sang Soo Kim (Korea Development Bank)
"Using Matched Samples to Test for Differences in Trade Execution Costs" Paper (PDF , 384kb)

10:15-11:00 Alessio Sancetta ( Cambridge )
"The Universality of Bayesian Predictions" Paper (PDF , 331kb)

11:00-11:45 Jose Olmo (City University, London) with Juan Carlos Escanciano (Indiana)
"Estimation Risk Effects on Backtesting for Parametric Value-at-Risk Models" Paper (PDF , 477kb) 

Lunch 12:00-13.00
ARRC Foyer

Econometrics: Long Memory
Chair: Peter Phillips

13:00-13:45 Liudas Giraitis (Queen Mary, London ) with Karim Abadir and Walter Distaso
"Two Estimators of the Long-Run Variance: Beyond Short Memory" Abstract (PDF , 69kb) 

13:45-14:30 Richard Baillie (Queen Mary, London) with George Kapetanios
"Non-linear Models with Strongly Dependent Processes" Paper (PDF , 316kb)

Entrance to the Seebohm Rowntree Building