Purpose
The study of semiparametric volatility and correlation models is a very quickly developing area of financial econometrics since about one decade. There is a broad variety of such models, which extend well known parametric models in different ways. The purpose of those models is to capture nonstationarity and possible structural breaks in volatility and correlation, for example, or to allow the use of nonparametric conditional distributions, which can be applied to model slowly changing volatility and correlation components. Furthermore, the influence of the economic environment and financial crises on the volatility and correlation can be modeled by this class of models or financial risk can be decomposed into different components caused by different factors.
This workshop aims to summarize the development and application of non- and semiparametric volatility and correlation models in the last decade, to provide a forum for researchers to exchange their current results and discuss the frontiers of future research in this sub-area of financial econometrics. It should also provide a platform for young researchers to present their own research results and to learn about the state of the art in this context.
Topics covered include, but are not limited to
- Long-term dynamics and economic sources of volatility
- Long-term dynamics and economic sources of correlations
- Regime switching and semiparametric stochastic volatility models
- Structural breaks in volatility and financial crises
- Semiparametric modeling of high-frequency and related data
- Non- and semiparametric quantile regression for modeling volatility and correlations
- Application to quantitative risk management and measuring systemic risk
Keynote Speakers
Luc Bauwens, Jan Beran, Wolfgang Härdle, Oliver Linton, Timo Teräsvirta
A special invited Lecture:
Peter M. Robinson
Final Version of the Programme: PROGRAMME
Book of Abstract: BOOK OF ABSTRACT
Submissions
For further information
Tel: +49 (0) 52 51 60 5002 (german)
Tel: +49 (0) 52 51 60 3412 (english)
E-Mail: info.nsvcm@uni-paderborn.de