Call for Papers
Non- and Semiparametric Volatility and Correlation Models
- Economic Sources of Volatility, Risk Decomposition and Financial Crises
to be held from 24 to 26 July 2014 at the University of Paderborn, Germany
The workshop aims to summarize the development and application of non- and semiparametric volatility and correlation models in the last decade and to provide a forum for researchers in this sub-area of financial econometrics to exchange their current results and discuss the frontiers of future research. The main purposes are for instance to discuss interactions between economics and financial markets, to analyze the effects of financial crises as well as to improve the measurement of systemic risk by means of semiparametric approaches.
Possible topics 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 measurement of systemic risk
Submission of contributions
Contributions are warmly welcomed. An extended abstract of no longer than two pages should be submitted. The online submission system is open since April 2014. The deadline for submitting the abstract of a contributed talk is May 31, 2014. Proposals for organized sessions each with three or four speakers for a total of 90 minutes are also highly encouraged. Please submit your proposal of an organized session per e-mail to the local organizing committee (Loc.NSVCM@uni-paderborn.de) . If it is necessary, an early confirmation of acceptance of a contributed talk is possible.
Publication
The abstract written in LaTex with a maximal length of two pages should be submitted. The abstracts will be published in a Book of Abstracts of the workshop. Full papers of selected contributions will be published in an edited volume by a well known publisher. The deadline for submitting full papers will be announced later. You can also submit the full paper along with a separate extended abstract.
