Non- and Semiparametric Volatility and Correlation Models

- Economic Sources of Volatility, Risk Decomposition and Financial Crises

  • 30. April 2014
    Deadline for submitting organized sessions
  • 31. May 2014
    Deadline for submitting contributed talks
  • 24. - 26. July 2014
    The workshop


Opening Lecture:

Wolfgang Härdle, Humboldt University of Berlin
Title: TEDAS – Tail Event Driven Asset Allocation

Closing Lecture:

Oliver Linton, Cambridge University
Title: Multivariate Variance Ratio Statistics

Keynote talks:

Luc Bauwens, Université catholique de Louvain
Title: Long Term Component Dynamics Models for Realized Covariance Matrices

Jan Beran, University of Konstanz
Title: On Estimation of Cross-Sectional Dependence for Strongly Dependent Time Series

Timo Terävirsta, Aarhus University
Title: Specification and Testing of Multiplicative Time-Varying GARCH Models with Applications

A special invited Lecture:

Peter M. Robinson, London School of Economics and Political Science
Title: Dependence and Nonstationarity in Time Series and Spatial Data

Final Version of the Programme: PROGRAMME

Book of Abstract: BOOK OF ABSTRACT