The session will meet in Conference Room A in Stanford Institute for Economic Policy Research located in Landau Economics Building.

Here is the map to the building.

 

Monday, June 22, 2009

8.30 - 9.00 Breakfast

9.00 - 9.45 Realizing the Future: Forecasting Volatility with HEAVY Models and their Performance in Times of Crisis presented by Kevin Sheppard and Neil Shephard, both University of Oxford.

9.45 - 10.30 Realized Factor Models for Vast Dimensional Covariance Estimation presented by Martin Martens, Erasmus University and Robeco, both Rotterdam and co-authored by Roel Oomen, Deutche Bank; Karim Bannouh and Dick van Dijk both Erasmus University, Rotterdam.

10.30 - 11.00 Coffee

11.00 - 11.45 Integrated Variance Forecasting: Model-Based vs. Reduced-Form presented by Natalia Sizova, Duke University.

11.45 - 12.30 Forecasting Realized Volatility Using a Nonnegative Semiparametric Model presented by Jun Yu, Singapore Management University and co-authored by Daniel Preve, Singapore Management University and Anders Eriksson, University of Uppsala.

12.30 - 2.00 Lunchtime discussion

2.00 - 2:45 A Framework for Assessing the Systemic Risk of Major Financial Institutions presented by Xin Huang, University of Oklahoma and co-authored by Hao Zhou, Federal Reserve Board and Haibin Zhu, Bank for International Settlements.

2.45 - 3.30 The Real Time Effect of Crude Oil Inventory Announcements on Crude Oil Futures Return and Volatility presented by Albert Zhuo Huang, Stanford University.

3.30 - 4.00 Coffee

4.00 - 4.45 Intraday Volatility Responses to Monetary Policy Events presented by Allan Zebedee, Clarkson College and co-authored with Asger Lunde, School of Business, Aarhus University.

4.45 - 5.30 Risk Premia in the 8:30 Economy presented by Jonathan Wright, Johns Hopkins University and co-authored with Jon Faust also Johns Hopkins University.

7.00 Recap of day's events at dinner at NOLA Restaurant

 

 

Tuesday, June 23, 2009

8.30 Breakfast

9.00 - 9.45 Disentangling Commonness and Idiosyncrasy for a Large Panel of Volatilities. A Seminonparametric Vector MEM presented by David Veredas, ECARES and co-authored by Matteo Barigozzi, ECARES, Free University of Brussels; Christian T. Brownlees, Stern Business School, New York University and Giampiero M. Gallo, University of Florence.

9.45-10.30 Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market presented by Clara Vega, Federal Reserve Bank, Board of Directors and co-authored with Alain Chaboud, Benjamin Chiquoine and Erik Hjalmarsson, also Federal Reserve Bank, Board of Directors.

10.30 - 11.00 Coffee

11.00 - 11.45 Subsampling High Frequency Data presented by Ilze Kalnina, London School of Economics.

11.45 - 12.30 Tails, Fears and Risk Premia presented by Viktor Todorov, Northwestern University and Tim Bollerslev, Duke University.

12.30 - 2.00 Lunchtime discussion

2.00 - 2.45 Volatility Determinants: Heterogeneity, Leverage and Jumps presented by Fulvio Corsi, University of Lugano and Roberto Reno, Universita di Siena.

2.45 - 3.30 Dissecting the Market Pricing of Return Volatility presented by Torben Andersen, Northwestern University and co-authored with Oleg Bondarenko, University of Illinois-Chicago.

3.30 - 4.00 Coffee

4.00 - 4.45 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies presented by George Tauchen, Duke University and co-authored with Tim Bollerslev and Natalia Sizova, also Duke University.