Computational and Financial Econometrics (CFE'09)

Computational and financial econometrics have been of interest for a wide variety of researchers in economics, finance, statistics, mathematics and computing. Financial time series analyses focus on efficient and robust portfolio allocation over time, asset valuations with emphases on option pricing, volatility measurement, modelling market microstructure effects and credit risk. Apart from theoretical developments, financial time series analyses also have a high empirical content measuring risk and return. The computational aspects of such analyses are of crucial importance since one typically deals with high-dimensional problems and large numbers of observations. Existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. Furthermore, environments for conducting econometrics are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development.

The CSDA has published several special issues on Computational and Financial Econometrics that have addressed computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, specific applications involving computing and econometrics, and data analytic methods in finance. These special issues indicate the importance of computing in econometrics and highlight research opportunities that exist in this discipline.

This conference invites presentations that contain computational or financial econometric components. The organization of sessions and minisymposia are encouraged.

Publication: Papers containing strong computational statistical or econometric components or substantive data-analytic elements will be considered for publication in a special peer-reviewed, or regular, issue of the journal Computational Statistics & Data Analysis.

Co-Chairs: G. Gallo, E.J. Kontoghiorghes, Y. Omori, H. Van Dijk

Special Issue Editors: D. Belsley, C. Francq, C.W.S. Chen, G. Gallo, E.J. Kontoghiorghes, H.K. Van Dijk

Keynote Speakers: Christophe Croux (BE), Siem Jan Koopman (NL) and Neil Shephard (UK).

Scientific Programme Committee Members:
A. Amendola (IT), G. Barone-Adesi (CH), L. Bauwens (BE), D. Belsley (US), M. Billio (IT), C. Chen (TW), J. Coakley (UK), J. Davidson (UK), I. Demetriou (GR), C. de Peretti (FR), K. Fokianos (CY), P. Foschi (IT), C. Francq (FR), A.-M. Fuertes (UK), M. Gilli (CH), Z. Hlavka (CZ), G. Kapetanios (UK), L. Khalaf (CA), J.F. Kiviet (NL), C. Kleiber (CH), D. Kuhn (UK), O. Linton (UK), A. Luati (IT), T. Lux (DE), D. Maringer (CH), A. Michaelides (UK), S. Mittnik (DE), M. Ooms (NL), M. Paolella (CH), A. Patton (UK), D.S.G. Pollock (UK), T. Proietti (IT), M. Reale (NZ), M. Riani (IT), E. Ruiz (ES), B. Rustem (UK), O. Scaillet (CH), M. Schroeder (DE), W. Semmler (US), K. Sheppard (UK), M. So (HK), G. Storti (IT), D. Veredas (BE), M. Wagner (AT), P. Winker (DE), M. Wolf (CH), P.L.H. Yu (HK), P. Zadrozny (US), A. Zeileis (AT).

Important dates:

Single page abstracts should be submitted online by the deadline (Submit an abstract).