Computational Econometrics and Financial Time Series

The track concerns with methodological and computational aspects of econometrics. Empirical aspects of analysing financial time series are also addressed.

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 asset valuations over time with emphases on option pricing, volatility measurement, and modelling market microstructure effects. Apart from theoretical developments, financial time series analyses also have a high empirical content. 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.

Co-Chairs:

Alessandra Amendola, University of Salerno, Italy. E-mail: Send
Ana-Maria Fuertes, City University, UK E-mail: Send
Marc Paolella, University of Zurich, Switzerland. E-mail: Send
Herman K. Van Dijk, Erasmus University Rotterdam, The Netherlands. E-mail: Send

Members:

1. Josu Arteche, University of the Basque Country, Spain.
2. Francesco Audrino, University of Lugano, Switzerland.
3. Giovanni Barone Adesi, University of Lugano, Switzerland.
4. Nalan Basturk, Erasmus University Rotterdam, The Netherlands.
5. Luc Bauwens, UCL/CORE, Belgium.
6. Monica Billio, University of Venice, Italy.
7. Giorgio Calzolari, University of Florence, Italy.
8. Kai Carstensen, University of Munich, Germany.
9. Roberto Casarin, University of Venice, Italy.
10. Andrea Cipollini, University of Essex, UK.
11. Jerry Coakley, University of Essex, UK.
12. Petros Dellaportas, Athens University, Greece.
13. Giovanni De Luca, University of Naples Parthenope, Italy.
14. Jurgen Doornik, Nuffield College, Oxford, UK.
15. Christian Francq, University Lille III, France.
16. Sylvia Fruhwirth-Schnatter, Johannes Keppler University, Austria.
17. Giampiero Gallo, University of Florence, Italy.
18. Markus Haas, University of Munich, Germany
19. Christian Hafner, UCL/CORE, Belgium.
20. Lennart Hoogerheide, Erasmus University Rotterdam, The Netherlands.
21. James Huang, Lancaster University, UK.
22. Marwan Izzeldin, Lancaster University Management School, UK.
23. Robert C. Jung, Eberhard-Karls University at Tuebingen, Germany.
24. Elena Kalotychou, Cass Business School City University, London, UK
25. Neil Kellard, University of Essex, UK.
26. Siem Jan Koopman, VU Amsterdam, The Netherlands.
27. Michele La Rocca, University of Salerno, Italy.
28. Roberto Leon-Gonzalez, University of Leicester, UK.
29. Jose Juan Lopez-Espin, Universidad Miguel Hernandez de Elche, Spain
30. Oscar Martinez, Universitat Rovira i Virgili, Spain.
31. David McMillan, University of St. Andrews, UK.
32. Stefan Mittnik, University of Munich, Germany.
33. Anthony Murphy, Nuffield College & Oxford University, UK.
34. Marcella Niglio, University of Salerno, Italy.
35. Jose Olmo, City University, London, UK.
36. Marius Ooms, VU Amsterdam, The Netherlands.
37. Richard Paap, Erasmus University Rotterdam, The Netherlands.
38. Marc Paolella, University of Zurich, Switzerland.
39. Paolo Paruolo, University of Insubria, Italy.
40. Cira Perna, University of Salerno, Italy.
41. Giuseppe Storti, University of Salerno, Italy.
42. Herman K. Van Dijk, Erasmus University Rotterdam, The Netherlands
43. Carlos Velasco, Universidad Carlos III de Madrid, Spain.
44. Jean Michel Zakoian, University Lille III, France.

Created by Computing & Statistics 2007