The Second T.N. Thiele Symposium on Financial Econometrics

Programme:


Thursday, October 17


10:15 - 10:30
 Opening of the Symposium.
10:30 - 11:15
 Greg Duffee (Berkeley): Do forecasts of stock returns also forecast covariances?
11:15 - 12:00
 Tom Engsted (Aarhus): The comovement of US and UK stock markets
12:00 - 13:30
 Lunch
13:30 - 14:15

 Jesper Lund (Copenhagen): Revisiting the Shape of the Yield Curve:
The Effect of Interest Rate Volatility
14:15 - 15:00
 Yacine Ait-Sahalia (Princeton): Closed form likelihood expansions for multivariate diffusions
15:00 - 15:30
 Coffee break
15:30 - 16:15
Neil Shephard (Oxford): Jumps and power variation
16:15 - 17:00
 Catherine Laredo (Paris): Likelihood and related methods for stochastic volatility models


Friday, October 18


9:15 - 10:00
 Joost Driessen (Amsterdam): Is Default Event Risk Priced in Corporate Bonds?
10:00 - 10:45
 Patrick Houweling (Rotterdam): An Empirical Comparison of Default Swap Pricing Models
10:45 - 11:15
 Coffee break
11:15 - 12:00
 Joel Reneby (Stockholm): The Valuation of Corporate Liabilities: Theory and Test
12:00 - 13:30
 Lunch
13:30 - 14:15
 Casper G. de Vries (Rotterdam): Auctions with Numerous Bidders
14:15 - 15:00
 Catalin Starica (Gothenburg): A non-stationary multivariate model for financial returns
15:00 - 15:30
 Coffee break
15:30 - 16:15
Anders Rahbek (Copenhagen): The Autoregressive Conditional Root Model