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Tuesday, 08/03/2010
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Seasonal Volatility Models
Ankit Doshi, University of Manitoba; Julieta Frank, University of Manitoba; Aerambamoorthy Thavaneswaran, University of Manitoba
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Wednesday, 08/04/2010
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WITHDRAWN: ARCH Models Application on Istanbul Stock Market Data
Atilla Aslanargun, Anadolu University; Berna Yazici, Anadolu University; Betül Kan, Anadolu University; Zeynep Ozgun, Anadolu University
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Empirical Study of Intra-Day Stock Return Volatility
Jian Su, University of Illinois at Chicago; Lan Zhang, Oxford-Man Institute of Quantitative Finance; Hsing-Chien Kao, University of Illinois at Chicago; Heshan Liu, Mayo Clinic
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What Does Realized Volatility Tell Us About Macroeconomic Fluctuations?
Zeynep Senyuz, University of New Hampshire; Marcelle Chauvet, University of California, Riverside; Emre Yoldas, Bentley University
10:50 AM
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Thursday, 08/05/2010
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Realized Volatility When Sampling Times Can Be Endogenous
Yingying Li, Hong Kong University of Science and Technology ; Per Mykland, The University of Chicago; Eric Renault, The University of North Carolina at Chapel Hill; Lan Zhang, University of Illinois at Chicago; Xinghua Zheng, Hong Kong University of Science and Technology
8:35 AM
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Localized Realized Volatility Modeling
Ying Chen, National University of Singapore; Wolfgang Haerdle, Humboldt University in Berlin; Uta Pigorsch, Universitaet Mannheim
9:00 AM
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Quasi-Maximum Likelihood Estimation of Volatility with High-Frequency Data
Dacheng Xiu, Princeton University
9:25 AM
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Studying the Leverage Effect Based on High-Frequency Data
Yacine Ait-Sahalia, Princeton University; Jianqing Fan, Princeton University; Yingying Li, Hong Kong University of Science and Technology
9:50 AM
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