ANNOUNCEMENT AND CALL FOR PAPERS
CONFERENCE ON MULTIVARIATE VOLATILITY MODELS
October 26th - 27th 2007, Faro, Portugal
Keynote Speaker:
Robert Engle
Stern School of Business - New York University
Co-sponsored by:
Faculty of Economics, University of Algarve
and
Oxford University Press
ORGANIZERS :
René Garcia
Departement de sciences économiques, CIRANO and CIREQ
Université de Montréal
Editor-in-chief, Journal of Financial Econometrics
Eric Ghysels
Department of Economics
University of North Carolina
Co-Editor, Journal of Financial Econometrics
Eric Renault
Department of Economics
University of North Carolina
Editor-in-chief, Journal of Financial Econometrics
Paulo M.M. Rodrigues
Faculty of Economics
University of Algarve
Conference details (http://www.ualg.pt/feua/conf/mvm/)
The scope of the conference will be to present the most recent research on
multivariate volatility modelling, including applications to risk
management, portfolio choice and betas. We welcome papers related to the
econometric and statistical modelling of large sets of assets, multivariate
series including point processes and Lévy processes, copulas, value-at-
risk, quantiles, and extremal distributions, as well as their applications
to risk assessment and management, asset pricing, portfolio management and
other financial topics of interest.
SUBMISSION OF PAPERS :
To submit a paper for presentation, please send an electronic version
before April 15, 2007 in pdf format to [log in to unmask]
Selected papers on the conference program will be invited to be part
of a special issue of the Journal of Financial Econometrics
(http://jfec.oxfordjournals.org/) to be published in 2008.
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