SECOND ANNOUNCEMENT
2nd International Workshop on
Computational and Financial Econometrics (CFE'08)
19-21 June 2008, Neuchâtel, Switzerland
URL: http://www.dcs.bbk.ac.uk/cfe08/
Organized in co-operation with the
"International Association for Statistical Computing (IASC)",
"Society for Computational Economics" and
ERCIM Working Group on "Computing & Statistics"
Main sponsor:
Journal of "Computational Statistics & Data Analysis", Elsevier.
(The Official Journal of the IASC)
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.
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 workshop 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 peer-reviewed special issue of the journal
Computational Statistics & Data Analysis.
Keynote Speakers:
o Oliver Linton, London School of Economics and Political Science, UK
o Herman Van Dijk, Erasmus University Rotterdam, The Netherlands
Co-Chairs:
A. Amendola, D. Belsley, E.J. Kontoghiorghes and M. Paolella
International Program Committee: G. Barone-Adesi (CH), L. Bauwens
(BE), M. Binder (GE), S. Boyarchenko (NL), C. Chen (TW), J. Coakley
(UK), C. Croux (BE), R. Davidson (CA), I. Demetriou (GR), K. Fokianos
(CY), P. Foschi (IT), C. Francq (FR), A.-M. Fuertes (UK), G. Gallo
(IT), M. Gilli (CH), Z. Hlavka (CZ), M. Juillard (FR), G. Kapetanios
(UK), D. Kuhn (UK), L. Khalaf (CA), C. Kleiber (CH), O. Linton (UK),
A. Luati (IT), T. Lux (GE), J. MacKinnon (CA), D. Maringer (UK),
S. Mittnik (GE), I. Moustaki (GR), Y. Omori (JP), M. Ooms (NL),
S. Paterlini (IT), D.S.G. Pollock (UK), Z. Psaradakis (UK),
T. Proietti (IT), M. Riani (IT), E. Ruiz (ES), B. Rustem (UK),
W. Semmler (GE), M. Schroeder (GE), O. Scaillet (CH), S. Siokos (UK),
G. Storti (IT), H.K. Van Dijk (NL), M. Wagner (AT), J. Walde (AT),
P. Winker (GE), A. Zeileis (AT), Z. Zhang (USA), M. Wolf (CH).
Important dates:
Submission of 1-page abstracts: 30 April 2008
Notification of decision: 7 May 2008
Workshop: 19-21 June 2008
Submission of full papers: 30 July 2008
Notification of decision: 15 November 2008
Final papers: 30 January 2009
Single page plain text abstracts should be submitted electronically
before the deadline. (http://www.dcs.bbk.ac.uk/cfe08)
For further information please contact: [log in to unmask]
The workshop will take place jointly with the ERCIM working Group
meeting on Computing & Statistics (http://www.dcs.bbk.ac.uk/ercim08).
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