5th International Institute of Forecasters’ Workshop
on the Predictability of Financial Markets
Lisbon, 16/17 January 2009
Co-organized: Cemapre, Lisbon, and I.I.F.
PROGRAM
Richard Baillie (University of Michigan State)
Rohit Deo (Stern School of Business, New York University) “Predictive regressions in Finance: It’s the intercept, not the autocorrelation!”
Frank Diebold (Wharton School, Pennsylvania University), “Predictive directional measurement of financial market spillovers”
Gloria González (University of California, Riverside), “Dynamic specification in multivariate volatility models”
Clive Granger (University of California, San Diego). “Predictability of financial markets in theory and practice”
Andrew Harvey (Cambridge University), “Dynamic distribution and changing copulas”.
Daniel Peña (Universidad Carlos III de Madrid), “Independent component analysis for financial data”
Stephen Taylor (Lancaster University), “A multi-horizon comparison of density forecasters for the S&P 500 using index returns and option prices”
Luis Viceira (Harvard Business School), “Bond risk, bond return volatility and the term structure of interest rates”
Discussants: M. Angeles Carnero (Universidad de Alicante), Ana Pérez (Universidad de Valladolid), Pilar Poncela (Universidad Autónoma de Madrid), , João Nicolau (ISEG), Paulo Rodrigues (Banco de Portugal and Universidade Nova de Lisboa), Raquel M. Gaspar (ISEG), Antonio García-Ferrer (Universidad Autónoma de Madrid), Andreas Heinen (Universidad Carlos III de Madrid)
Site Information
The workshop will be held at Institute for Economics and Management, ISEG, Lisbon Technical University
Address: Rua do Quelhas, 6; 1200-781 Lisboa, Portugal
Phone: + 351 21 392 58 76
Fax: + 351 21 392 27 82
http://cemapre.iseg.utl.pt/events/pfm2009/
Attendance
Those interested in attending the workshop should register by sending an e-mail to Vera Lameiras, to the address [log in to unmask]
A registration fee of 100€ (50€ for students) will be charged to the attendees.
For travelling and accommodation details consult the website http://cemapre.iseg.utl.pt
Organizing Committee
Esther Ruiz, Universidad Carlos III de Madrid, [log in to unmask]
Nuno Crato, Cemapre, Institute for Economics and Management, ncrato@ iseg.utl.pt
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