3rd International Conference on
Computational and Financial Econometrics (CFE'09)
29-31 October 2009, Grand Resort Hotel, Limassol, Cyprus
Organized in co-operation with the
"International Association for Statistical Computing (IASC)",
"Society for Computational Economics" and
ERCIM Working Group on "Computing & Statistics"
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
efficient and robust portfolio allocation over time, asset valuations
with emphases on option pricing, volatility measurement, modelling
market microstructure effects and credit risk. Apart from theoretical
developments, financial time series analyses also have a high
empirical content measuring risk and return. 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 conference invites presentations that contain computational or
financial econometric components. The organization of sessions and
minisymposia are encouraged.
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.
o Christophe Croux, K.U. Leuven, Belgium.
o Siem Jan Koopman, VU University Amsterdam, The Netherlands.
o Neil Shephard, Oxford University, UK.
G. Gallo, E.J. Kontoghiorghes, Y. Omori, H. Van Dijk
Special Issue Editors:
D. Belsley, C. Francq, C.W.S. Chen, G. Gallo.
International Program Committee:
A. Amendola (IT), G. Barone-Adesi (CH), L. Bauwens (BE), D. Belsley
(US), M. Billio (IT), C. Chen (TW), J. Coakley (UK), J. Davidson (UK),
I. Demetriou (GR), C. de Peretti (FR), K. Fokianos (CY), P. Foschi
(IT), C. Francq (FR), A.-M. Fuertes (UK), M. Gilli (CH), Z. Hlavka
(CZ), G. Kapetanios (UK), L. Khalaf (CA), J.F. Kiviet (NL), C. Kleiber
(CH), D. Kuhn (UK), O. Linton (UK), A. Luati (IT), T. Lux (DE),
D. Maringer (CH), A. Michaelides (UK), S. Mittnik (DE), M. Ooms (NL),
M. Paolella (CH), A. Patton (UK), D.S.G. Pollock (UK), T. Proietti
(IT), M. Reale (NZ), M. Riani (IT), E. Ruiz (ES), B. Rustem (UK),
O. Scaillet (CH), M. Schroeder (DE), W. Semmler (US), K. Sheppard
(UK), M. So (HK), G. Storti (IT), D. Veredas (BE), M. Wagner (AT),
P. Winker (DE), M. Wolf (CH), P.L.H. Yu (HK), P. Zadrozny (US),
A. Zeileis (AT).
Submission of 1-page abstracts: 1 June 2009
Acceptance decision: 30 June 2009
Tutorial: 27-28 October 2009
Conference: 29-31 October 2009
Submission of full papers: 15 December 2009
Notification of decision: 30 March 2010
Final papers: 30 June 2010
Single page plain text abstracts should be submitted electronically
before the deadline. (http://www.dcs.bbk.ac.uk/cfe09)
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/ercim09).