This workshop presents some of the latest methodological developments in continuous-time financial econometrics.
programme
12:30 Sandwiches
1:00 – 2:00 Yacine Ait-Sahalia (Princeton): “Estimating the degree of activity of jumps in high frequency financial data”
2:00 – 3:00 Valentina Corradi (Warwick): “Macroeconomic Determinants of Stock Market Volatility and Volatility Risk Premia”
3:00 – 3:30 Refreshments
3:30 – 4:30 Cecilia Mancini (Florence): “Identifying the Convariation between the Diffusion Parts and the Co-jumps given Discrete Observations”
4:30 – 5:30 Nour Meddahi (Tanaka Business School, Imperial College London): “Bootstrapping Realized Multivariate Volatility Measures”