The 2013 International Conference on Financial Econometrics
July 6 and 7
Center for Economic Research, Shandong University
Program
July 6, 2013
Session 1 Location: First Floor, Conference Room, Run Run Shaw Science Building
Chair: Zhijie Xiao
8:30 – 8:40AM. Welcome Remarks
Huang Shaoan, Dean, CER, Shandong University
8:40AM – 9:25AM: Keynote Speech: Torben Andersen, Northwestern University, USA, Extracting the Risk Premia Embedded in Option Panels
9:25AM – 9:55AM: Invited Speech: Jun Yu, Singapore Management University, Singapore. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
9:55 – 10:30AM. Photo-Taking and Tea Break
10:30AM – 11:00AM. Invited Speech: Yoon Jae Whang, Seoul National U, Korea. A Nonparametric Test of the Leverage Hypothesis
11:00AM – 11:30AM. Invited Speech: Hong Yongmiao, Cornell Univ. and Xiamen Univ. Predictability of asset returns over different time horizons: A nonparametric approach
11:30AM – 12:00AM. Invited Speech: Jae-Young Kim, Seoul National U, Korea，Risk Spillover Effects in International Financial Markets: Evidence from the Recent Financial Crisis
12:00AM – 12:30PM. Invited Speech: Qi Li, Texas AM Uinversity, USA, Is Hong Kong Dollar Overvalued? Evidence from Hong Kong´s Trade Prices Post Financial Crisis
Lunch: 12:30PM – 2:00AM.
Session 2 Location: First Floor, Conference Room, Run Run Shaw Science Building
Chair: Zongwu Cai
2:00PM – 2:45PM: Keynote Speech: Oliver Linton, Cambridge University, U.K. Some semiparametric models for panels of financial time series with an application to measuring the effect of fragmentation of trading on market quality
2:45PM – 3:15PM: Invited Speech: Guofu Zhou, Washington U in St. Louis and CAFR, Cross-section Asset Pricing: Asymptotic Theory and Simulations on the Fama-MacBeth Regression with a Large Number of Assets
3:15PM – 3:45PM: Keli Xu, Texas AM Uinversity, USA, Subvector Inference for Local Regression
3:45PM – 4:15PM: Zhuo Huang, Beijing University. Pricing Options with Realized Measures of Volatility: A Realized Heston Nandi Model
Tea break: 4:15PM – 4:30PM
4:30PM – 5:00PM: Ying Fang, Xiamen University. Semiparametric STAR Models with an Application to Forecasting the Effective CNY/USD Exchange Rates
5:00PM – 5:30PM: Christos Michalopoulos, National Taiwan University, Quantile Regression on Quantile Ranges
5:30PM – 6:00PM: Jin-Huei Yeh, National Central University, A Simple Approach for Testing Systematic Jumps
Dinner
July 7, 2013
Session 3 Location: First Floor, Conference Room, Run Run Shaw Science Building
Chair: Qi Li
8:30AM – 9:15AM: Keynote Speech: Xiaohong Chen, Yale University, semiparametric two-step GMM estimation and inference for weakly dependent data
9:15AM – 9:45AM: Invited Speech: Katsumi Shimotsu, University of Tokyo, Japan, Testing the number of components in finite mixture econometric models
9:45AM – 10:15AM: Invited Speech: Zongwu Cai, Kansas University, USA. Estimating Expected Shortfall via a Regression Approach
10:15AM – 10:45AM: Haitao Li/Zhaogang Song, University of Michigan/Fed, USA, Jump Tail Risk in Fixed Income Markets
Tea break: 10:45AM – 11:00AM
11:00AM – 11:30AM: Invited Speech: Lin Lu, Shandong University. Sublinear expectation linear
regression
11:30AM – 12:00AM: Ximing Wu, Texas AM Uinversity, USA, Smooth Tests of Copula Specifications
12:00AM – 12:30AM. Zaichao Du, Southwestern University of Finance and Economics. Simple Automatic Portmanteau Tests for Conditional Dynamic Models
Lunch: 12:30PM – 2:00AM.
Parallel Session 1 Location: First Floor, Conference Room, Run Run Shaw Science Building
Chair: Hongtao Zhou
2:00PM – 2:30PM: Aurobindo Ghosh, Singapore Management University, Singapore. Grades Matter in Performance: Morningstar Stewardship Grades and Mutual Fund Performance
2:30PM – 3:00PM: Jilin Wu and Hongtao Zhou, Shandong University. Nonparametric Estimation in Time-varying Mixture Copula and its Application in Financial Markets.
3:00PM – 3:30PM: Ye Chen，Singapore Management University, Singapore. Bias Reduction and Likelihood Ratio Test for Time Series Model with Intercept in Predictive Regression
3:30PM – 4:00PM: Qiang Feng，UIBE，Quantile regression for heterogeneous panel data models
Parallel Session 2 Location: Room 513, Run Run Shaw Science Building
Chair: Jinfeng Zhang
2:00PM – 2:30PM: Xuexin Wang, Xiamen University, a Joint Portmanteau Test for Conditional Mean and Variance Time Series Models
2:30PM – 3:00PM: Lu Wanbo/Ke Rui/Liang Jingwen，Southwestern University of Finance and Economics, The Moment Closed-Form Estimation for the Autoregressive Conditional Duration Model
3:00PM – 3:30PM: Ji JiangMing/Hu Wei，Shanghai JiaoTong University, Research on the Impact of Government Public Service Expenditure Disparity on Residents’ Consumption Expenditure Gap between Urban and Rural Areas in China: Theoretical Mechanism and Empirical Research
3:30PM – 4:00PM: Ning Zhang，University of Melbourne and Minzu University of China, Foreign Exchange Reserves, Monetary Policy and Inflation: an Empirical Study from China
4:00PM – 4:30PM: Chi Wei Su，OUC, Monetary Convergence in East Asian Countries Relative to China
Dinner
