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8a5 -- Recent Development in Financial Econometrics |
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| July 8 (Monday), 1:00 -- 3:00 p.m., IM 1st FL, Conference RM | ||
| Organizer: Ruey S. Tsay (University of Chicago, U.S.A.) | ||
| Chair: George C. Tiao (University of Chicago, U.S.A.) | ||
| 1:00 p.m. | A Stochastic Intensity Model for Option Pricing, Cheng-Der Fuh (Academia Sinica, Taiwan, R.O.C.; Co-author: S. G. Kou and H. Wang) |
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| 1:30 p.m. | Estimation of Objective and
Risk-Neutral Distributions based on Moments of Integrated Volatility, Rene Garcia (University Of Montreal, Canada) |
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| 2:00 p.m. | Risk-neutral Kurtosis, Jumps, and
Option Pricing: Evidence from 100 Most Actively Traded Firms on the
CBOE, Charles Cao (Pennsylvania State University, U.S.A.; Co-author: G. Bakshi) |
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| 2:30 p.m. | Wavelet Analysis of Intraday
Periodicity in Financial Returns Volatility, Shinn-Juh Lin (National Tsing Hua University, Taiwan, R.O.C.) |
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