8a5 -- Recent Development in Financial Econometrics


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)
1:30 p.m. Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility,
Rene Garcia (University Of Montreal, Canada)
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)
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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