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The Society for Financial Econometrics; The Center for Research in Econometric Analysis of Time Series (CREATES) at Aarhus University

Dates:
October 15-16, 2010
Description:
Joint Conference in Denmark "Measuring and Predicting Risk from Financial High-Frequency Data" - The Society for Financial Econometrics and the Center for Research in Econometric Analysis of Time Series
Location:
Aarhus, University of Aarhus, Denmark
Subject:
The conference aims to shed new light on the uses of high frequency financial data in improved risk measurement, management, and asset pricing, including ways in which to distill large intraday data bases into manageable information structures. Examples of studies that fall within the scope of the conference include, but are not limited to: realized volatility measures and their uses in characterizing the dynamic dependencies in asset returns; multivariate volatility measures and risk measurements; quantile and VaR predictions and extreme value extrapolations; high-frequency Monte Carlo and historical simulation techniques; risk and volatility model evaluation procedures. [gem?_?? den Informationen des Anbieters - according to site editor's information]
Notes:
JEL Code:
G
Sponsor:
URL:
http://sofie.stern.nyu.edu/creates

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