The Journal of Applied Econometrics, the Italian national research project on Econometric Models for the Analysis of Financial Markets, financed by the Italian Ministry of Education and GRETA, Venice, with the support of the Bank of Italy and CIdE, are happy to announce a call for papers for a conference in Venice on June 2-3, 2005 to be held in conjunction with the 2005 Journal of Applied Econometrics Annual Lectures.

The 2005 JAE Lectures will be given by Professor John F. Geweke of the University of Iowa. The JAE Lecture Series was launched in 1997 in a move to help promote applied econometrics. The series consists of two lectures delivered on consecutive days by an eminent econometrician.

The two-day conference is organized jointly by Professors Monica Billio and Domenico Sartore of the Università Ca' Foscari di Venezia and Professor Tim Bollerslev of Duke University. The organizes are happy to announce that Professor Robert F. Engle of New York University, recipient of the 2003 Nobel Prize in Economics, has agreed to participate in the conference as a keynote speaker.

The uncertainty in international and financial markets, the growing globalization, the availability of ultra-high frequency data and the design of new and increasingly sophisticated financial instruments all combine to present a host of new and challenging research questions for financial market practitioners and academic researchers alike.

The conference organizers encourage submissions of papers on any topic within this overall theme with a particular emphasis on the following areas:

	time-varying structures;
	volatility modeling;
	forecast accuracy and evaluation;
	risk sharing and financial decision making;
	simulation based approaches.

The organizes are happy to announce that Professor Robert F. Engle of New York University, recipient of the 2003 Nobel Prize in Economics, has agreed to participate in the conference as a keynote speaker.

 

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