JAE Conference

Papers will not be distributed during the conference. Please, download and print the papers, as you like. Thursday - June 2, 2005
8.30	Registration
9.00 - 9.15	Welcome and Opening Remarks
9.15 - 10.45	Session I Chairman: Tim Bollerslev (Duke University)
The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH, Carol Alexander (The University of Reading) and Emese Lazar (The University of Reading) A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks, Joshua V. Rosenberg (Federal Reserve Bank of New York) and Til Schuermann (Federal Reserve Bank of New York) Real-time Monitoring of International Bank Insolvency Risk, Elena Andreou (University of Cyprus), Söhnke M. Bartram (Lancaster University) and Eric Ghysels (University of North Carolina at Chapel Hill and CIRANO, Montreal)
10.45 - 11.15	Coffee break
11.15 - 13.00	Session II Chairman: Herman K. van Dijk (Erasmus University Rotterdam)
*Invited talk:* The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes, Robert F. Engle (New York University) and J. Gonzalo Rangel (University of California, San Diego) Spatial Effects in Multivariate ARCH, Massimiliano Caporin (Università Ca’ Foscari Venezia) and Paolo Paruolo (Università dell’Insubria) Bivariate Generalizations of the ACD Models, Rocco Mosconi (Politecnico di Milano) and Filippo Olivetti (Politecnico di Milano)
13.00 - 14.00	Lunch
14.00 - 15.00	Coffee and Poster Session 1
15.00 - 16.00	Session III Chairman: Hashem M. Pesaran (University of Cambridge)
*JAE Lecture:* Compound Markov Normal Mixture Models, John F. Geweke (University of Iowa)
16.00 - 16.30	Coffee break
16.30 - 18.00	Session IV Chairman: John Rust (University of Maryland)
Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns, Federico Nardari (Arizona State University) and John T. Scruggs (University of Georgia) Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities, Tim Bollerslev (Duke University), Michael Gibson (Federal Reserve Board, Washington DC) and Hao Zhou (Federal Reserve Board, Washington DC) Predicting Volatility Conditional Confidence Intervals via Realized Measures, Valentina Corradi (University of London), Walter Distaso (University of Exeter) and Norman R. Swanson (Rutgers University)
20.00	Social Dinner at the Boscolo Hotel Dei Dogi
Friday - June 3, 2005
9.00 - 10.30	Session V Chairman: Monica Billio (University of Venice)
Indirect Robust Estimation of the Short-term Interest Rate Process, Veronika Czellar (University of Geneva), Andrew G. Karolyi (Ohio State University) and Elvezio Ronchetti (University of Geneva) Finite Sample and Optimal Adaptive Inference in Possibly Nonstationary General Volatility Models with Gaussian and Heavy-tailed Errors, Jean-Marie Dufour (Université de Montreal) and Emma M. Iglesias (Michigan State University) Switching VARMA Term Structure Models, Alain Monfort (CNAM-Laboratoire CEDRIC and CREST, Paris) and Fulvio Pegoraro (Université Paris-Dauphine and CREST, Paris)
10.30 - 11.00	Coffee break
11.00 - 13.00	Session VI Chairman: Domenico Sartore (University of Venice)
The Euro and European Financial Market Integration, Söhnke M. Bartram (Lancaster University), Stephen J. Taylor (Lancaster University) and Yaw-Huei Wang (National Central University, Taiwan) The Euro Introduction and Non-Euro Currencies, Dick van Dijk (Erasmus University Rotterdam), Haris Munandar (Erasmus University Rotterdam) and Christian M. Hafner (Erasmus University Rotterdam) Portfolio Implications of Systemic Crises, Erik Kole (Erasmus University Rotterdam), Kees Koedijk (Erasmus University Rotterdam) and Marno Verbeek (Erasmus University Rotterdam) International Dynamic Risk Sharing, Giuseppe Cavaliere (Università di Bologna), Luca Fanelli (Università di Bologna) and Attilio Gardini (Università di Bologna)
13.00 - 14.00	Lunch
14.00 - 15.00	Coffee and Poster Session 2
15.00 - 16.30	Session VII Chairman: James G. MacKinnon (Queen's University Kingston)
*JAE Lecture:* Bayesian Financial Decision-Making, John F. Geweke (University of Iowa)
16.30 - 17.00	Coffee break
17.00 - 18.00	Session VIII Chairman: Badi H. Baltagi (Texas A&M University)

Detecting and Predicting Forecast Breakdowns, Raffaella Giacomini (University of California, Los Angeles) and Barbara Rossi (Duke University)

Pooling of Forecasts: Two Shorter Papers, Kenneth F. Wallis (University of Warwick)

18.00

End of the Conference



	Italian research project *Econometric Models for the Analysis of Financial Markets* finaced by MIUR