Conference on Volatility and High Frequency Data | April 21-22, 2007

The past ten years have seen enormous developments in measuring volatility of financial instruments. On the econometric side, increased use of sophisticated statistical and probabilistic techniques now permit the transformation of high frequency trading data into increasingly reliable estimates of volatility and related quantities. At the same time, methods for studying implied volatility from derivatives data have made great progress. This conference brings together some of the world's leading scholars to further push the boundaries of our understanding of this field

 

CONFERENCE SITE

Intercontinental Hotel
505 North Michigan Avenue
Chicago IL 60611, USA
Tel: +1 312 944 4100
Fax: +1 312 944 1320
E-mail: chicago@interconti.com

Transportation/Map

 

INVITED SPEAKERS

  • Yacine Ait-Sahalia, Department of Economics, Princeton University
  • Torben Andersen, Finance department, Northwestern University
  • Federico Bandi, Graduate School of Business, University of Chicago
  • Luca Benzoni, Federal Reserve Bank, Chicago, and Finance Department, Carlson School of Management, University of Minnesota
  • Henri Berestycki, Ecole des Hautes Etudes en Sciences Sociales, Paris
  • Tim Bollerslev, Department of Economics, Duke University
  • Oleg Bondarenko, Department of Finance, University of Illinois at Chicago
  • Peter Carr, Mathematics Department, New York University
  • Ying Chen, Weierstrass-Institute
  • Dobrislav Dobrev, Finance department, Northwestern University
  • Robert Engle, Department of Finance, New York University
  • Rene Garcia, CIREQ / Département de sciences économiques, Université de Montréal
  • Giampiero M. Gallo, Dipartimento di Statistica "G.Parenti", Università di Firenze
  • Sandy Grossman, Quantitative Financial Strategies, Inc
  • Eric Ghysels, Department of Economics, University of North Carolina - Chapel Hill    
  • Jan Hannig, Department of Statistics, Colorado State University
  • Roger Lee, Department of Mathematics, University of Chicago
  • Suzanne Lee, College of Management, Georgia Institute of Technology
  • Yingying Li, Department of Statistics, University of Chicago
  • Oliver Linton, Department of Economics,University of London
  • Jean Jacod, Laboratoire de Probabilités, Université Paris
  • Nour Meddahi, Business School, Imperial College London
  • Per Mykland, Department of Statistics, University of Chicago
  • Eric Renault, Department of Economics, University of North Carolina - Chapel Hill
  • Roberto Reno, Department of Political Economics, University of Siena
  • Neil Shephard, Department of Economics, University of Oxford
  • Michael Sorensen, Department of Applied Mathematics and Statistics, University of Copenhagen
  • Yixiao Sun, Department of Economics, University of California, San Diego
  • George Tauchen, Department of Economics, Duke University
  • Yong Zeng, Department of Mathematics and Statistics, University of Missouri, Kansas City
  • Lan Zhang, Department of Finance, University of Illinois at Chicago

 

The Stevanovich Center is supported by the generous philanthropy of University of Chicago Trustee Steve G. Stevanovich, AB '85, MBA '90.