Humboldt-Universität zu Berlin >> Interdisziplinäre Zentren

Humboldt Logo

C.A.S.E. - Distinguished Lecture Series 2011

The Econometrics of High Frequency Financial Data

28 - 29 January 2011

Professor Olivier Scaillet

Universite de Geneve

homepage

Professor Per Mykland

University of Chicago

homepage


This interesting topic is right up-to-date, as accurate estimators of volatility become increasingly important in todays financial markets. It is therefore a great pleasure to have two specialists in this field of research, Professor Per Mykland (The University of Chicago) and Professor Olivier Scaillet (Universite de Geneve), as our invited speakers.

The Distinguished Lecture Series in 2011 is organized by C.A.S.E. (Center for Applied Statistics and Economics) and CRC 649 (Collaborative Research Center 649: Economic Risk) in cooperation with WIWEX and the event will take place on 28 and 29 January 2011 at School of Business and Economics, in the Heilig-Geist Kapelle.

Provisional Schedule

Friday, 28 January 2011 Saturday, 29 January 2011
Lecturer:
Professor Olivier Scaillet, Universite de Geneve

Multiple Testing and Factor Modelling in Finance
Lecturer:
Professor Per Mykland, University of Chicago

The Econometrics of High Frequency Financial Data
9:00 Topic #1: Multiple Testing Procedures 9:00 Topic #5: Models and Microstructure
10:30 Coffee break 10:30 Coffee break
11:00 Topic #2: Applications in Finance 11:00 Topic #6: Local Parametric Inference
12:30 Lunch 12:30 Lunch
14:00 Topic #3: Factor Modelling 14:00 Topic #7: Statistics and Options Trading
15:30 Coffee break 15:30 Coffee break
16:00 Topic #4: Applications in Finance 16:00 Topic #8: New Developments and Open Questions
afterwards Dinner

Registration

To register, please use our registration form. Note that there is no deadline for registration. We accept registrations until we have full capacity. At present there are still spaces available.

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Prof. Dr. Ostap Okhrin
Martin Schelisch, B.A.

in cooperation with



and


Humboldt - Universität zu Berlin
C.A.S.E. - Center for Applied Statistics and Economics
School of Business and Economics
Unter den Linden 6
10099 Berlin
Germany

Tel.: +49 - 30 - 2093 5721
+49 - 30 - 2093 1472
+49 - 30 - 2093 5623
Fax: +49 - 30 - 2093 5649
E-Mail: case@wiwi.hu-berlin.de

Venue

School of Business and Economics (Heilig-Geist Kapelle) (map)
Spandauer Str. 1
10178 Berlin

 

CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin
Phone: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649
E-Mail:

Last updated: 28th October 2010