Hermann Otto Hirschfeld Lecture 2007

Recent Development of Nonparametric Methods in Financial Econometrics

CASE-Logo Wiwi-gesellschaft-Logo

Jianqing Fan

Department of Operations Research and Financial Engineering
Princeton University

October 29 - 30, 2007


Wirtschaftswissenschaftliche Fakultšt
Humboldt-Universitšt zu Berlin
Spandauer Strasse 1
D-10178 Berlin


In this series of talks, we will give an overview on the recent developments of nonparametric methods that are useful for financial econometrics and risk management. These problems include derivative pricing, analysis of high-frequency data, estimation of large covariance matrices for portifolio allocation and risk management, aggregation of time-domain and state-domain information for the estimation and inferences of instantaneous returns and volatility functions, and the nonparametric specification tests. We first briefly describe the problems and then outline main techniques and main results. The techniques will be illustrated by simulation and empirical studies.

The topics to be covered are expected to include:

1. Option Pricing with Aggregation of Physical Models and Nonparametric Learning

2. Estimating Large Covariance Matrix with Applications to Portfolio Allocation and Risk Management

3. Jump and Volatility Analysis for High-Frequency Financial Data

4. Aggregation of Nonparametric Estimators for Volatility Matrix

5. Nonparametric Specifications Tests for Diffusions Models in Financial Econometrics


October 29, 2007

October 30, 2007

14:00 - 14:15
14:15 - 15:45
15:45 - 16:15
16:15 - 17:45

Official welcome
Lecture 1
Lecture 2

09:00 - 10:30
10:30 - 11:00
11:00 - 12:30
12:30 - 14:30
14:30 - 16:00

Lecture 3
Lecture 4
Lecture 5


We ask anyone wishing to participate to detach the reservation part from the leaflet and send it to us by fax. The participation is free thanks to the sponsoring from the Wirtschaftswissenschaftliche Gesellschaft.

CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin

Tel: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649

list of participants--->