Hermann Otto Hirschfeld Lecture 2005

Financial Econometrics

CASE-Logo Wiwi-gesellschaft-Logo

Francis X. Diebold

Wharton School
University of Pennsylvania


October 13 - 14, 2005


Humboldt-Universität zu Berlin
Unter den Linden 6
D-10117 Berlin


The interface between the financial markets and the real economy is crucially important yet poorly understood. Exciting new econometric research, however, has the potential to remedy that situation. The lectures provide an overview of much of that research and sketch promising directions for additional work. The lectures will consider applications to a variety of asset classes, including stocks, bonds, and foreign exchange.

1. Yield curve modeling and the macroeconomic determinants of yields

2. Modeling and forecasting asset return volatilities and correlations

3. Cross-country macroeconomic determinants of asset return volatility

4. Time-varying systematic risk over the business cycle with implications for stock market pricing

5. Real-time reaction of stock, bond and foreign exchange markets to macroeconomic developments and cross-market interactions


Slides from the talks can be found here.


October 13, 2005

October 14, 2005

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--->