NEW FRONTIERS IN FINANCIAL VOLATILITY MODELING

["Giampiero M. Gallo" <gallog@ds.unifi.it>]

Con scuse per invii incrociati

SYMPOSIUM ON
NEW FRONTIERS IN FINANCIAL VOLATILITY MODELING
TO BE HELD IN FLORENCE, ITALY May 26-27, 2003
Co-Organizers: G.M. Gallo (Firenze) and R.F. Engle (NYU)
FIRST ANNOUNCEMENT

CALL FOR PAPERS

After twenty years of volatility modeling, the availability of ultra high
frequency data and the design of new financial instruments based on
volatility are providing the literature and practitioners with new impulses
for research. A correct specification of models is essential in risk
measurement and management: to this end it is of interest to check how much
of the academic research has spilled over to the financial world and what
new practitioner needs can be met.

The symposium is jointly organized by the Università di Firenze and by New
York University with the goal to address some of the key questions
surrounding volatility modeling both from the academic and the operational
point of view.
The questions still standing include how to judge modeling and forecast
accuracy, how to treat outliers and extreme events, how to combine
information available at different frequencies, how to specify and estimate
multivariate models particularly for large systems, how to price and hedge
options and other derivatives, and many others.
In this respect, the symposium can be seen as a natural follow-up of the
International Conference on Modeling and Forecasting Financial Volatility
held in Perth at the University of Western Australia (Sep. 7-9, 2001, the
proceedings of which are being published in the Journal of Applied
Econometrics).
The dates are Monday May 26 and Tuesday May 27, 2003. The venue is at the
Villa Sassetti conference center of the New York University Campus in
Florence, Italy.

Participants
A mix of researchers from academic and financial institutions. At this
point, Giovanni Barone-Adesi (Svizzera Italiana), Tim Bollerslev (Duke), Ray
Chou (Academia Sinica), Paul Embrechts (ETZ), Eric Ghysels (UNC-Chapel
Hill), Christian Gourieroux (CREST), Nick Polson (Chicago), Pedro
Santa-Clara (UCLA), Enrique Sentana (CEMFI), Neil Shephard (Nuffield
Oxford), Steve Taylor (Lancaster University) have announced their
participation.

Deadlines
Submission of interest and  full paper: Feb 1st

Papers should be sent in electronic format both to Rob Engle
rengle@stern.nyu.edu and to Giampiero M. Gallo gallog@ds.unifi.it

Acceptance announcement date: March 15th


Financial Support

Some financial support will be available and should be applied for with
details about needs at the time of paper submission.

Giampiero M. Gallo
Professor of Econometrics
Chair, Dipartimento di Statistica "G.Parenti"
Università di Firenze
Viale G.B. Morgagni 59
50134 Firenze
www.ds.unifi.it/~gallog
www.ds.unifi.it/fedra/mqmf.htm
Italy
+39 055 4237201
FAX +39 055 4223560