Lecture Series in Financial Econometrics

"Measuring, Modeling, and Forecasting Financial Market Volatility"

This sequence of lectures explores recent theoretical and empirical developments in the use of high-frequency data for measuring and modeling financial market volatility. Topics covered include continuous time methods, long-memory models, realized volatilities and power variation measures.

Torben Andersen and Tim Bollerslev

We have the pleasure to invite to a lecture series in Financial Econometrics. Title of the series is “Measuring, Modeling, and Forecasting Financial Market Volatility”, lecturers are Professor Torben Andersen, Northwestern University and Professor Tim Bollerslev, Duke University.

Details

Title:	Measuring, Modeling, and Forecasting Financial Market Volatility
Lecturers:	Professor Torben Andersen, Northwestern University and Professor Tim Bollerslev, Duke University, USA.
When:	23 - 27 February, 2004.
Where:	Ekonomikum, Kyrkogårdsgatan 10 A, Uppsala, Sweden
Organizers:	Department of Information Science, Division of Statistics, Uppsala University and STINT.
Registration:	Send email to Gunilla Klaar, see below.
Start date for registration:	4 December, 2003
Due date for registration:	30 January 2004
Fee:	None
Number of participants:	Limited to 25 participants. For details, see below.

A preliminary outline of the lectures

Preliminary outline available here.

Who can attend the Lecture Series?

Target groups are PhD- students in Statistics, Economics, Econometrics, Financial Econometrics and Finance. Note that for each lecture series, the number of participants is limited to 25.

If possible we would also like to welcome faculty and practioners, but priority is given to PhD students.

In case of more than 25 registrations, the following priorities apply:

PhD Students that will do a presentation at the Workshop.
PhD Students not doing a presentation.
Factulty and practioners that will do a presentation at the Workshop.
Factulty and practioners not doing a presentation.

In the respective categories above, registrations will be done on a first come first serve basis.

No Credits in PhD Program

Note that the organizers are not eligible to give PhD students credits in any PhD program. There will no examination of the lectures. In case individual students would like to get credit for the lectures, we advise the student to discuss this with his/her supervisor. Upon request, we can send "Attendence Certificate" to those that has taken part in the lecture series. See the registration section.

Schedule

All lectures will be in Room B119 Ekonomikum, Kyrkogårdsgatan 10A, Uppsala, Sweden. To find Ekonomikum, refer to the map.

Preliminary schedule: Monday 23 through Friday 27 February, 2004:


Day	Date	Hours	What	Room


Monday	23 February	9.00 – 10.00	Registration	B 119
Monday	23 February	10.15 – 12.00	Class	B 119
Monday	23 February	13.15 – 15.00	Class	B 119

Tuesday	24 February	10.15 – 12.00	Class	B 119
Tuesday	24 February	13.15 – 15.00	Class	B 119

Wednesday	25 February	9.00 – 17.00	Workshop	B 119
		See Separate Workshop Program

Thursday	26 February	10.15 – 12.00	Class	B 119
Thursday	26 February	13.15 – 15.00	Class	B 119

Friday	27 February	10.15 – 12.00	Class	B 119
Friday	27 February	13.15 – 15.00	Class	B 119

Workshop 25 February, 2004

Note: Click here for a preliminary workshop program

Wednesday, February 25, is a seminar day. We invite PhD students and researchers in the field to give presentations of their work. The presentation should be about 30-45 minutes long and we encourage presentations of preliminary material such as thesis outlines, early drafts of papers, working papers or ideas of papers. It is not necessary to submit a working paper for the talk. The main purpose for this workshop is to stimulate a discussion of topics in empirical finance and financial econometrics.

More elaborate work is of course also welcome, but the main focus for the workshop is to give PhD students a possibility to present work in early progress.

Note that the topic of the presentation need not to be related to the topic of the lectures. Topics for presentation may include:

Statistics
Econometrics
Financial Econometrics
Finance, theory and/or applications

A preliminary schedule of the workshop will be available here when ready.

If the demand of presentations exceeds the amount of time available, the following priorities will be given:

PhD students outlining thesis project for comments and suggestions.
PhD students with working paper versions of a paper.
Undergraduate students presenting term papers (C-D uppsatser).
Researchers in the field presenting their work.

The workshop is not a proper forum for presentations based on published papers.

To register a presentation see below.

Dinner Thursday 26 February

A dinner for the participants will be held Thursday 26 February 18.30 at restaurant "Bill och Bull", Uppsala. The dinner is free for registered participants except for drinks. Please let us know if you want to participate in the dinner, see registration below.

Visiting adress of "Bill och Bull" is Smedsgränd 9, see the map.
Directions from the central station: Walk "Bangårdsgatan" straight up one block and take right onto "Dragarbrunnsgatan". Walk two blocks and take left onto "Smedsgränd". The restaurant is on the corner of Dragarbrunnsgatan and Smedsgränd.

Registration

Is there a fee for the lectures?

There is no fee for participating in the lectures, the workshop or the dinner (except for drinks) . The events are financed by The Swedish Foundation for International Cooperation in Research and Higher Education, STINT, whose financial support is greatfully acknowledged.

How do I register?

If you want to register, please send an email to Gunilla.Klaar@dis.uu.se.
Use subject heading ”Andersen and Bollerslev 2004”. Please state:

Your contact information, including affiliation, position (ex: PhD student, lecturer etc) , and snail mail adress.
If you want to give a presentation at the workshop (Wednesday, February 25), if so, please state a working title of your presentation.
If you want to participate in the Dinner, Thursday February 26, 18.30 at restaurant "Bill och Bull'', Uppsala.

We will send an email confirming your registration. Tuesday 3 February we will let you know if you can attend the lecture series.

If case you need a registration certificate for the purpose of applying for money from your home department, please request a such from Gunilla.Klaar@dis.uu.se in a separate mail.

After the lecture series, for those that might need it, the organizers can send a Attendence Certificate for the lecture series. This will be sent only on request. After the lecture series, please email to Gunilla.Klaar@dis.uu.se, use Subject heading "Andersen and Bollerslev 2004: Attendence Certificate".

Questions

Questions about the lecture series or the workshop will be answered by Lars Forsberg, please email to Lars.Forsberg@dis.uu.se.

Lecture Series in Financial Econometrics

This lecture series is the third in a series of lecture series in financial econometrics and empirical finance organized in cooperation between Uppsala University, Duke University and University of North Carolina at Chapel Hill. The series is financed by The Swedish Foundation for International Cooperation in Research and Higher Education, STINT. For more information about these lecture series, please click here.