Financial Econometrics Workshop

A CEPR/ESRC/IFR finance network workshop in financial econometrics was held in London on 19 March 1998. The meeting was organized by Mark Salmon (Financial Econometrics Research Centre, City University Business School, and CEPR) and Martin Sola (Birkbeck College, London). It was held under the auspices of the ESRC Resource Centre, established at CEPR in 1993 to provide networking, dissemination, support and training services to the UK economics community, and with the support of the Institute for Financial Research.

The following papers were presented:

‘Identifying Regimes in Financial Times Series: A Mixtures Modelling Approach’
Robert Hillman (Financial Econometrics Research Centre, City University Business School) and
Mark Salmon (Financial Econometrics Research Centre, City University Business School, and CEPR)

‘Value-at-Risk and Extreme Returns’
Jon Danielsson (London School of Economics) and
Casper G de Vries (Tinbergen Institute and Erasmus Universiteit Rotterdam)

‘What Level of Fixed Costs Can Reconcile Asset Returns and Consumption Choices?’
Erzo G J Luttmer (London School of Economics)

‘Semi-Parametric Modelling of the Term Structure’
Marco Bianchi (Barclays Capital)
Michael Orszag (Birkbeck College, London) and
Jim Steeley (Bank of England)

‘Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method’
John L Knight (University of Western Ontario)
Stephen E Satchell (Trinity College, Cambridge) and
Jun Yu (University of Western Ontario)

‘Density-embedding Functions’
Karim M Abadir (University of York) and
Michael Rockinger (Groupe Hautes Études Commerciales, Jouy-en-Josas, and CEPR)