Hitotsubashi Summer Institute on Econometrics

HSI Workshop “Frontiers in Financial Econometrics” has been sucessfully closed.

*PDF file of the program is available.

Workshop “Frontiers in Financial Econometrics”

Hosted by Hitotsubashi Institute for Advanced Studies, CFEE (Center for Financial Engineering Education) and Grants-in-Aid for Scientific Research A (No.24243031) JSPS

Date: August 4-5, 2015

Venue: Conference Room, 3rd floor, Faculty Building 3, East Campus, Hitotsubashi University (JR-Higashi Nihon, Kunitachi Station)

Organizer: Toshiaki Watanabe (Hitotsubashi University)

::::::::August 4, Tuesday::::::::

8:45- Reception desk opens

9:25-9:30 Opening Remarks
Koichi Tadenuma (President of Hitotsubashi University)

Realized Variance and Covariance
Chair: Kosuke Oya (Osaka University)
9:30-10:10 Daisuke Nagakura (Keio University)
State Space Method for the Quadratic Estimators of the Integrated Variance in the Presence of Market Microstructure Noise
10:10-10:50 Yoann Potiron (University of Chicago)
Estimation of Integrated Quadratic Covariation between Two Assets with Endogenous Sampling Times

10:50-11:00 Coffee Break

Nonparametric Estimation
Chair: Toshio Honda (Hitotsubashi University)
11:00-11:40 Ilze Kalnina (University of Montreal)
Nonparametric Estimation of the Leverage Effect Using Information from Derivatives Markets
11:40-12:20 Shin Kanaya (Aarhus University)
A New Stochastic Differential Equation Based Inference Method for Functionals of Nonparametric Kernel Estimators

12:20-13:20 Lunch

Keynote Speech
Chair: Toshiaki Watanabe (Hitotsubashi University)
13:20-14:20 Yacine Ait-Sahalia (Princeton University)
High Frequency Market Makers and Asset Prices

14:20-14:30 Coffee Break

Factor Model
Chair: Yacine Ait-Sahalia (Princeton University)
14:30-15:10 Yohei Yamamoto (Hitotsubashi University)
Asymptotic Inference for Common Factor Models in the Presence of Jumps
15:10-15:50 Naoshi Tsuchida (Bank of Japan)
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads

15:50-16:00 Coffee Break

Intraday Asset Price Movement
Chair: Naoshi Tsuchida (Bank of Japan)
16:00-16:40 Makoto Takahashi (Osaka University)
Price Impact, Flow Sensitivity and Volatility
16:40-17:20 Ernst Schaumburg (Federal Reserve Bank of New York)
Market Volatility, Trading Activity and the Cross-Market Footprint of High Frequency Trading

18:00- Dinner and Discussion


::::::::August 5, Wednesday::::::::

8:45- Reception desk opens


Term Structure of Interest Rates
Chair: Yasuhiro Omori (University of Tokyo)
9:30-10:10 Kosuke Oya (Osaka University)
Term Structure with Smooth Transition
10:10-10:50 Kyu Ho Kang (Korea University)
Measuring the Dynamic Effect of the U.S. Interest Rate Changes on the Korean Yield Curve

10:50-11:00 Coffee Break

Tail Risk
Chair: Toshinao Yoshiba (Bank of Japan)
11:00-11:40 Masato Ubukata (Kushiro Public University of Economics)
Effectiveness of Time-varying Minimum Value at Risk and Expected Shortfall Hedging
11:40-12:20 Richard Gerlach (University of Sydney)
Bayesian Semi-parametric Realized CARE Models for Tail Risk Forecasting

12:20-13:20 Lunch

GARCH and Stochastic Volatility Models
Chair: Richard Gerlach (University of Sydney)
13:20-14:00 Tsunehiro Ishihara (Osaka University)
Matrix Exponential Realized Stochastic Volatility Model
14:00-14:40 Yasuhiro Omori (University of Tokyo)
Cholesky Realized Stochastic Volatility Model
14:40-15:20 Toshiaki Watanabe (Hitotsubashi University)
Stock Return Predictability of the Market Variance Risk Premium in Japan

15:20-15:25 Closing Remarks
Toshiaki Watanabe (Hitotsubashi University)