The Third International Conference

High-Frequency Data Analysis in Financial Markets

Venue: Hiroshima University of Economics, Tatemachi Campus 131
Organizers: Koichi Maekawa (Hiroshima University of Economics) and Toshiaki Watanabe (Hitotsubashi University)
Time: 30 minutes for presentation and 10 minutes for discussion

Schedule Summary:

  Nov 16 (Fri) Nov 17 (Sat) Nov 18 (Sun)
10:00-12:00 Jump and Volatility Forecast High-Frequency Financial Data Macro and Financial Econometrics (-11:20)
13:00-14:20 Invited Session I Invited Session III
14:35-16:35 Realized Stochastic Volatility Models GARCH Models
16:50-18:10 Invited Session II Properties of Standardized Financial Returns

November 16 (Friday)

9:55-10:00Opening Remarks: Toshiaki Watanabe (Hitotsubashi University)
10:00-12:00 Jump and Volatility Forecast
Chair: Hiroshi Yamada (Hiroshima University)
10:00-10:40 Shuichi Nagata (Kwansei Gakuin University),
“Volatility Forecast Comparison with Biased Proxy and Related Test Statistic” (abstract / paper)
Coauthor: Kosuke Oya (Osaka University)
10:40-11:20 Masato Ubukata (Kushiro Public University of Economics),
“The Role of Implied Volatility and Jump Risk Component in Forecasting Realized Volatility” (abstract)
11:20-12:00 Kei Nanamiya (Hitotsubashi University),
“The Wavelet-based Jump Adjustment Methods for High Frequency Financial Data” (abstract)
13:00-14:20 Invited Session I
Chair: Kosuke Oya (Osaka University)
13:00-13:40 Mark Podolskij (Heidelberg University),
“Testing the Rank of the Volatility Process: A Random Perturbation Approach” (abstract)
Coauthor: Jean Jacod (Universite Pari IV)
13:40-14:20 Almut Veraart (Imperial College London),
“Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes” (abstract)
Coauthors: Ole E. Barndorff-Nielsen (Aarhus University), Asger Lunde (Aarhus University) and Neil Shephard (University of Oxford)
14:20-14:35Coffee break
14:35-16:35 Realized Stochastic Volatility Models
Chair: Siem Jan Koopman (VU University Amsterdam)
14:35-15:15 Toshiaki Watanabe (Hitotsubashi University),
“Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution” (abstract) (slides)
Coauthors: Makoto Takahashi (Northwestern University) and Yasuhiro Omori (University of Tokyo)
15:15-15:55 Tsunehiro Ishihara (Hitotsubashi University),
“Multivariate Realized Stochastic Volatility Model with Leverage” (abstract) (slides)
Coauthor: Yasuhiro Omori (University of Tokyo)
15:55-16:35 Didit Budi Nugroho (Kwansei Gakuin University),
“Realized Box-Cox Stochastic Volatility Models” (abstract) (slides)
Coauthor: Takayuki Morimoto (Kwansei Gakuin University)
16:35-16:50Coffee break
16:50-18:10 Invited Session II
Chair: Koichi Maekawa (Hiroshima University of Economics)
16:50-17:30 Siem Jan Koopman (VU University Amsterdam and Tinbergen Institute),
“A Dynamic Model for Daily Equity Covariances Based on Multiple Measures” (abstract)
Coauthors: Peter Hansen (European University Institute and CREATES) and Pawel Janus (VU University Amsterdam and Tinbergen Institute)
17:30-18:10 Jun Yu (Singapore Management University),
“Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach” (abstract / paper) (slides)
Coauthors: Andras Fulop (ESSEC Business School) and Junye Li (ESSEC Business School)
19:00-Reception (RIHGA Royal Hotel Hiroshima)

November 17 (Saturday)

10:00-12:00 High-Frequency Financial Data
Chair: Tetsuya Takaishi (Hiroshima University of Economics)
10:00-10:40 Hiwon Yoon (CMD Laboratory Inc.),
“An Empirical Analysis of the Relations between Intra-day Stock Price Movements and Ita Conditions” (abstract)
10:40-11:20 Naonori Kurata (Chiba University),
“Bayesian Change Point Analysis of ARFIMA Model for Realized Volatility” (abstract) (slides)
Coauthor: Haruhisa Nishino (Chiba University)
11:20-12:00 Yuta Koike (University of Tokyo),
“A Rate-optimal Estimator for the Integrated Covariance of Nonsynchronously Observed Diffusion Processes with Endogenous Noise” (abstract) (slides)
13:00-14:20 Invited Session III
Chair: Toshiaki Watanabe (Hitotsubashi University)
13:00-13:40 Peter Hansen (European University Institute and CREATES),
“Realized Factor GARCH” (abstract) (slides)
Coauthors: Peter Cristoffersen (University of Toronto and CREATES) and Asger Lunde (Aarhus University and CREATES)
13:40-14:20 Torben Andersen (Northwestern University),
“Parametric Inference and Dynamic State Recovery from Option Panels” (abstract / paper) (slides)
Coauthors: Nicola Fusari (Northwestern University) and Viktor Todorov (Northwestern University)
14:20-14:35Coffee break
14:35-16:35 GARCH Models
Chair: Peter Hansen (European University Institute)
14:35-15:15 Asuka Takeuchi (Sophia University),
“An Empirical Analysis of the Nikkei 225 Put Options Using Realized GARCH Models” (abstract / paper)
15:15-15:55 Kusdhianto Setiawan (Hiroshima University of Economics),
“Estimation of Vector Error Correction Model with GARCH Errors: Monte Carlo Simulation and Applications” (abstract / paper 1, paper 2)
Coauthor: Koichi Maekawa (Hiroshima University of Economics)
15:55-16:35 Tatsuyoshi Okimoto (Hitotsubashi University),
“Increasing Trends in the Excess Comovement of Commodity Prices” (abstract / paper) (slides)
Coauthor: Kazuhiko Ohashi (Hitotsubashi University)
16:35-16:50Coffee break
16:50-18:10 Properties of Standardized Financial Returns
Chair: Torben Andersen (Northwestern University)
16:50-17:30 Daisuke Nagakura (Keio University),
“Normalizing Returns with Realized Measures” (abstract)
Coauthor: Toshiaki Watanabe (Hitotsubashi University)
17:30-18:10 Tetsuya Takaishi (Hiroshima University of Economics),
“Effects of Finite-Sample and Realized Kernels on Standardized Returns on the Tokyo Stock Exchange” (abstract)

November 18 (Sunday)

10:00-11:20 Macro and Financial Econometrics
Chair: Toshiaki Watanabe (Hitotsubashi University)
10:00-10:40 Takkabutr Nattapol (Osaka University),
“Empirical Stochastic Time Change Variable of Equity Returns with High Frequency Data” (abstract) (slides)
Coauthor: Kosuke Oya (Osaka University)
10:40-11:20 Hiroshi Yamada (Hiroshima University),
“Japan's Output Gap Estimation and l1 Trend Filtering” (abstract / paper)
Coauthor: Lan Jin (Hiroshima University)

Group photographs at the conference:

(Click to get original size photo)