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:
November 16 (Friday)
| 9:55-10:00 | Opening 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)
|
|---|
|
| 12:00-13:00 | Lunch |
|---|
| 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)
|
|---|
|
| 14:20-14:35 | Coffee 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)
|
|---|
|
| 16:35-16:50 | Coffee 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)
|
|---|
|
| 12:00-13:00 | Lunch |
|---|
| 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)
|
|---|
|
| 14:20-14:35 | Coffee 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)
|
|---|
|
| 16:35-16:50 | Coffee 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)
