International Conference
"High-Frequency Data Analysis in Financial Markets"

Date: October 25 - 26, 2008
Place: Mercury Tower, Hitotsubashi University
Organizer: Toshiaki Watanabe (Hitotsubashi University)
Time: 30 minutes for presentation and 10 minutes for discussion

Program and Papers

Saturday, October 25

9:55-10:00 Opening Remarks
10:00-12:00 Session I: Volatility Estimation I
Chair: Masahito Kobayashi (Yokohama National University)
10:00-10:40 Torben Andersen (Northwestern University): “Duration-Based Volatility Estimation,” joint with Dobrislav Dobrev (Federal Reserve Board of Governors) and Ernst Schaumburg (Northwestern University) [PDF: 4MB]
10:40-11:20 Federico Bandi (University of Chicago): “Nonparametric Stochastic Volatility,” joint with Roberto Reno` (University of Siena) [PDF: 666KB]
11:20-12:00 Fulvio Corsi (University of Siena): “Volatility Forecasting: The Jumps Do Matter,” joint with Davide Pirino (University of Pisa) and Roberto Reno` (University of Siena) [PDF: 679KB]
12:00-13:30 Lunch
13:30-14:50 Session II: Microstructure Noise
Chair: Federico Bandi (University of Chicago)
13:30-14:10 Daisuke Nagakura (Bank of Japan): “A State-Space Approach to Estimating Integrated Variance and Microstructure Noise,” joint with Toshiaki Watanabe (Hitotsubashi University) [PDF: 255KB]
14:10-14:50 Masato Ubukata (Osaka University): “Estimation and Testing for Dependence of Market Microstructure Noise,” joint with Kosuke Oya (Osaka University) [PDF: 1.18MB]
14:50-15:05 Coffee Break
15:05-16:25 Session III: Covariance Estimation
Chair: Kosuke Oya (Osaka University)
15:05-15:45 Seisho Sato (Institute of Statistical Mathematics): “On Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise,” joint with Naoto Kunitomo (University of Tokyo) [PDF: 168KB]
15:45-16:25 Peter Hansen (Stanford University): “Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading,” joint with Ole E. Bardorff-Nielsen (University of Aarhus), Asger Lunde (University of Aarhus), and Neil Shephard (Oxford University) [PDF: 454KB]
16:25-16:40 Coffee Break
16:40-18:00 Session IV: MCMC Methods
Chair: Jun Yu (Singapore Management University)
16:40-17:20 Jouchi Nakajima (Bank of Japan): “Generalized Extreme Value Distribution with Time-Dependency using the Autoregressive Model in State Space Form,” joint with Tsuyoshi Kunihama (University of Tokyo) and Yasuhiro Omori (University of Tokyo) [PDF: 47KB]
17:20-18:00 Toshiaki Watanabe (Hitotsubashi University): “Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility” [PDF: 720KB]
18:30- Reception (Sano-shoin, Hitotsubashi University)

Sunday, October 26

10:30-11:50 Session V: Volatility Estimation II
Chair: Peter Hansen (Stanford University)
10:30-11:10 Takayuki Morimoto (Hitotsubashi University): “An Optimal Weight for Realized Variance based on Intermittent High-Frequency Data,” joint with Hiroki Masuda (Kyushu University) [PDF: 333KB]
11:10-11:50 Siem Jan Koopman (VU University): “A General Framework for Observation Driven Time-Varying Parameter Models,” joint with Drew Creal (VU University) and Andre' Lucas (VU University and Duisenberg School of Finance) [PDF: 1.87MB]
11:50-13:20 Lunch
13:20-14:40 Session VI: Volatility of Volatility and Volatility Risk Premium
Torben Andersen (Northwestern University)
13:20-14:00 Isao Ishida (University of Tokyo): “Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,” joint with Toshiaki Watanabe (Hitotsubashi University) [PDF: 1.18MB]
14:00-14:40 Yoshihiko Sugihara (Bank of Japan): “The New Variation Method of Volatility Risk Premium” [PDF: 523KB]
14:40-14:55 Coffee Break
14:55-16:15 Session VII: Semimartingale Methods
Chair: Yasuhiro Omori (University of Tokyo)
14:55-15:35 Almut Veraart (University of Aarhus): “Inference for the Jump Part of the Quadratic Variation of Ito^ Semimartingales” [PDF: 420KB]
15:35-16:15 Jun Yu (Singapore Management University): “Information Loss in Volatility Measurement with Flat Price Trading,” joint with Peter Phillips (Yale University) [PDF: 301KB]
16:15-16:20 Closing Remarks
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