Volatility

 

PROGRAM

Day 1: May 28, 2020

  • Data and realized moments
    Diego Amaya, Wilfrid Laurier University
     
  • Modelling the volatility
    Geneviève Gauthier, HEC Montréal
     
  • Estimation of stochastic volatility models
    Jean-François Bégin, Simon Fraser University
     

Day 2: May 29, 2020

  • Risk-neutral moment-based estimation of affine option pricing models
    Bruno Feunou, Bank of Canada
     
  • Estimation and filtering with big option data: Implications for asset pricing
    Kris Jacobs, Bauer College of Business, University of Houston
     
  • High-frequency factor models and regressions
    Ilze Kalnina, Poole College of Management, NC State University
     
  • Multiple testing and jump detection in high frequency data
    Olivier Scaillet, GFRI GSEM Université de Genève and Swiss Finance Institute
     
  • Panel discussion with participants from the industry

 
IVADO       GERAD       FRQNT