4th CSDA International Conference on COMPUTATIONAL AND FINANCIAL ECONOMETRICS

10/12/2010 - 00:00
12/12/2010 - 23:59

4th CSDA International Conference on COMPUTATIONAL AND FINANCIAL ECONOMETRICS (CFE'10) 10-12 December 2010, Senate House, University of London, UK http://www.cfe-csda.org/cfe10

Supported and organized by the London School of Economics, Queen Mary, University of London, and Birkbeck University of London.

Main sponsor: Journal of "Computational Statistics & Data Analysis", Elsevier.

The new CSDA Annals of Computational and Financial Econometrics willbe inaugurated during this conference. This journal will be published as a supplement to Computational Statistics & Data Analysis to serve as an outlet for distinguished research papers in computational econometrics and financial econometrics. Papers containing strong computational, statistical, or econometric components or substantive data-analytic elements will be considered for publication either in the Annals or in the regular issues of CSDA. Previously the CSDA has published a number of special issues on Computational and Financial Econometrics.

Computational and financial econometrics comprise a broad field that has clearly interested a wide variety of researchers in economics, finance, statistics, mathematics and computing. Examples include financial time series analyses that focus on efficient and robust portfolio allocations over time, asset valuations with emphases on option pricing, volatility measurements, models of market microstructure effects and credit risk. While such studies are often theoretical, they can also have a strong empirical element measuring risk and return and often have a significant computational aspect dealing with issues like high-dimensionality and large numbers of observations. Algorithmic developments are also of interest since existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. So also are developments of environments for conducting econometrics, which are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development. This conference invites oral and poster presentations that contain computational or financial econometric components. The organization of sessions and mini symposia are encouraged. A tutorial will be given on Thursday the 9th of December 2010.

A list of invited and organized sessions can be found at http://www.cfe-csda.org/ercim10/InvitedSessions.html

Plain text abstracts should be submitted electronically before the deadline at http://www.labeconomia.unisa.it/cfe-ercim2010

Keynote Speakers:

  • Qiwei Yao, London School of Economics, UK
  • M. Hashem Pesaran, University of Cambridge, UK and USC
  • Mark Steel, University of Warwick, UK

International Organizing Committee: E.J. Kontoghiorghes, Ana Maria Fuertes and Esther Ruiz.

CSDA Annals of CFE Managing Editors: David A. Belsley, Erricos J. Kontoghiorghes and Herman K. Van Dijk.

Co-Chairs: George Kapetanios, Oliver Linton, Michael McAleer and Esther Ruiz.

CSDA Annals of CFE Guest Editors: Luc Bauwens, Siem Jan Koopman, Oliver Linton and Michael McAleer.

Scientific Programme Committee Members: A. Amendola, F. Audrino, P. Boswijk, M. Billio, M. Binder, C. Chen, D. van Dijk, C. Francq, A.-M. Fuertes, A.B. Galvao, R. Gerlach, D. Guegan, S. Hodges, S.J. Koopman, L. Khalaf, J.F. Kiviet, T. Lux, S. Mittnik, M. Ooms, J. Nankervis, Y. Omori, M. Paolella ,D.S.G. Pollock, T. Proietti, M. Reale, M. Riani, B. Rustem, W. Semmler, M. Steel, M. So, E. Tzavalis, D. Veredas, M. Wagner, P. Winker, P. L H Yu, P. Zadrozny, P. Zaffaroni, J.-M. Zakoian,A. Zeileis.

Important dates:

Submission of abstracts: 8th September 2010

Acceptance decision: At most two weeks after submission.

Tutorial: 9 December 2010

Conference: 10-12 December 2010

Submission of full papers: 15 January 2011

Notification of decision: 15 April 2011 (tentative)

Publication of the CSDA Annals of CFE: 15 September 2011 (tentative)

The meeting will take place jointly with the 3rd InternationalConference of the ERCIM WG on COMPUTING & STATISTICS (ERCIM'10): http://www.cfe-csda.org/ercim10

For further information please contact: cfe-ercim@cfe-csda.org