Friday, 20th April 2007 09:30 Registration 11:00 - 12:30 M3250 CSDA Editorial Board Meeting 12:30 - 12:45 MR380 Opening 12:45 - 13:35 MR380 Plenary Talk (John Mulvey) 13:40 - 15:20 PARALLEL SESSION A MR380 SN13: Signal extraction and filtering - 1 MR080 SN02: Model averaging, term structure and option evaluation MR160 SN43: Issues in econometric modelling and testing MR030 SN05: Nonlinear time series analysis & financial econometrics MR150 SN29: Matrix computations and statistics - 1 15:20 - 15:50 Coffee Break 15:50 - 17:30 PARALLEL SESSION B MR380 SN18: Nonlinear time series analysis MR080 SN45: Computational intensive methods in econometrics MR160 SN37: Bootstrap and applications MR030 SN12: High-frequency data in finance MR150 SN10: Robustness 17:40 - 18:30 MR380 Plenary Talk (Peter Rousseeuw) 18:35 - 19:50 PARALLEL SESSION C MR380 SN41: Bayesian modelling MR080 SN27: Modelling financial time series MR160 SN30: Simulation based inference MR030 SN22: Business cycle analysis and optimal policy MR150 SN34: Signal extraction and filtering - 2 20:15 Reception Saturday, 21st April 2007 08:00 - 09:40 PARALLEL SESSION D MR380 SN03: Nonlinear financial time series modelling MR080 SN09: Global financial markets and econometric modelling MR160 SN01: Stochastic volatility, realized variance and covariance MR030 SN07: Nonparametric time series MR150 SN44: Applied economics 09:45 - 10:35 MR380 Plenary Talk (Demetri Bertsekas) 10:35 - 11:00 Coffee Break 11:00 - 12:40 PARALLEL SESSION E MR380 SN21: Signal extraction and filtering - 3 MR080 SN32: VEC models and MCMC methods MR160 SN33: Diagnostics and algorithms MR030 SN40: Asset pricing MR150 SN11: Computational econometrics and finance in R -1 12:40 - 14:15 Lunch 14:15 - 15:55 PARALLEL SESSION F MR380 SN35: Matrix computations and statistics - 2 MR080 SN23: Aggregation and identification MR160 SN31: Computational econometrics and finance in R - 2 MR030 SN17: Risk measurement and prediction MR150 SN26: Fuzzy statistics 16:00 - 16:50 MR380 Plenary Talk (Claudio Albanese) 16:50 - 17:20 Coffee Break 17:20 - 19:25 PARALLEL SESSION G MR380 SN20: Signal extraction and filtering - 4 MR080 SN28: Fat tails, VaR and portfolio choice MR160 SN08: Modelling exchange rates and commodities MR030 SN39: Market microstructure analysis MR150 SN06: Financial engineering for asset management 20:15 Conference Dinner Sunday, 22nd April 2007 08:30 - 10:10 PARALLEL SESSION H MR380 SN25: Exact tests and goodness of fit MR080 SN19: Market Dynamics and Credit Ratings MR160 SN36: Hidden Markov models MR030 SN16: Risk measurement and estimation risk MR150 SN42: Credit risk and risk modelling 09:30 - 10:30 MR170 ERCIM WG Meeting 10:10 - 10:40 Coffee Break 10:40 - 12:20 PARALLEL SESSION I MR380 SN38: Computational intensive methods in statistics MR080 SN14: Time series smoothing and modelling MR160 SN24: Estimation and validation of multivariate financial models MR030 SN15: Modeling financial asset returns MR150 SN04: Spatial and/or temporal modeling 12:30 - 13:20 MR380 Plenary Talk (James G. MacKinnon) 13:20 - 13:25 Closing 13:25 - 15:00 Lunch 15:00 - 17:00 COMISEF Meeting