ࡱ> `b_)` R\Mbjbj2R  NNN8|4 W3FBBBBBvvv2222222$4h72i$vv$$2BB43000$jBB20$2000B6 $wNB(0n2'30W307T)800b78$1lv4n0 4vvv22l*4vvvW3$$$$   D N   N    The 2013 International Conference on Financial Econometrics July 6 and 7 Center for Economic Research, Shandong University Program July 6, 2013 Session 1 Location: First Floor, Conference Room, Run Run Shaw Science Building Chair: Zhijie Xiao 8:30 8:40AM. Welcome Remarks Huang Shaoan, Dean, CER, Shandong University 8:40AM 9:25AM: Keynote Speech: Torben Andersen, Northwestern University, USA, Extracting the Risk Premia Embedded in Option Panels 9:25AM 9:55AM: Invited Speech: Jun Yu, Singapore Management University, Singapore. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S\&P 500 9:55 10:30AM. Photo-Taking and Tea Break 10:30AM 11:00AM. Invited Speech: Yoon Jae Whang, Seoul National U, Korea. A Nonparametric Test of the Leverage Hypothesis 11:00AM 11:30AM. Invited Speech: Hong Yongmiao, Cornell Univ. and Xiamen Univ. Predictability of asset returns over different time horizons: A nonparametric approach 11:30AM  12:00AM. Invited Speech: Jae-Young Kim, Seoul National U, Korea Risk Spillover Effects in International Financial Markets: Evidence from the Recent Financial Crisis 12:00AM  12:30PM. Invited Speech: Qi Li, Texas AM Uinversity, USA, Is Hong Kong Dollar Overvalued? Evidence from Hong Kong's Trade Prices Post Financial Crisis Lunch: 12:30PM 2:00AM. Session 2 Location: First Floor, Conference Room, Run Run Shaw Science Building Chair: Zongwu Cai 2:00PM 2:45PM: Keynote Speech: Oliver Linton, Cambridge University, U.K. Some semiparametric models for panels of financial time series with an application to measuring the effect of fragmentation of trading on market quality 2:45PM 3:15PM: Invited Speech: Guofu Zhou, Washington U in St. Louis and CAFR, Cross-section Asset Pricing: Asymptotic Theory and Simulations on the Fama-MacBeth Regression with a Large Number of Assets 3:15PM 3:45PM: Keli Xu, Texas AM Uinversity, USA, Subvector Inference for Local Regression 3:45PM 4:15PM: Zhuo Huang, Beijing University. Pricing Options with Realized Measures of Volatility: A Realized Heston Nandi Model Tea break: 4:15PM 4:30PM 4:30PM 5:00PM: Ying Fang, Xiamen University. Semiparametric STAR Models with an Application to Forecasting the Effective CNY/USD Exchange Rates 5:00PM 5:30PM: Christos Michalopoulos, National Taiwan University, Quantile Regression on Quantile Ranges 5:30PM 6:00PM: Jin-Huei Yeh, National Central University, A Simple Approach for Testing Systematic Jumps Dinner July 7, 2013 Session 3 Location: First Floor, Conference Room, Run Run Shaw Science Building Chair: Qi Li 8:30AM 9:15AM: Keynote Speech: Xiaohong Chen, Yale University, semiparametric two-step GMM estimation and inference for weakly dependent data 9:15AM 9:45AM: Invited Speech: Katsumi Shimotsu, University of Tokyo, Japan, Testing the number of components in finite mixture econometric models 9:45AM 10:15AM: Invited Speech: Zongwu Cai, Kansas University, USA. Estimating Expected Shortfall via a Regression Approach 10:15AM 10:45AM: Haitao Li/Zhaogang Song, University of Michigan/Fed, USA, Jump Tail Risk in Fixed Income Markets Tea break: 10:45AM 11:00AM 11:00AM 11:30AM: Invited Speech: Lin Lu, Shandong University. Sublinear expectation linear regression 11:30AM 12:00AM: Ximing Wu, Texas AM Uinversity, USA, Smooth Tests of Copula Specifications 12:00AM 12:30AM. Zaichao Du, Southwestern University of Finance and Economics. Simple Automatic Portmanteau Tests for Conditional Dynamic Models Lunch: 12:30PM 2:00AM. Parallel Session 1 Location: First Floor, Conference Room, Run Run Shaw Science Building Chair: Hongtao Zhou 2:00PM 2:30PM: Aurobindo Ghosh, Singapore Management University, Singapore. Grades Matter in Performance: Morningstar Stewardship Grades and Mutual Fund Performance 2:30PM 3:00PM: Jilin Wu and Hongtao Zhou, Shandong University. 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