Frontiers of Finance is being sponsored by BH-DG - Systematic Trading
Speakers
Graham Elliott, University of California
Paper Title: "Loss based binary forecasts with an application to exchange rate direction forecasting"
Graham Elliott is a professor in econometrics at the University of California, San Diego. His work is primarily theoretical in issues of hypothesis testing in nonstandard problems and in forecasting. He is co-editor of the International Journal of Forecasting and co-edited the Handbook of Economic Forecasting Volume 1 (Volume 2 is currently being written).
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Andrew Harvey, University of Cambridge
Paper Title: "Exponential Conditional Volatility Models"
Andrew Harvey is Professor of Econometrics in the Faculty of Economics, University of Cambridge, and a Fellow of Corpus Christi College. Prior to that he was
Professor of Econometrics at the London School of Economics. He is a Fellow of the Econometric Society and a Fellow of the British Academy (FBA). He has published over 100 articles in journals and edited volumes and has written three books, The Econometric Analysis of Time Series, Time Series Models and Forecasting. Structural Time Series Models and the Kalman Filter . He is one of the developers of the STAMP package and has considerable experience in consulting for government and industry.
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Roxana Halbleib, ULB
Paper Title: "Forecasting Covariance Matrices: A Mixed Frequency Approach."
Roxana Halbleib (née Chiriac) is a post doctoral fellow at ECARES, Université libre de Bruxelles, Belgium. She holds a PhD in Economics from University of Konstanz, Germany (2010). Her main research includes financial econometrics, with a special interest in modelling and forecasting financial volatilities and correlations as well as in assessing and developing robust financial risk measures. She has published in the Journal of Applied Econometrics.
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Fabian Krueger, University of Konstanz
Fabian Krueger is a PhD student in econometrics at the University of Konstanz. His research focusses on density forecasting in finance and macroeconomics
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