Financial Econometrics: Theory

ESEM

Presenter(s)	Type			Length	Chair
Robert Taylor Peter Boswijk Julien Royer Merrick Li Jeroen Dalderop	Contributed	24/08	10:00 UTC	120 mins	Olivier Scaillet

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Papers

(Listed in order of presenters above)

Extensions to IVX Methods of Inference for Return Predictability

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Jump Contagion among Stock Market Indices: Evidence from Option Markets

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Conditional asymmetry in Power ARCH(∞) models

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Robust Estimation of Integrated Volatility

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Efficient Estimation of Pricing Kernels and Market-Implied Densities

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