4th AFE-QASS Conference, INEAG, Samos 2007.


Invited Speakers:


Richard Baillie (Michigan State University and Queen Mary, University of London): Carry trades, momentum trading and nonlinear adjustments to uncovered interest parity


Giovanni Barone-Adesi (University of Lugano, Switzerland): Can binomial models price barrier options?

Alec Chrystal (CASS Business School, City University): Bank of Englandí»s monetary policy independence: the first ten years

Keith Cuthbertson (CASS Business School, City University): Mutual and hedge fund performance: the alchemistsí» revenge



Selected Presentations:



Eleni Avaritsioti (Imperial College, London): A wavelet-based approach of the Athens stock market predictability

George Bezerianos (CASS Business School, City University): An empirical investigation of the theory of contingent claims for corporate debt

Melisso Boschi (University of Perugia, Italy, and University of Essex): Foreign capital in Latin America: a long run structural global VAR perspective

Jian Chen (University of Essex): Risk neutral and physical jumps in option pricing

Christian Conrad (ETH, KOF, Zurich):The high-frequency response of the EUR-US dollar exchange rate to ECB monetary policy announcements

Hayette Gatfaoui (Rouen School of Management, France): Are credit default swap spreads market driven?

Yixin Hou (University of Birmingham): The non-performing loans: some bank-level evidences

Stavroula Iliopoulou (Royal Holloway, University of London): Equity based compensation and old boy networks in the UK

Krassas Ioannis (University of Exeter): Investor reactions to voluntary corporate disclosures in an experimental asset market

Silvia Lui  (Queen Mary, University of London): Empirical factor analysis of stock volatility using stochastic volatility factor model: evidence from five Asian stock indexes

Manolis Kavoussanos (Athens University of Economics  and Business, Greece): Merger announcements and insider trading activity: the London and Athens stock exchanges

Jacinta Nwachukwu (University of Manchester): Foreign capital inflows and the real exchange rate in sub-saharan Africa

Konstantinos Papadopoulos (Aristotle University of Thessaloniki, Greece): Interest rates and currency prices in a two country strategic market game model

George Petropoulos (Eurobank, Greece): On credit spreads, credit spread options and implied probabilities of default

Anna Thorsell (Umeå University, Sweden): Coersion, copy-cats, and colleagues: staffing the board of the IPO company

Fuyu Yang (University of Leicester): Bayesian inferences of a generalized stochastic unit root model