Brunel Conference Final Program: 4th June 2007

 

Stochastic Volatility and Persistence

 

 (Lecture Centre LC114)

 

Reception: 11.00-11.30

 

Session 1: Persistence/Stochastic Volatility Chair: Fabio Spagnolo

 

11.30-12.00

 

Marco Realdon (University of Southampton): Sovereign Credit Default Swap Pricing

 

12.00-12.30

Gawon Yoon (Kookmin University, Seoul): Geometric Ergodicity and Regular Variation of Stochastic Unit Root Processes

 

 

Lunch: 12.30-14.00

 

Session 2: Persistence Chair: Chris Martin

 

14.00-14.40

James Davidson (University of Exeter): Type I and Type II Fractional Brownian Motions: A Reconsideration

 

14.40-15.20

Jean-Yves Pitarakis (University of Southampton): Thresholds in Equilibrium Relationships

 

15.20-16.00

Gilles Teyssiere (Göteborg University): The Increment Ratio Statistic

 

 

Coffee: 16.00-16.30

 

Session  3:  Stochastic volatility Chair: John Hunter

 

16.30-17.10

Giovanni Urga (CASS Business School): Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations

17.10-17.50

Kevin Sheppard (University of Oxford): Estimation and Testing of Time-Varying Covariance with Many Assets

17.50-18.30

Christian Conrad (ETH, Zurich): Non-negativity Conditions for the Hyperbolic GARCH Model