Saturday, August 20, 2011, 10:30-12:15 pm; Financial Econometrics
Volatility - C6

Session Chair: Laurent Clerc, Banque de France

• Business Conditions, Market Volatility and Option Prices PDF
  Christian Dorion
  HEC - Montreal
  • Discussant: Seeger Norman, University of St. Gallen

• A Comprehensive Look at Financial Volatility Prediction by Economic Variables PDF
  Charlotte Christiansen¹, Maik Schmeling¹, Andreas Schrimpf²
  Aarhus University¹; Leibniz University²
  • Discussant: Robert Vermeulen, De Nederlandsche Bank

• Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals PDF
  Eric Ghysels¹, Alberto Plazzi^2,3, Rossen Valkanov⁴
  University of North Carolina - Chapel Hill¹; University of Lugano²; Swiss Finance Institute ³; University of California - San Diego⁴
  • Discussant: René Garcia, EDHEC Business School