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 Plazzi2,3, Rossen Valkanov4
    University of North Carolina - Chapel Hill1; University of Lugano2; Swiss Finance Institute 3; University of California - San Diego4
    • Discussant: RenĂ© Garcia, EDHEC Business School