2nd International Workshop on Computational and Financial Econometrics (CFE'08)
19-21 June 2008, Neuchâtel, Switzerland
URL: http://www.dcs.bbk.ac.uk/cfe08/

Organized in co-operation with the
"International Association for Statistical Computing (IASC)", "Society for Computational Economics" and ERCIM Working Group on "Computing & Statistics"

Main sponsor:
Journal of "Computational Statistics & Data Analysis", Elsevier. (The Official Journal of the IASC)

Computational and financial econometrics have been of interest for a wide variety of researchers in economics, finance, statistics, mathematics and computing. Financial time series analyses focus on asset valuations over time with emphases on option pricing, volatility measurement, and modelling market microstructure effects. Apart from theoretical developments, financial time series analyses also have a high empirical content. The computational aspects of such analyses are of crucial importance since one typically deals with high-dimensional problems and large numbers of observations. Existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. Furthermore, environments for conducting econometrics are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development.

The CSDA has published several special issues on Computational and Financial Econometrics that have addressed computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, specific applications involving computing and econometrics, and data analytic methods in finance. These special issues indicate the importance of computing in econometrics and highlight research opportunities that exist in this discipline.

This workshop invites presentations that contain computational or financial econometric components. The organization of sessions and minisymposia are encouraged.

Publication:
Papers containing strong computational statistical or econometric components or substantive data-analytic elements will be considered for publication in a peer-reviewed special issue of the journal Computational Statistics & Data Analysis.

Keynote Speakers:
Oliver Linton, London School of Economics and Political Science, UK
Herman Van Dijk, Erasmus University Rotterdam, The Netherlands

Co-Chairs:
A. Amendola, D. Belsley, E.J. Kontoghiorghes and M. Paolella

International Program Committee: G. Barone-Adesi (CH), L. Bauwens (BE), M. Binder (GE), S. Boyarchenko (NL), C. Chen (TW), J. Coakley (UK), C. Croux (BE), R. Davidson (CA), I. Demetriou (GR), K. Fokianos (CY), P. Foschi (IT), C. Francq (FR), A.-M. Fuertes (UK), G. Gallo (IT), M. Gilli (CH), Z. Hlavka (CZ), M. Juillard (FR), G. Kapetanios (UK), D. Kuhn (UK), L. Khalaf (CA), C. Kleiber (CH), O. Linton (UK), A. Luati (IT), T. Lux (GE), J. MacKinnon (CA), D. Maringer (UK), S. Mittnik (GE), I. Moustaki (GR), Y. Omori (JP), M. Ooms (NL), S. Paterlini (IT), D.S.G. Pollock (UK), Z. Psaradakis (UK), T. Proietti (IT), M. Riani (IT), E. Ruiz (ES), B. Rustem (UK), W. Semmler (GE), M. Schroeder (GE), O. Scaillet (CH), S. Siokos (UK), G. Storti (IT), H.K. Van Dijk (NL), M. Wagner (AT), J. Walde (AT), P. Winker (GE), A. Zeileis (AT), Z. Zhang (USA), M. Wolf (CH).

Important dates:
Submission of 1-page abstracts:   30 April 2008
Notification of decision: 7 May 2008
Workshop: 19-21 June 2008
Submission of full papers:  30 July 2008
Notification of decision:  15 November 2008
Final papers: 30 January 2009

Single page plain text abstracts should be submitted electronically before the deadline. (http://www.dcs.bbk.ac.uk/cfe08)

For further information please contact: matrix@dcs.bbk.ac.uk

The workshop will take place jointly with the ERCIM working Group meeting on Computing & Statistics.