ANNOUNCEMENT AND CALL FOR PAPERS

WORKSHOP IN FINANCIAL ECONOMETRICS 2002

25TH - 26TH October 2002, Montréal

EXTREMAL EVENTS IN FINANCE

Invited Lecture: Ole E. Barndorff-Nielsen, University of Aarhus
Neil Shephard, Nuffield College, University of Oxford

KLUWER PUBLISHERS (THE JOURNAL OF FINANCIAL ECONOMETRICS)

CIRANO
(CENTRE INTERUNIVERSITAIRE DE RECHERCHE EN ANALYSE DES ORGANISATIONS)

ORGANIZERS :

René Garcia
Département de sciences économiques, CIRANO and CRDE
Université de Montréal
Editor-in-chief, Journal of Financial Econometrics

Eric Renault
Département de sciences économiques, CIRANO and CRDE
Université de Montréal
Editor-in-chief, Journal of Financial Econometrics

This Conference in Financial Econometrics 2002 (CFE 2002) will present the most recent research in modelling extremal events and tails of distributions and its related financial applications. We will welcome papers related to the statistical modeling of large shocks, sudden changes or jumps in univariate and multivariate series including point processes, Lévy processes, structural change models, long-memory processes, copulas, quantiles, and extremal distributions, as well as their applications to risk assessment and management, asset pricing, portfolio management, volatility modeling and other financial topics of interest.

We will aim at bringing together delegates from the finance industry and specialists from academia directly interested in these topics.

SUBMISSION OF PAPERS :

To submit a paper for presentation at CFE 2002, please send an original manuscript to the organizers at the following address before May 15, 2002:

CIRANO
2020, rue University
25th Floor
Montréal (Québec)
Canada H3A 2A5

Electronic submissions in pdf format are to be sent to banniern@cirano.qc.ca .