10:00-11:00: Keynote speaker: Yacine Ait-Sahalia (Princeton), “Principal Component Analysis of High Frequency Data" (joint with D. Xiu)
11:20-12:20: Session #1
- Jia Li (Duke): “Volume, Volatility and Public News Announcements” (joint with T. Bollerslev and Y. Xue)
- Peter R. Hansen (UNC): "Parameter Estimation with Out-of-Sample Objective" (joint with I. Dumitrescu)
12:20-1:10: Lunch: Near SS 113
1:10-2:40: Session #2
- Denis Pelletier (NCSU): “A Stochastic Price Duration Model for Estimating High-Frequency Volatility” (joint with W. Wei).
- Bingzhi Zhao (Duke): “An Efficient Factor from Basis Anomalies”
- Robert Davies (Duke): “Volatility Jump Regressions”
3:00-4:30: Session #3
- Eric Ghysels (UNC): “Is Industrial Production Still the Dominant Factor for the US Economy?” (joint with E. Andreou, P. Gagliardini, and M. Rubin)
- Fu Ouyang (Duke): “Semiparametric Estimation of Multinomial Choice Models with Rank-Order Property”
- Luis E. Candelaria (Duke): “A Semiparametric Network Formation Model with Multiple Linear Fixed Effects"
5:30: Dinner at Rue Cler, 401 E. Chapel Hill St., Durham
To be announced.
Conference Location: Duke Economics Department
Social Sciences Building
419 Chapel Drive
Durham, NC 27708-0097