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Econometrics and Finance

The track concerns with methodological and computational aspects of econometrics. Empirical aspects of analysing financial time series are also addressed.

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.

Alessandra Amendola, University of Salerno, Italy.
Manfred Deistler, Vienna University of Technology, Austria.
Herman K. van Dijk, Erasmus University Rotterdam and VU University Amsterdam, Netherlands.
  1. Juan Carlos Abril, Universidad Nacional de Tucuman, Argentina.
  2. Peter Martey Addo, EDEEM, France.
  3. Daniel Felix Ahelegbey, Boston University, United States.
  4. Mary Akinyemi, University of Manchester, United Kingdom.
  5. Encarnacion Alvarez Verdejo, University of Granada, Spain.
  6. Alessandra Amendola, University of Salerno, Italy.
  7. Gianni Amisano, Federal Reserve Board, United States.
  8. Giovanni Angelini, University of Bologna, Italy.
  9. Maiya Anokhina, HSE, Russia.
  10. David Ardia, University of Neuchatel, Switzerland.
  11. Josu Arteche, University of the Basque Country UPV/EHU, Spain.
  12. Francesco Audrino, University of St Gallen, Switzerland.
  13. Marco Avarucci, University of Glasgow, United Kingdom.
  14. Alex Badescu, University of Calgary, Canada.
  15. Richard Baillie, Michigan State University, United States.
  16. Anne Balter, Maastricht University, Netherlands.
  17. Giovanni Barone Adesi, Lugano University, Switzerland.
  18. Giovanni Barone-Adesi, University of Lugano, Switzerland.
  19. Nalan Basturk, Maastricht University, Netherlands.
  20. Luc Bauwens, Universite catholique de Louvain, Belgium.
  21. Frederique Bec, THEMA University of Cergy-Pontoise and CREST, France.
  22. Michele Bergamelli, City University London, United Kingdom.
  23. Mauro Bernardi, University of Padova, Italy.
  24. Katarzyna Bien-Barkowska, Warsaw School of Economics, Poland.
  25. Monica Billio, University of Venice, Italy.
  26. Daumantas Bloznelis, KU Leuven, Belgium.
  27. Matteo Bonato, IPAG Business School, Switzerland.
  28. Marco Bottone, Sapienza University of Rome, Italy.
  29. Mohammed Bouaddi, The American University in Cairo, Egypt.
  30. Giorgio Calzolari, University of Firenze, Italy.
  31. Kai Carstensen, University of Munich, Germany.
  32. Roberto Casarin, University Ca Foscari of Venice, Italy.
  33. Isabel Casas, BCAM, Spain.
  34. Itamar Caspi, Bar-Ilan University and Bank of Israel, Israel.
  35. Leopoldo Catania, Aarhus BBS, Denmark.
  36. Peter Julian Cayton, The Australian National University, Australia.
  37. Mohamed Chaouch, United Arab Emirates University, United Arab Emirates.
  38. Mohamed Chaouch, United Arab Emirates University, United Arab Emirates.
  39. Christakis Charalambous, University of Cyprus, Cyprus.
  40. Jia Chen, University of York, United Kingdom.
  41. Jing Chen, Cardiff University, United Kingdom.
  42. Xiaohua Chen, Bank of England, United Kingdom.
  43. Julien Chevallier, IPAG Business School, France.
  44. Julien Chevallier, IPAG Business School, France.
  45. Yong Bum Cho, Columbia University, United States.
  46. Boris Choy, The University of Sydney, Australia.
  47. Carlin Chu, The Open University of Hong Kong, Hong Kong.
  48. Andrea Cipollini, University of Modena and Reggio Emilia, Italy.
  49. Jerry Coakley, University of Essex, UK.
  50. Roberta Colavecchio, Hamburg University, Germany.
  51. Calin-Adrian Comes, Petru Maior University of Tirgu-Mures, Romania.
  52. Christian Conrad, Heidelberg University, Germany.
  53. Claudio Conversano, University of Cagliari, Italy.
  54. Jonathan Crook, University of Edinburgh, United Kingdom.
  55. Abdelaati Daouia, Toulouse School of Economics, France.
  56. Giovanni De Luca, University of Naples Parthenope, Italy.
  57. Manfred Deistler, Vienna University of Technology, Austria.
  58. Tomas del Barrio Castro, University of the Balearic Islands, Spain.
  59. Joan del Castillo, Universitat Autonoma de Barcelona, Spain.
  60. Petros Dellaportas, Athens University, Greece.
  61. Alexandra Dias, University of York, United Kingdom.
  62. Timo Dimitriadis, University of Konstanz, Germany.
  63. Shanshan Ding, University of Delaware, United States.
  64. Andreia Dionisio, University of Evora, Portugal.
  65. Marta Disegna, Faculty of Management, Bournemouth University, United Kingdom.
  66. Hung Do, University of Technology Sydney, Australia.
  67. Jurgen Doornik, University of Oxford, United Kingdom.
  68. Mateusz Dziubinski, Aalborg University and CREATES, Denmark.
  69. Youssef El-Khatib, United Arab Emirates University, United Arab Emirates.
  70. Octavio Fernandez-Amador, University of Bern, Switzerland.
  71. Dennis Fok, Erasmus University Rotterdam, The Netherlands.
  72. James Forest, University of Massachusetts - Amherst, United States.
  73. Christian Francq, CREST and University Lille III, France.
  74. Sylvia Fruhwirth-Schnatter, WU Vienna, Austria.
  75. Alberto Fuertes, Bank of Spain, Spain.
  76. Fausto Galli, University of Salerno, Italy.
  77. Giampiero Gallo, NYU in Florence, Italy.
  78. Marco Gambacciani, University of Zurich and Swiss Financial Institute, Switzerland.
  79. Deborah Gefang, University of Leicester, United Kingdom.
  80. Angelica Gianfreda, London Business School, United Kingdom.
  81. Roberto Golinelli, University of Bologna, Italy.
  82. Ana Gomez-Loscos, Bank of Spain, Spain.
  83. Mariusz Gorajski, University of Lodz, Poland.
  84. Daniel Grabowski, Universitaet Giessen, Germany.
  85. Pilar Grau, Universidad Rey Juan Carlos, Spain.
  86. Maria Letizia Guerra, University of Bologna, Italy.
  87. Sermin Gungor, University of Western Ontario, Canada.
  88. Markus Haas, University of Kiel, Germany.
  89. Christian Hafner, UCL/CORE, Belgium.
  90. Niels Strange Hansen, Aarhus University, Denmark.
  91. Erwin Hansen, University of Chile, Chile.
  92. Lennart Hoogerheide, Vrije Universiteit Amsterdam, Netherlands.
  93. Lajos Horvath, University of Utah, United States.
  94. Ai Jun Hou, Stockholm University, Sweden.
  95. James Huang, Lancaster University, UK.
  96. Jing Huang, European School of Management Technology, Germany.
  97. Matteo Iacopini, Ca Foscari University of Venice, Italy.
  98. Rustam Ibragimov, Imperial College London and Innopolis University, United Kingdom.
  99. Marwan Izzeldin, Lancaster University Management School, United Kingdom.
  100. Rania Jammazi, IPAG Business School France, Tunisia.
  101. Farrukh Javed, Lund University, Sweden.
  102. Farrukh Javed, Orebro University, Sweden.
  103. Fredj Jawadi, University of Evry, France.
  104. Walid Jebili, Enda inter-arabe, Tunisia.
  105. Jooyoung Jeon, University of Bath, United Kingdom.
  106. Marc Joets, Ipag Business School and University Paris Ouest, France.
  107. Marc Joets, Banque de France and University of Paris, France.
  108. Robert Jung, University of Hohenheim, Germany.
  109. Zied Kacem, Polytechnique Sousse, Tunisia.
  110. Elena Kalotychou, Cass Business School City University, UK.
  111. Juho Kanniainen, Tampere University of Technology, Finland.
  112. Neil Kellard, University of Essex, UK.
  113. Mohamad Khaled, University of Queensland, Australia.
  114. Faisal Khamis, Al Ain University of Science and Technology, United Arab Emirates.
  115. Robert Kohn, University of New South Wales, Australia.
  116. Yuta Koike, Tokyo Metropolitan University, Japan.
  117. Siem Jan Koopman, VU Amsterdam, The Netherlands.
  118. Adriano Koshiyama, University College London, United Kingdom.
  119. Daniel Kosiorowski, Cracow University of Economics, Poland.
  120. Kostas Kounetas, University of Patras, Greece.
  121. Panagiotis Koutroumpis, Queen Mary University London, United Kingdom.
  122. Philipp Johannes Kremer, EBS Universitaet fuer Wirtschaft und Recht, Germany.
  123. Ladislav Kristoufek, Institute of Information Theory and Automation, Czech Academy of Sciences, Czech Republic.
  124. Konstantin Kuck, University of Hohenheim, Germany.
  125. Dmitry Kulikov, Eesti Pank, Estonia.
  126. Jitendra Kumar, Central University of Rajasthan, India.
  127. Robert Kunst, Institute for Advanced Studies, Austria.
  128. Michele La Rocca, University of Salerno, Italy.
  129. Soumendra Lahiri, North Carolina State University, United States.
  130. Neophytos Lambertides, Cyprus University of Technology, Cyprus.
  131. Katarzyna Lasak, VU Amsterdam, Netherlands.
  132. Renata Latocha, Oddo Meriten Asset Management GmbH, Germany.
  133. Christian Lavergne, University of MONTPELLIER, France.
  134. Remigijus Leipus, Vilnius University, Lithuania.
  135. Roberto Leon-Gonzalez, GRIPS, Japan.
  136. Wenwei Li, EBS Universitaet fuer Wirtschaft und Recht, Germany.
  137. Guangjie Li, Cardiff University, United Kingdom.
  138. Xin Liang, McGill University, Canada.
  139. Xiaochun Liu, Emory University, United States.
  140. Shuangzhe Liu, University of Canberra, Australia.
  141. Cheng Liu, Wuhan University, China.
  142. Hedibert Lopes, INSPER, Brazil.
  143. Jose-Juan Lopez-Espin, Universidad Miguel Hernandez de Elche, Spain.
  144. Andre Lucas, VU University Amsterdam, Netherlands.
  145. Kristofer Maansson, Jonkoping University, Sweden.
  146. Corrado Macchiarelli, Brunel University, United Kingdom.
  147. Artur Machno, AGH University of Science and Technology, Poland.
  148. Frank Magalhaes de Pinho, IBMEC, Brazil.
  149. Peter Malec, University of Cambridge, United Kingdom.
  150. Marco Malgarini, ANVUR, Italy.
  151. Jacky Mallett, Reykjavik University, Iceland.
  152. Worapree Ole Maneesoonthorn, University of Melbourne, Australia.
  153. Mohaimen Mansur, The University of Manchester, United Kingdom.
  154. Malvina Marchese, Cass Business School, United Kingdom.
  155. Chamadanai Marknual, Macquarie University, Australia.
  156. Oscar Martinez, Universitat Rovira i Virgili, Spain.
  157. Juan-Carlos Martinez-Ovando, ITAM, Mexico.
  158. Camilla Mastromarco, University of Salento - Lecce, Italy.
  159. David Matteson, Cornell University, United States.
  160. Laurent Maurin, European Investment Bank, Luxembourg.
  161. Blazej Mazur, Cracow University of Economics, Poland.
  162. Stepan Mazur, Örebro University, Sweden.
  163. David McMillan, University of Stirling, United Kingdom.
  164. Mamdouh Medhat, Cass Business School, United Kingdom.
  165. Luis Melo, Banco de la Republica, Colombia.
  166. Ramses Mena, UNAM, Mexico.
  167. Lorenzo Mercuri, University of Milan, Italy.
  168. James Mitchell, University of Warwick, United Kingdom.
  169. Stefan Mittnik, University of Munich, Germany.
  170. Guillaume Monarcha, Orion Financial Partners, France.
  171. Carlos Montes-Galdon, European Central Bank, Germany.
  172. Ulrich Mueller, Princeton University, United States.
  173. Christophe Muller, Aix-Marseille School of Economics, France.
  174. Anthony Murphy, Federal Reserve Bank of Dallas, USA.
  175. John Muteba Mwamba, University of Johannesburg, South Africa.
  176. Tomoaki Nakatani, Hokkaido University, Japan.
  177. Milan Nedeljkovic, National Bank of Serbia, Serbia and Montenegro.
  178. Marcella Niglio, University of Salerno, Italy.
  179. Teppei Ogihara, The Institute of Statistical Mathematics, Japan.
  180. Jose Olmo, University of Southampton, United Kingdom.
  181. Marius Ooms, VU Amsterdam, The Netherlands.
  182. Edoardo Otranto, University of Messina, Italy.
  183. Philipp Otto, European University Viadrina, Germany.
  184. Iyabode Favour Oyenuga, The Polytechnic Ibadan, Nigeria.
  185. Richard Paap, Erasmus University Rotterdam, The Netherlands.
  186. Theologos Pantelidis, University of Macedonia, Greece.
  187. Marc Paolella, University of Zurich, Switzerland.
  188. Nestor Parolya, Leibniz University Hannover, Germany.
  189. Paolo Paruolo, University of Insubria, Italy.
  190. AmirT Payandeh, SBU, Iran.
  191. Shelton Peiris, University of Sydney, Australia.
  192. Stefano Peluso, Catholic University of Milan, Italy.
  193. Cira Perna, University of Salerno, Italy.
  194. Claudio Pizzi, University Ca Foscari Venice, Italy.
  195. Krzysztof Podgorski, Lund University, Sweden.
  196. Benjamin Poignard, Osaka University, Japan.
  197. Andre Portela Santos, Universidade Federal de Santa Catarina, Brazil.
  198. Elon Portugaly, Microsoft, United Kingdom.
  199. Alexandra Posekany, WU Vienna University of Economics and Business, Austria.
  200. Guido Previde, UCL, United Kingdom.
  201. Artem Prokhorov, University of Sydney, Australia.
  202. Fanirisoa Zazaravaka R Hasinavonizaka, Pantheon Sorbonne, France.
  203. Maruf Raheem, Sheffield Hallam University, United Kingdom.
  204. Dooruj Rambaccussing, University of Dundee, United Kingdom.
  205. Setareh Ranjbar, HEC Lausanne, Switzerland.
  206. Yao Rao, The University of Liverpool, United Kingdom.
  207. Francesco Ravazzolo, Free University of Bozen/Bolzano, Italy.
  208. Xiaohang Ren, University of Southampton, United Kingdom.
  209. Roberto Reno, University of Verona, Italy.
  210. Pilar Requena, Alcala University, Spain.
  211. Saeid Rezakhah, Amirkabir University of Technology, Iran.
  212. Dan Rieser, European Commission, Eurostat, Luxembourg.
  213. Dolores Robles, Universidad Complutense de Madrid, Spain.
  214. Federica Rossi, Birkbeck University of London, United Kingdom.
  215. Luca Rossini, Vrije Universiteit Amsterdam, Netherlands.
  216. Magda Roszczynska-Kurasinska, University of Warsaw, Poland.
  217. Satchit Sagade, Goethe University Frankfurt, Germany.
  218. Simona Sanfelici, University of Parma, Italy.
  219. Marcos Sanso-Navarro, Universidad de Zaragoza, Spain.
  220. Antonio Santos, University of Coimbra, Portugal.
  221. Paolo Santucci de Magistris, Aarhus University, Denmark.
  222. Charles Saunders, University of Western Ontario, Canada.
  223. Luca Secondi, University of Tuscia, Italy.
  224. Eva Senra, Universidad de Alcala, Spain.
  225. Xiangjin Shen, Bank of Canada, Canada.
  226. Takayuki Shiohama, Tokyo University of Science, Japan.
  227. Malgorzata Snarska, Cracow University of Economics, Poland.
  228. Kimmo Soramaki, Kings College London, United Kingdom.
  229. Manuela Souto de Miranda, University of Aveiro, Portugal.
  230. Stefan Sperlich, University of Geneva, Switzerland.
  231. Daniel Stamate, Goldsmiths University of London, United Kingdom.
  232. Thanasis Stengos, University of Guelph, Canada.
  233. Giuseppe Storti, University of Salerno, Italy.
  234. Sandy Suardi, La Trobe University, Australia.
  235. Enrique ter Horst, CESA, Colombia.
  236. Yuan Tian, Boston University, United States.
  237. Elena Tomas, BBVA Data And Analytics, Spain.
  238. Nikolas Topaloglou, Athens University of Economics and Business Research Center, Greece.
  239. Henghsiu Tsai, Academia Sinica, Taiwan.
  240. Ping Chen Tsai, Southern Taiwan University of Science and Technology, Taiwan.
  241. Meltem Ucal, Kadir Has University, Turkey.
  242. Ramon van den Akker, Tilburg University, Netherlands.
  243. Herman van Dijk, Erasmus University Rotterdam, Netherlands.
  244. Herman K. Van Dijk, Erasmus University Rotterdam, Italy.
  245. Sergey Vasin, Higher School of Economics, Russia.
  246. Andrey Vasnev, University of Sydney, Australia.
  247. Carlos Velasco, Universidad Carlos III de Madrid, Spain.
  248. Bezirgen Veliyev, Aarhus University, Denmark.
  249. Almut Veraart, Imperial College London, United Kingdom.
  250. Stephen Jun Villejo, University of the Philippines, Philippines.
  251. Bertil Wegmann, Linkoping University, Sweden.
  252. Priyantha Wijayatunga, Umea University, Sweden.
  253. Paul Wilson, Clemson University, United States.
  254. Tomasz Wojtowicz, AGH University of Science and Technology, Poland.
  255. Yongdeng Xu, Cardiff University, United Kingdom.
  256. Yukai Yang, Uppsala University, Sweden.
  257. OlaOluwa Yaya, University of Ibadan, Nigeria.
  258. Kamil Yilmaz, Koc University, Turkey.
  259. Nakahiro Yoshida, University of Tokyo, Japan.
  260. Edy Zahnd, Forex and economic research, Switzerland.
  261. Jean-Michel Zakoian, CREST, France.
  262. Valentin Zelenyuk, University of Queensland, Australia.
  263. Xin Zheng, University of Sydney, Australia.
  264. Ji Zhu, University of Michigan, United States.
  265. Ricardas Zitikis, University of Western Ontario, Canada.
  266. Yang Zu, University of Nottingham, United Kingdom.
  267. Paola Zuccolotto, University of Brescia, Italy.