The London-Oxford Financial Econometrics Study Group

First meeting: Financial Markets Group, LSE, Friday November 24, 2006. The speakers were:

Keynote speaker: Stephen Taylor "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices, " (with Mark Shackleton and Peng Yu). Discussant: Andrew Patton.

Karim Abadir "Distilling co-movements from persistent macro and financial series," (with Gabriel Talmain). Discussant: Valentina Corradi.

Marcelo Fernandes "International market links and realized volatility transmission"
(with Walter Distaso and Valentina Corradi). Discussant: Nour Meddahi.

Roel Oomen "Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise" (with Jim Griffin). Discussant: Kevin Sheppard.

Antonio Mele "Macroeconomics Strikes Back: Real Determinants of Volatility Risk-Premia"
(with Valentina Corradi and Walter Distaso). Discussant: Christian Julliard.

Neil Shephard "Subsampling realised kernels" (with Ole E. Barndorff-Nielsen, Peter Hansen and Asger Lunde). Discussant: Oliver Linton.