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European University Institute, Florence; EABCN Euro Area Business Cycle Network

Dates:
November 13-15, 2013
Description:
19th EABCN training school on 'Volatility: Measurement, Modelling and Forecasting' - Euro Area Business Cycle Network
Location:
Florence, European University Institute, Italy
Subject:
This course covers empirical methods for volatility measurement, modelling and forecasting. Part 1 considers the highly parametric setting of GARCH models as well as the more complex setting of stochastic volatility models. Part 2 focuses on the relatively simple modelfree realized volatility measures. Part 3 explores the implied volatility measures and the related procedures for extracting measures of the time-varying volatility risk premium. In all cases, we will consider the complications and possibilities associated with longer term volatility forecasts and the inclusion of macroeconomic variables in the forecast procedures. [gem?_?? den Informationen des Anbieters - according to site editor's information]
Notes:
JEL Code:
E
Sponsor:
URL:
http://www.eabcn.org/volatility-measurement-modelling-and-forecasting

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