Financial Econometrics I

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Ingmar Nolte Niels Marijnen Xia Zou Jasper Rennspies	Contributed Sessions	27/08	09:00 CEST	90 mins	Jasper Rennspies	Zaal Melbourne (M2-09)	Add to Calendar `2024-08-27 09:00:00 2024-10-18 10:52:10 EEA-ESEM 2024: Financial Econometrics I. Room: Zaal Melbourne (M2-09) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public`

Presenter(s)	Ingmar Nolte Niels Marijnen Xia Zou Jasper Rennspies
Type	Contributed Sessions
Date	27/08
Time	09:00 CEST
Length	90 mins
Chair	Jasper Rennspies
Room Number	Zaal Melbourne (M2-09)
Add to calendar	Add to Calendar `2024-08-27 09:00:00 2024-10-18 10:52:10 EEA-ESEM 2024: Financial Econometrics I. Room: Zaal Melbourne (M2-09) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public`

Papers

(Listed in order of presenters above)

Realized Candlestick Wicks

Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

Implied Volatility Surface Dynamics: from Parameter-Driven to Observation-Driven Models and Beyond

Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models

Realized Candlestick Wicks

Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

Implied Volatility Surface Dynamics: from Parameter-Driven to Observation-Driven Models and Beyond

Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models