Skewness, Heavy Tails, Market Crashes, and Dynamics

April 28 - 29, 2014 

Winstanley Lecture Theatre
Trinity College, Cambridge University

        It has been long documented that financial returns are not well described by a normal distribution – conditional or unconditional - because they tend to exhibit asymmetry and fatter tails. Large market crashes occur much more frequently than is predicted by the Gaussian world we were supposed to inhabit. These phenomena pose many challenges for the econometric analysis of asset returns. This workshop aims at presenting and discussing recent theoretical and empirical developments on skewness, heavy tails, market crashes and dynamics.

Suggested topics include but are not limited to: 

♦ Estimation and inference in dynamic asset pricing models 
♦ Characterization of financial risk in the presence of skewness and fat tails 
♦ Modelling Bubbles and Crashes 
♦ Multivariate non-Gaussian densities 
♦ Measures of dependences – co-skewness 
♦ Conditional Skewness Models 

Invited Speakers

Paul Embrechts (ETH Zürich)
 Andrew Harvey (Cambridge)
 Eric Ghysels (UNC - Chaple Hill)
 Peter Christoffersen (Toronto)

Call for papers

Paper submission deadline has now passed.

Registration fee:
£150 (Standard)
£50 (Students)
Free for Cambridge University members
Once successfully submitted the form, instructions of payment will be sent to you via email within 48hrs. 

Registration deadline for speakers:
April 7, 2014