program

Keynote Presentations

Torben Andersen (Northwestern University)

Intraday Trading Invariance in the E-mini S&P 500 Futures Market

Discussant: Marcelo Fernandes (São Paulo School of Economics- FGV/SP and Queen Mary University of London)

Bradley Paye (University of Georgia)

Stock Market Reactions to Unconventional Monetary Policy Annoucements

Discussant: Svetlana Bryzgalova (Stanford GSB)

Timo Teräsvirta (Aarhus University)

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Discussant: Pedro L. Valls-Pereira (São Paulo School of Economics - FGV/SP)

Kevin Sheppard (University of Oxford)

Evaluating Volatility Forecasts at Multiple Horizons

Discussant: Asger Lunde (CREATES, Aarhus University)

Svetlana Bryzgalova (Stanford GSB)

The Consumption Risk of Bonds and Stocks

Discussant: João Mergulhão (São Paulo School of Economics - FGV/SP)

Viktor Todorov (Northwestern University)

Pricing Short-Term Market Risk: Evidence from Weekly Options

Discussant: Fabio Trojani (University of Geneva and Swiss Finance Institute)

Marcelo J. Moreira (EPGE, FGV/RJ)

Contributions to the Theory of Optimal Tests

Discussant: Michael Wolf (University of Zurich)

Nikolaus Hautch (University of Vienna)

E

fficient Iterative Maximum Likelihood Estimation

Discussant: Dennis Kristensen (University College London)

Niels Haldrup (CREATES, Aarhus University)

Common Long Range Dependence in a Panel of Hourly Nord Pool Electricity Prices and Loads

Discussant: Marcelo C. Medeiros (PUC-Rio)

Fabio Trojani (University of Geneva and Swiss Finance Institute)

A Theory of Arbitrage Free Dispersion

Discussant: Caio K. Almeida (EPGE, FGV/RJ)

Peter R. Hansen (European University Institute)

Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach

Discussant: Eric Hillebrand (CREATES, Aarhus University)

George Tauchen (Duke University)

Jump Regressions

Discussant: Marcel Rindisbacher (Boston University)

Posters