Financial Forecasting F2 section

European Society of Computational Methods in Sciences and Engineering

ESCMSE

Visit the Society's website

 

Return to the table of contents page – Contact us at aff@uop.gr

 

News and Updates: last updated ***** Friday, October 07, 2005 *****

 

Å    10/07/05 – Two AFF related announcements:

1.      Professor Menachem Brenner has notified us that, due to a serious family emergency, he will not be able to attend and give his schedule lecture on Sunday the 23rd. We are very sorry that Professor Brenner will not be joining us and hope that we will have the opportunity of having him at one of the future AFFs.

2.      Taking into account the above cancellation we have now made available the final program. Click here to go to the program webpage (you can download a pdf copy from as well). There were some minor changes that are not affecting the flow of the sessions:

a.       The session chairs have been added to the program.

b.      The scheduled lunch break is for 1.30pm every day except Sunday when it’s on 1.45pm.

c.       There will be a ˝ hour afternoon break every day.

d.      There has been a rescheduling of Sunday’s sessions due to the cancellation of Professor Brenner’s talk.

3.      Please note that the time allotment for each session speaker is 15-20min plus 5-10min for questions.

 

Å    10/02/05 – There are two modes of transportation now available to and from the symposium site: (a) you can reserve a seat at the chartered buses that the ICCMSE conference will be providing - please download the related brochure here; (b) the new, fast-rail service (Proastiakos) is operating a line from the airport to the city of Corinth (10 mins by cab to the hotel) and its very easy to use – please download the related brochure here.

 

Å    09/23/05 – We are very pleased to announce that three (3) more journals will welcome submissions from the 2nd AFF participants, and the members of the F2 section in general, and agreed to be listed in the list of journals supporting the symposium and the section. The journals are Forecasting Letters, Finance Letters and Risk Letters. All three are new, letter/short paper type journals that fit well in the format of the AFF symposium. We would like to express our appreciation to Ercan Balaban at the Management School & Economics, University of Edinburgh – UK, Founding and Managing Editor of the journals, for his support and cooperation.

(Please note the journal pages will soon be moving to the publisher’s new website www.globaleconfinance.com – currently under construction)

 

Å    09/17/05 – There haven been minor changes in the AFF program. The main body of the program has not been affected but due the inability of some colleagues to attend we restructured a couple of sessions with some later comers. Click here to get to the updated program page;  you can also download a pdf version of the program for printing here. We will be making the final program by about the end of September.

 

Å    08/16/05 – The tentative program is out and available. Click here to get there directly; you can also find the program webpage following the link of the updated symposium website. A pdf version of the program for printing is also available here!

 

Å    08/15/05 – A tentative program for the 2nd AFF in October is almost ready and will be released soon! In the meantime, you can start preparing for your trip by downloading the hotel reservation form or by going to the updated symposium website here.

 

Å    08/01/05 – A lot of news have accumulated over the past month and a half! The participation to the 2nd AFF has been really great and we do look forward to meeting in person all the colleagues that are coming in October. Here are the latest news then:

ø We are delighted to introduce our newest Honorary Fellow, Professor James Lothian. Professor Lothian is University Distinguished Professor of Finance at Fordham University, New York. Professor Lothian has extensive professional and academic experience and many publications to his credit. He has been the Editor of the Journal of International Money and Finance for many years and is the Director of the Frank J. Petrilli Center for Research in International Finance. Professor Lothian has made numerous contributions to the fields of international finance and money and banking and has published extensively in leading publications including the American Economic Review, the Journal of International Money and Finance, the International Journal of Forecasting, the Journal of Political Economy and others. We are very appreciative of the support and courtesy of Professor Lothian and we do look forward to meeting him in one of the future AFF.

ø We are delighted to announce that we have two more session speakers:

(a) Menachem Brenner, Professor of Finance at the Leonard N. Stern School of Business at New York University, has accepted to be the session keynote speaker for the session “Advances in Derivatives, Asset Allocation, and Alternative Investments” organized by Daniel Giamouridis and George Skiadopoulos. Professor Brenner has extensive professional experience in addition to his academic credentials: he served as a consultant to leading Stock Exchanges, Banks, and other financial institutions and he was also a floor trader in futures and options on the New York Futures Exchange and the NYSE. Professor is an Editor of the Review of Derivatives Research and has published numerous papers in leading academic journals such as Financial Management, Journal of Banking and Finance, Journal of Business, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Political Economy, and Review of Economics and Statistics. We would like to thank Professor Brenner for his participation and courtesy and look forward to seeing him at the 2nd AFF.

(b) Manolis Kavussanos, Professor of Financial Management at the Department of Finance and Accounting at the Athens University of Economics and Business, has accepted to be the session keynote speaker for the “Capital Flows, Portfolio Choice and Macroeconomic Fundamentals” session organized by George Agiomirgiannakis and Constantina Kottaridi. Professor Kavussanos is the Director of the Research Center for Finance at AUEB and has numerous publications in leading economics and finance journals. We would like to thank Professor Kavoussanos for his participation and courtesy and look forward to his talk at the 2nd AFF.

ø With the deadline for submission of extended abstracts now over, we are in the process of preparing an initial program for the 2nd AFF - it should be announced in the AFF website and the F2 mailing list within August (or so). Participation has exceeded our expectations and the five sessions originally planned are going to be full; we anticipate that at least two of the sessions will developed into mini-symposia of their own. As we noted above there are now three session keynote speakers, in addition to the two AFF keynote speakers. We are looking forward to seeing all the participants in October!

 

Å    06/23/05 – Our list of keynote speakers for the upcoming 2nd AFF has grown! In addition to Professor Eric Ghysels, we are now delighted to announce that Professor Dimitris Politis, Honorary Fellow and member of the Advisory Board of the F2 section, has kindly agreed to be our second keynote speaker for our symposium in October. We are very appreciative of Professor Politis’ courtesy and support of the AFF and we do look forward to seeing him at the 2nd AFF.

 

Å    06/16/05 – Another session has been formed for the upcoming 2nd AFF and is being organized by members of our executive team: Dimitris Georgoutsos at the Athens University of Economics and Business, David McMillan (our UK rep) at Durham University and Dimitrios Thomakos at the University of Peloponnese will be running a session on “Non-linear Methods and Applications in Financial Forecasting”. For more information about participating in this session please visit the AFF website here.

 

Å    06/15/05 – We are very pleased to announce that Nikitas Pittis, Professor at the Department of Banking and Financial Management of the University of Piraeus, has accepted to be the session keynote speaker for the session “Applications in Foreign Exchange, Stock Market and Fixed Income Markets”, organized by Ekaterini Panopoulou. We would like to thank Professor Pittis for his participation and courtesy and look forward to seeing him at the 2nd AFF.

 

Å    05/24/05 – The Journal of Financial Econometrics (Oxford University Press) has joined the list of journals that would be accepting submissions of papers from participants of the 2nd AFF! In coordination with Professor Eric Renault, Honorary Fellow of the F2 and the ESCMSE and co-editor of the journal, a special issue has also been planned in relation to the symposium; please download the call for papers here. We would like to thank Professor Renault for his support and for bringing such a prestigious journal to the AFF.

 

Å    05/10/05 – We are delighted to announce that Professor Eric Ghysels kindly accepted our invitation to be our keynote speaker for the upcoming 2nd AFF and to join the list of Honorary Fellows. Professor Ghysels is internationally renowned for his work in econometrics, financial econometrics and empirical finance with numerous contributions to his credit. He is Edward M. Bernstein Distinguished Professor of Economics and Professor of Finance, Kenan-Flagler Business School, at the University of North Carolina in the US. Professor Ghysels is a Fellow of the Journal of Econometrics and the American Statistical, Research Fellow at CIRANO, Montreal, and Extramural Fellow at CentER, Tilburg. He has published in all major econometrics and statistics journals and he is the author of the book The Econometric Analysis of Seasonal Time Series. Professor Ghysels has served in many editorial positions, currently being Associate Editor of the Journal of Econometrics and the Journal of Financial Econometrics. We are much appreciative of the support and courtesy of Professor Ghysels and look forward to seeing him at the 2nd AFF.

 

Å    4/18/05 – We are very pleased to announce that Finance Research Letters (FRL), a new letters-type journal from Elsevier for all areas of finance, has agreed to be listed, along with IJF, at the 2nd AFF as one of the journals that would welcome submissions of papers from AFF participants. FRL welcomes submissions in all finance fields, from asset pricing, investments, risk management, regulation, and insurance to corporate finance, financial intermediation, financial econometrics, financial forecasting, and financial engineering. We would like to express our appreciation to the FRL Editor-in-Chief, Professor Ramo Gencay at Simon Frazer University, Canada, for his support and cooperation.

 

Å    4/15/05 - We are very pleased to announce that two new colleagues have joined the F2 section:

(a) Dimitris N. Politis, Professor of Mathematics and Adjunct Professor of Economics, at the University of California, San Diego, has kindly accepted our invitation to join our list of Honorary Fellows and to also serve on our Advisory Board. Professor Politis enjoys international renown for his contributions in time series analysis, resampling and subsampling for dependent observations, nonparametric spectral and probability density estimation, information theory and signal processing, and the econometric analysis of financial time series. Professor Politis is the author of over 75 research papers in major journals in statistics and time series analysis, including the Journal of the American Statistical Association, the Journal of Econometrics, the Journal of Time Series Analysis, the Journal of Business and Economic Statistics and others, and two books in subsampling and nonparametric statistics. He is Elected Fellow of the Institute of Mathematical Statistics and Associate Editor of the Journal of Statistical Planning and Inference. We are delighted to have Professor Politis with us and we thank him for his support and participation in the F2 section.

(b) Michael W. McCracken, Assistant Professor of Economics, at the University of Missouri, has kindly accepted our invitation and agreed to join our executive team. Professor McCracken's fields of specialization include time series analysis, forecasting and the evaluation of forecasting ability. He has published his innovative research on tests evaluating the predictive ability of competing forecasting models in top journals, including the Journal of Econometrics, the International Journal of Forecasting, the Journal of International Money and Finance and others. Professor McCracken's recent work deals with issues such as the power of tests for predictive ability in the presence of structural breaks, asymptotics for out-of-sample causality and the evaluation of long-horizon forecasts. Professor McCracken will be joining the Board of Governors in Washington this coming fall as a research economist in the Macroeconomic Analysis and Quantitative Studies (MAQS) section of the Division of Research and Statistics. We are delighted to welcome Professor McCracken to our group and the executive team and we thank him for his support to the F2 section.

 

Å    04/10/05 – We are very pleased to announce that the International Journal of Forecasting (IJF) has agreed to be listed at the 2nd AFF as one of the journals that would welcome submissions of papers from AFF participants!!! The IJF is the leading journal in the field of forecasting and the official journal of the International Institute of Forecasters. Many thanks to Dr. Michael Clements, our recent advisory board member and editor of the IJF, for arranging this in coordination with the editor-in-chief of the IJF Dr. Rob Hyndman.

 

Å    04/07/05 – New session approved at the upcoming 2nd AFF! Ekaterini Panopoulou, Research Fellow at the Department of Economics, National University of Ireland, and Research Associate at the Institute for International Integration Studies, Trinity College, will be organizing a session titled “Applications in Foreign Exchange, Stock and Fixed Income Markets”. For a complete listing of topics of interest for this session please visit the AFF website here and scroll down to approved sessions.

 

Å    04/03/05 – Download the updated 2nd announcement and call for papers for the upcoming AFF here!!!

 

Å    04/02/05 – We are delighted to welcome Dr. Michael Clements to the advisory board of our section. Dr. Clements is currently at the Economics Department of the University of Warwick, UK, and a leading figure in economic and financial forecasting; he has numerous publications and contributions in top journals including the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of International Money and Finance, the International Journal of Forecasting, the Journal of Forecasting, and others. Dr. Clements is also the co-author (with David Hendry) of three widely known books in forecasting (Forecasting Economic Time Series, Forecasting Non-Stationary Economic Time Series and A Companion to Economic Forecasting), as well as the author of a forthcoming book Evaluating Econometric Forecasts of Economic and Financial Variables. Dr. Clements is editor of the International Journal of Forecasting and associate editor of the Spanish Economic Review. We appreciate the courtesy and support of Dr. Clements to the F2 section and the ESCMSE.

 

Å    03/28/05 – Another session is approved for the upcoming 2nd AFF in October. George Agiomirgianakis, Senior Lecturer at the Department of Economics at City University, UK, and Associate Professor at the Hellenic Open University, and Constantina Kottaridi, Lecturer at the Department of Economics at the University of Peloponnese, will be organizing a session titled “Capital Flows, Portfolio Choice and Macroeconomic Fundamentals”. Further details about this session – including topics, will be posted soon at the 2nd AFF website. Dr. Agiomirgiannakis is also the secretary general of the European Economics and Finance Society, check their website here.

 

Å    03/23/05 – From the colleague Ana Monteiro at the School of Economics - University of Coimbra, Portugal, we received an announcement for an upcoming workshop “Optimization in Finance” to be held between July 5-8, 2005. Please check the workshop’s website at  http://www.mat.uc.pt/tt2005/of for further information and details.

 

Å    03/10/05 – We are delighted to welcome Professor Eric Renault to the group of our distinguished Honorary Fellows. Professor Renault is internationally known for his contributions in financial econometrics. He is currently the Henry A Latane Distinguished Professor of Economics at the University of North Carolina, Chapel Hill, and he also holds the Canada Research Chair in Financial Econometrics at the University of Montreal. His work has appeared in most top-rated journals including the Journal of Econometrics, the Journal of the Royal Statistical Society, Econometric Theory, Econometrica, and Mathematical Finance. He is founding co-editor of the Journal of Financial Econometrics and an associate editor of several econometrics journals including Econometrica and the Journal of Econometrics. Professor Renault is also a fellow of the Econometric Society. We appreciate the courtesy and support of Professor Renault to the section and the ESCMSE.

 

Å    03/03/05 – We have a second session approved for the 2nd AFF! Daniel Giamouridis, Lecturer at the Department of Accounting and Finance of the Athens University of Economics and Business, and George Skiadopoulos, Lecturer at Department of Banking and Financial Management at the University of Piraeus, are organizing a session on “Advances in Derivatives” and other interesting topics! Please visit the updated AFF Symposium website here for a complete listing of the topics of this session.

 

Å    03/02/05 – The 2nd AFF is featured on the MoneyScience.org website (http://www.moneyscience.org). Check the direct link here and browse the website for lots of useful information about finance and financial forecasting.

 

Å    02/23/05 – Our list of distinguished Honorary Fellows is growing! We are delighted to welcome Professor Tim Bollerslev to the group of Honorary Fellows of the F2 section and the ESCMSE. Professor Bollerslev is internationally known for his contributions in financial econometrics and empirical finance and is the “father” of one of the most widely used models of conditional heteroscedasticity, the GARCH model. He has numerous publications in leading journals and he has wide professional service and recognition. Professor Bollerslev is an Elected Fellow of the Econometric Society, an NBER Faculty Research Fellow and Associate and has served in several editorial positions, including the Journal of Applied Econometrics (currently a co-editor), Journal of Empirical Finance, Journal of Business and Economic Statistics, Review of Financial Studies and others. We thank Professor Bollerslev for his courtesy and support of the F2 section.

 

Å    02/15/05 – We are delighted to welcome our new UK representative and member of our executive team, Dr. David McMillan. Dr. McMillan is Senior Lecturer in Financial Econometrics in the School of Business, Economics and Finance at Durham University. His research interests include time series modeling of intraday financial data, modeling and forecasting volatility and modeling asymmetries and nonlinearities in macroeconomic and financial data and he has published numerous articles in international journals.

 

Å    02/15/05 – The session organization for the 2nd AFF already started! A session on “Asset Pricing and Risk Management” is organized by Associate Professor Dimitrios Malliaropoulos, at the Department of Banking and Financial Management of the University of Piraeus, with the support and participation of two of our coordination and support members, Michail Koubouros and George Pananastasopoulos. Please visit the 2nd AFF website here for further details about participating in this session.

 

Å    02/11/05 – We are delighted to welcome Dr. John B. Guerard as a new member of the F2 executive team. Dr. Guerard’s areas of expertise include financial econometrics, financial forecasting and asset management. He is currently in the Graduate School of Management at Rutgers University and has over 15 years of professional experiences in financial forecasting. He is the author of numerous publications in international journals as well as the author of four books in quantitative finance. Dr. Guerard is Associate Editor in the International Journal of Forecasting and the Journal of Investing.

 

Å    02/04/05 – The mailing list of the section is quite active with new subscriptions! Post your message by sending an email to aff@uop.gr

 

Å    02/04/05 – You can download the first announcement and call for papers brochure for the 2nd AFF here.

 

Å    02/04/05 – Professor Halbert White, Honorary Fellow of the F2 section and the ESCMSE, has kindly agreed to serve on the advisory board of the section. It’s a pleasure to have his expertise and support in further promoting the aims of the section. We thank, yet again, Professor White for his courtesy.

 

Å    02/02/05 – The announcement and call for papers for the 2nd AFF is online! Check the symposium website here!!!

 

Å    02/01/05 – We are delighted to announce that Professor Frank Diebold, W. P. Carey Professor of Economics, at the Department of Economics, and Professor of Finance and Statistics at the Wharton School of the University of Pennsylvania has kindly accepted to join our list of Honorary Fellows. Professor Diebold is a leading figure in financial forecasting with numerous publications, affiliations and professional contributions and service. Among others, Professor Diebold is a Fellow of the American Statistical Association and a Fellow of the Econometric Society, and serves or has served in an editorial position in over 15 international journals, including Econometrica, Review of Economics and Statistics, Journal of Financial Econometrics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Empirical Finance, International Economic Review and Journal of Forecasting. We appreciate Professor Diebold’s support and courtesy for the F2 section and the ESCMSE.

 

Å    01/31/05 – Professor Geert Bekaert, Leo G. Cooperman Professor of Finance and Economics at Columbia University Business School has kindly accepted the F2/ ESCMSE invitation to become an Honorary Fellow. Professor Bekaert’s research focus is international finance, with a particular interest in foreign exchange market efficiency, exchange rate determination and international and emerging equity markets. Professor Bekaert is associate editor of Journal of Financial and Quantitative Analysis, the Journal of Finance, the Emerging Markets Review and the Pacific Basin Finance Journal and is coeditor of the Journal of Empirical Finance. We thank Professor Bekaert for his courtesy and support of the F2 section and ESCMSE.

 

Å    01/31/05 – The F2 mailing list is ready. You can subscribe (or unsubscribe) at this webpage (Thanks Kleanthis!).

 

Å    01/25/05 – The internationally renowned econometrician Professor Halbert White at the Department of Economics of the University of California, San Diego (UCSD) has kindly accepted the F2/ESCMSE invitation to become an Honorary Fellow. Professor White’s areas of expertise include econometrics, statistics, artificial neural networks, and forecasting financial markets. Among his many distinctions, Professor White is a Fellow of the Econometric Society, the National Science Foundation and the Journal of Econometrics, as well as senior member of the IEEE. Professor White serves on the editorial board of Neural Computation, Neural Networks, Journal of Computer and Systems Science, and he was past associate editor of the Journal of Econometrics and Econometrica as well as past co-editor of Econometric Theory. We thank Professor White for his courtesy and support of the F2 section and ESCMSE.

 

Å    01/25/05 – The F2 website is up and running…Visit us again soon for the upcoming “call for papers” announcement for the 2nd AFF International Symposium.