New Econometrics in stock market provides a forum for researchers in the intersection of the fields of econometrics and finance. We invite submissions of papers related to the econometric analysis of stock market data, the testing of new or well-established theories using financial data, the measurement of variables relevant in financial decision-making or the development of new econometric methodology with finance applications. Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest.
Possible topics:
 Modeling and forecasting stock returns
Modeling, measuring and forecasting stock volatility and risk premiums
The capital asset pricing model, multifactor models
Empirical pricing models for stock and index derivatives
Empirical studies in corporate finance
Modeling emerging stock markets
Evaluating the performance of stock portfolio management
Modeling microstructure using high frequency data, transactions data
Risk management and hedging
Modeling dynamic conditional moments using thresholds and switching-regimes
Jumps, extreme values, long memory and mixtures models
Empirical credit risk modeling
Publication:
Selected papers in this session will be asked to be extended and revised for possible inclusion in the ¡®Journal of Information Sciences¡¯, ¡®New Mathematics and Natural Computation¡¯ or a book volume.
Important dates:
Full paper submission due: 2006.4.15
Paper acceptance notification date: 2006.6.15
Final (Camera-ready) paper submission due: 2006.7.15
Paper submission:
Authors are invited to submit the extended abstract, limit to 4 pages. Papers should be formatted with double columns and should be single-spaced in a 10 point font, Times Roman. For details please see http://www.jcis.org. Submissions should be sent electronically to Prof. Ray Y. Chou, Institute of Economics Academia Sinica, rchou@econ.sinica.edu.tw
Session Chair:
Professor Ray Y. Chou,
Institute of Economics Academia Sinica,
No. 128 Sec 2 Sinica Rd,
Nangang Taipei, Taiwan, ROC 11528
rchou@econ.sinica.edu.tw
CIEF is one of track of JCIS. JCIS has ISIP citation for many years. Elsevier has accepted the JCIS¡¯s application for EI indexing. |
