Statistical Methods in Finance 2018

Dec 17 - 20, 2018















Monday, December 17, 2018
9:00- 10:00 Plenary Talk by Nalini Ravishanker, University of Connecticut, USA
High-Frequency Financial Time Series Analysis
10:00-10:15 High Tea
10:15- 10:50 Invited Talk by N Balakrishna, Statistic, Cochin University of Science And Technology
Applications of Birnbaum-Saunders Distribution in Modelling Stochastic Volatility
10:55- 11:30 Invited Talk by Ananya Lahiri, IIT Tirupati
Asymptotic properties of the volatility estimator from high frequency data modeled by mixed fractional Brownian motion
11:30- 13:00 Contributed Session 1 Click Here for Detail
13:00- 14:00 Lunch
14:00- 14:35 Invited Talk by Sugata Sen Roy, Calcutta University
Financial Inclusion Measurement : Searching for an Alternative Index
14:40- 15:15 Invited Talk by Anirban Chakraborti
Mesoscopic Financial Network: Sectoral Co-movements and Core-periphery Structure
15:15-15:30 High Tea
15:30-16:55
Tuesday, December 18, 2018
9:00- 10:00 Prof T. Krishnan Memorial Talk by Katherine Bennett Ensor, Rice University, USA
Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods
10:00-10:15 High Tea
10:15- 10:50 Invited Talk by Ravindra Khattree, Oakland University, USA
A New Approach to the Estimation of Beta Risk and An Analysis of Stock Market Through Copula Transformation and Winsorization with S&P500 Index as Proxy
10:55- 11:30 Invited Talk by Sonali Das, CSIR, South Africa
Investigating effect of global crisis index on historical comovement of stock returns in the G7 countries: An FDA approach
11:30- 13:00 Contributed Session 2 Click Here for Detail
13:00- 14:00 Lunch
14:00- 14:35 Invited Talk by T.V. Ramanathan, Savitribai Phule Pune University
A new class of asymmetric volatility models
14:40- 15:15 Invited Talk by Rangan Gupta, University of Pretoria, South Africa
Cricket and Stock Markets
15:15-15:30 High Tea
15:30-16:15 Contributed Session 3 Click Here for Detail
16:20-17:50
18:00-20:30 Carnatic Music
20:30-21:30 Conference Dinner
Wednesday, December 19, 2018
9:00- 10:00 Plenary Talk by Ajay Shah, National Institute of Public Finance and Policy, New Delhi
The statistics of exchange rate regimes: Recent developments and possibilities for new research
10:00-10:15 High Tea
10:15- 10:50 Invited Talk by Debopam Bhattacharya, Cambridge University, UK
The Empirical Content of Discrete Choice Models
10:55- 11:30 Invited Talk by Arnab Chakrabarti, Indian Statistical Institute, Chennai
Copula estimation for bivariate nonsynchronous financial data
11:35- 12:10 Invited Talk by Vitthal Kulkarni, HDFC Bank, Mumbai
Recent Development in Derivatives Valuations under various Regulatory Guidelines.
12:15- 12:50 Invited Talk by Susan Thomas, Indira Gandhi Institute of Development and Research, Mumbai
Volatility forecasting for Distance-to-Default estimation
12:50-13:00 Vote of Thanks
13:00- 14:00 Lunch
14:00-17:00 Workshop on "Optimization in Finance" by Anindya Goswami
Thursday, December 20, 2018
9:00-17:00 Workshop on "Optimization in Finance" by Anindya Goswami