Call for Papers
Non- and Semiparametric Volatility and Correlation Models
{ Economic Sources of Volatility, Risk Decomposition and Financial Crises
to be held from 24 to 26 July 2014 at the University of Paderborn, Germany
The workshop aims to summarize the development and application of non- and semiparametric
volatility and correlation models in the last decade and to provide a forum for researchers
in this sub-area of nancial econometrics to exchange their current results and discuss the
frontiers of future research. The main purposes are for instance to discuss interactions between
economics and nancial markets, to analyze the eects of nancial crises as well as to improve
the measurement of systemic risk by means of semiparametric approaches.
Possible topics include, but are not limited to:
 Long-term dynamics and economic sources of volatility
 Long-term dynamics and economic sources of correlations
 Regime switching and semiparametric stochastic volatility models
 Structural breaks in volatility and nancial crises
 Semiparametric modeling of high-frequency and related data
 Non- and semiparametric quantile regression for modeling volatility and correlations
 Application to quantitative risk management and measurement of systemic risk
Submission of contributions
Contributions are warmly welcome. An extended abstract of no longer than two pages should
be submitted. The online submission system is open since April 2014. The deadline for
submitting the abstract of a contributed talk is May 31, 2014. Proposals for organized sessions
each with three or four speakers for a total of 90 minutes are also highly encouraged. Please
submit your proposal of an organized session via e-mail to the local organizing committee
(Loc.NSVCM@uni-paderborn.de). If it is necessary, an early conrmation of acceptance of a
contributed talk is possible.
Publication
The abstract written in LaTex with a maximal length of two pages should be submitted. The
abstracts will be published in a Book of Abstracts of the workshop. Full papers of selected
contributions will be published in an edited volume by a well known publisher. The deadline
for submitting full papers will be announced later. You can also submit the full paper along
with a separate extended abstract.
For further information see the workshop's website:
http://groups.uni-paderborn.de/nsvcm2014/
Or e-mail to Info.NSVCM@uni-paderborn.de