The Information Content of Implied Volatility Indices for Forecasting Volatility and Market Risk
|Date||5 March 2003|
|Time||13:00-14:00 (Timezone: Europe/London)|
|Venue||ICMA Centre, Room G03/04|
He is also a board member of CORE at the Université catholique de Louvain (UCL) and he is a visiting professor at UCL and at the Sorbonne in Paris. He holds a Ph.D. in financial econometrics from CORE (UCL, Belgium). Prior to his current assignment in Namur, he was a professor of econometrics and quantitative finance at Maastricht University in The Netherlands. His research interests focus on modelling risk and volatility and also deal with applied market microstructure and the use of intraday data. He has published or has papers forthcoming in academic journals such as The Journal of Applied Econometrics, Energy Economics, The Journal of Futures Markets or The Journal of Computational Finance. He is the author of the book ?Econometric modelling of stock market intraday activity? published by Kluwer Academic Publishers and is also a consultant to financial institutions.