Why Is Financial Market Volatility So High?
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Date: 11-19-2008
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Robert Engle, New York University
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT
Taking risk to achieve return is the central feature of finance. Volatility is a way to measure risk and when it is changing over time the task is especially challenging. Measures of volatility are presented using up to date information on US Equity markets, bond markets, credit markets and exchange rates. Similar measures are shown for international equities. The economic causes of volatility are discussed in the light of new research in a cross country study. These are applied to the current economic scene. Long run risks are then discussed from the same perspective. Two long run risks are discussed – climate change and unfunded pension funds. Some policy suggestions are made to reduce these risks and benefit society today as well as in the future.
BIO
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.
Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.
*There will be a cocktail following the event.
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