The workshop will start with a keynote lecture by Prof. Gloria González-Rivera, who is Professor of Economics at the University of California Riverside (USA) and received her Ph.D. from the University of California San Diego where she wrote her dissertation under the supervision of 2003 Nobel Laureate Professor Robert F. Engle.
Title:
Forecasting in financial markets: reality or illusion?
Abstract:
A discussion of the idiosyncrasies of financial data provides the basis for the modeling and forecasting of financial time series. Though numerous studies have focused on the forecasting of expected returns with relative success, I show that focusing on other measures of returns like the high/low return interval is a more profitable exercise. As an example, I discuss a trading strategy based on the high/low returns.
