?????. ???? BK21 ??????.

2012? 7? 26, 27? ???? ??? ??? ??? ????.

????? ?? ?? ??????? ? ? ?? ??? ??? ??? ??? ?? ?????? 2000??? ?? ?? ? ??? ??? ????. ??? ??? ???? ????? ???? ??????? ???? ?? ?? ???? ?? ?????.

?? ????? ??????? ???????(Financial Econometrics)? ???? ???? Princeton University? Yacine Ait-Sahalia ??? ???? ???? ????? ???. ?? ? ???? ??? ?? ??? ?? ? ??? ??? ?? ????? ?? ?? ??? ?? ??? ????. ??????? ??? ????????.

------------------------  ?    ?-------------------------

2012? 7? 26? ?? 201?

Special Lecture 1 (10:00 – 11:30am)

A Brief Introduction to Jump Processes

Special Lecture 2 (1:30 – 3:00pm)

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components

in High Frequency Data

2012? 7? 27? ?? 201?

Seminar (10:00 – 11:30am)

Asset Allocation and Risk Management in a World Where All Asset Classes Can

Fail Together

Ait-Sahalia ?? ??:

Otto A. Hack 1903 Professor of Finance and Economics, and

Director, Bendheim Center for Finance, Princeton University

Editor,  Review of Financial Studies

Associate Editor,  Annals of Statistics, Econometrica, Journal of Finance,

           Journal of Financial Econometrics, Finance and Stochastics,

Journal of Econometrics

Editor(with L.P. Hansen),  Handbook of Financial Econometrics

???? BK21 ???? ??? ??? ?? • ???

TEL : 02-2123-4430 / FAX : 02-393-1158

http://ecobk21.yonsei.ac.kr/