Opening Remarks
Toshiaki Watanabe (Hitotsubashi University)

Keynote Talk
Chair: Toshiaki Watanabe (Hitotsubashi University)

Yacine Aït-Sahalia (Princeton University) “Asset pricing in an economy with
changing sentiment and price feedback” Co-authors: Patrick Beissner (Australian National University), Patrick Cheridito (ETH Zurich) and Felix Matthys (ITAM Mexico)

Coffee Break

Empirical Finance
Chair: Eiji Kurozumi (Hitotsubashi University)

Mutual Fund IPOs” Co-authors: Alan Huang (University of Waterloo), Daisuke
Miyakawa (Waseda University), Sho Nishiuchi (Hitotsubashi University) and Russ Wermers (University of Maryland)

Empirical Finance
Jouchi Nakajima (Hitotsubashi University) “Bayesian analysis of long
memory and roughness in financial volatility” Co-author: Toshiaki Watanabe
(Hitotsubashi University)

Coffee Break

High-Frequency Data
Chair: Makoto Takahashi (Hosei University)
Tsunehiro Ishihara (Takasaki City University of Economics) “Multivariate
realized stochastic volatility model using time varying coefficient characteristics factor regression”

High-Frequency Data
Chair: Makoto Takahashi (Hosei University)

Masato Ubukata (Meiji Gakuin University) “Out-of-sample high-frequency
returns predictability on the Tokyo Stock Exchange” Co-author: Toshiaki Watanabe　(Hitotsubashi University)

Coffee Break

Quantile Forecast
Chair: Yohei Yamamoto (Hitotsubashi University)

Toshio Honda (Hitotsubashi University) “High-dimensional expected
shortfall regression (tentative)”

Quantile Forecast
Chair: Yohei Yamamoto (Hitotsubashi University)

5 Makoto Takahashi (Hosei University) “Realized stochastic volatility model
with skew-t distributions for improved volatility and quantile forecasting” Co-authors:Yuta Yamauchi (Nagoya University), Toshiaki Watanabe (Hitotsubashi University) and Yasuhiro Omori (University of Tokyo)

Closing Remarks
Etsuro Shioji (Chuo University)