Conference Papers & Presentations
Please find attached speaker presentations from the 5th annual conference of SoFiE:
DAY 1 - Wednesday 20th June - PRESENTATIONS
Eric Renault (Brown University) “Disentangling the Effects of Heterogeneous Beliefs and Preferences on Asset Prices” (with Fousseni Chabi-Yo and Eric Ghysels) 20_EricRenault_01.pdf and EricRenault_Abstract.pdf
Lord Robert May (University of Oxford & OMI) “Systemic Risk in Financial Ecosystems” 20_RobertMay_02.pdf
Robert F. Engle, former President of SoFiE (New York University) “Dynamic Conditional Beta” 20_RobertEngle_03.pdf
Diaa Noureldin (University of Oxford & OMI) “Multivariate Rotated ARCH models” (with Neil Shephard and Kevin Sheppard, both University of Oxford and OMI) 20_DiaaNoreldin_04.pdf and DiaaNoureldin_Paper.pdf
Andrew Patton (Duke University) “Modelling Dependence in High Dimensions with Factor Copulas” (with Dong Hwan Oh, Duke) 20_AndrewPatton_05.pdf and AndrewPatton_Paper.pdf
Alain Monfort (CREST, Banque de France and Maastricht University) “Regime Switching and Bond Pricing” 20_AlainMonfort_06.pdf
Drew Creal (University of Chicago) “Market based credit ratings” (with Robert Gramacy and Ruey Tsay, both University of Chicago) 20_DrewCreal_07.pdf and DrewCreal_Paper.pdf
Bernd Schwaab (European Central Bank) “Conditional Probabilities and Contagion Measures for Euro Area Sovereign Risk” (with Xin Zhang and Andre Lucas, both VU University Amsterdam) 20_BerndSchwaab_08.pdf
Anh Le (University of North Carolina at Chapel Hill) “Interest Rate Volatility and No-Arbitrage Term Structure Models” (with Scott Joslin, University of Southern California) 20_AnhLe_09.pdf
Enrique Sentana (CEMFI) “New Testing Approaches for Mean-Variance Predictability” (with Gabriele Fiorentini, University of Florence) 20_EnriqueSentana_10.pdf
Viktor Todorov (Northwestern University) “Parametric Inference, Testing and Dynamic State Recovery from Option Panels with Fixed Time Span” (with Torben G Andersen and Nicola Fusari, both Northwestern) 20_ViktorTodorov_11.pdf and ViktorTodorov_Paper.pdf
Gala Dinner Speaker - John Campbell (Harvard University) "Mortgage Market Design" 20_JohnCampbell_12.pdf
DAY 2 - Thursday 21st June - PRESENTATIONS
Patrick Gagliardini (University of Lugano and Swiss Finance Institute) “Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets” (with Elisa Ossola, University of Lugano and Olivier Scaillet, University of Genèva and Swiss Finance Institute)21_PatrickGagliardini_01.pdf and PatrickGagliardini_Paper.pdf
Michael McCracken (Federal Reserve Board of St Louis) “Testing the Economic Value of Asset Return Predictability” (Giorgio Valente, Essex University) 21_MichaelMcCracken_02.pdf
Michalis Vasios (University of Warwick) “Do Investors Benefit from More Transparency? An Asset Allocation Perspective” (with Ingmar Nolte, University of Warwick and Richard Payne, City University) 21_MichalisVasios_03.pdf and MichalisVasios_Paper.pdf
Dobrislav Dobrev (Federal Reserve Board of Governors) “A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation” (with Torben G Andersen, Northwestern, and Ernst Schamburg, New York Fed)
Ulrich Hounyo (University of Montreal) “Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise” (with Silvia Goncalves, University of Montreal and Nour Meddahi, University of Toulouse) 21_UlrichHounyo_05.pdf and UlrichHounyo_Paper.pdf
Zhiyuan Zhang (Shanghai University of Finance and Economics) “Volatility Inference in The Presence of Both Endogenous Time and Microstructure Noise” (with Yingying Li and Xinghua Zheng, both Hong Kong University of Science and Technology)
21_ZhiyuanZhang_06.pdf and ZhangZhiyuan_Paper.pdf
Lan Zhang (University of Illinois at Chicago) "The Algebra of High Frequency Estimation" 21_LanZhang_07.pdf
Eric Ghysels (University of North Carolina at Chapel Hill) “Macroeconomics and the Reality of Mixed Frequency Data”
21_EricGhysels_08.pdf and EricGhysels_Paper.pdf
Siem Jan Koopman (VU University Amsterdam) “Long-Memory Dynamics for Multivariate Dependence Under Fat Tails” (Pawel Janus and Andre Lucas, both VU University Amsterdam) 21_SiemJanKoopman_09.pdf and SiemJanKoopman_Paper.pdf
Sai Kwok (Cornell University) “A Nonparametric Test of Granger Causality in Continuous Time” 21_SaiKwok_10.pdf and
George Tauchen (Duke University) “Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions” (with Viktor Todorov, Northwestern) 21_GeorgeTauchen_11.pdf and GeorgeTauchen_Paper.pdf
Jean-Sebastien Fontain (Bank of Canada) “Risk Premium, Variance Premium and the Maturity Structure of Uncertainty” (Bruno Feunou, Bank of Canada, Abderrahim Taamouti, Carlos III, Madrid and Romeo Tedongap, Stockholm School of Economics)
21_Jean-SebastienFontaine_12.pdf
Thomas McCurdy (University of Toronto) “Do Jumps Contribute to the Dynamics of the Equity Premium?” (with John Maheu and Xaiofei Zhao, both University of Toronto) 21_ThomasMcCurdy_13.pdf and ThomasMcCurdy_Paper.pdf
Diego Ronchetti (Columbia University and University of Lugano) “An Empirical Study of Stock and American Option Prices”
21_DiegoRonchetti_14.pdf and DiegoRonchetti_Paper.pdf
Jun Yu (Singapore Management University) “Testing for Multiple Bubbles” (with Shu-Ping Shi, ANU and Peter C.B. Phillips, Yale, Southampton and SMU) 21_JunYu_15.pdf and JunYu_Paper.pdf
M. Hashem Pesaran (University of Cambridge and USC) “Testing CAPM with a Large Number of Assets” (with Takashi Yamagata, University of York) 21_HashemPesaran_16.pdf and M.HashemPesaran_Paper.pdf
DAY 3 - Friday 22nd June - PRESENTATIONS
Luc Bauwens (University of Louvain) “CAW-DCC: A dynamic model for vast realized covariance matrices” (Giuseppe Storti, University of Salerno and Francesco Violante, Maastricht University) 22_LucBauwens_01.pdf and LucBauwens_Paper.pdf
Christian Hafner (University of Louvain) “Volatility of Price Indices for Heterogeneous Goods” (with Fabian Bocart, University of Louvain)
Dacheng Xiu (University of Chicago) “A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices” (with Zhaogang Song, Board of Governors of the Federal Reserve System) 22_DanchengXiu_03.pdf
Paolo Zaffaroni (Imperial College London) “On Moment Conditions for Quasi-Maximum Likelihood Estimation of Multivariate ARCH Models” (with Marco Avarucci and Eric Beutner, Maastricht University) 22_PaoloZaffaroni_04.pdf
Glenn Rudebusch (Federal Reserve Bank of San Francisco) “The Signaling Channel for Federal Reserve Bond Purchases” (with, Michael Bauer San Francisco Fed) 22_GlennRudebusch_05.pdf
Mikhail Chernov (London School of Economics) “Crash Risk in Currency Returns” (with Jeremy Graveline, University of Minnesota and Irina Zviadadze, London Business School)
Kameliya Filipova (University of St Gallen) “Yield Curve Predictability, Regimes, and Macroeconomic Information: An Asset- Pricing Approach” (with Francesco Audrino and Enrico De Giorgi, both University of St Gallen) 22_KamelivaFilipova_07.pdf
Zhaogang Song (Board of Governors of the Federal Reserve System) “Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles, and Conditional Volatility” (Haitao Li, University of Michigan) 22_ZhaogangSong_08.pdf and ZhaogangSong_Paper.pdf
René Garcia (EDHEC Business School) ``Robust Economic Implications of Nonlinear Pricing Kernels’’ (joint with Caio Almeida, FGV Rio de Janeiro) 22_ReneGarcia_09.pdf and ReneGarcia_Paper(1).pdf and ReneGarcia_Paper(2).pdf
Peter Hansen (European University Institute & Stanford) "Choice of Sample Split in Out-of-Sample Forecast Evaluation" (with Allan Timmermann, UCSD) 22_PeterHansen_10.pdf and PeterHansen_Paper.pdf
Luca Benzoni (Federal Reserve Bank of Chicago) “Core and `Crust': Consumer Prices and the Term Structure of Interest Rates” (with Andrea Ajello, Board of Governors of the Federal Reserve System and Northwestern and Olena Chyruk, Chicago Fed)
Matthias Fengler (University of St Gallen) “Semi-Nonparametric Estimation of the Call Price Surface under No-Arbitrage Constraints” (with Lin-Yee Hin, Emphron Informatics) 22_MatthiasFengler_12.pdf and MatthiasFengler_Paper.pdf
Seth Pruitt (Federal Reserve Board of Governors) “Market Expectations in the Cross Section of Present Values” (with Bryan Kelly, Chicago University) 22_SethPruitt_13.pdf and SethPruitt_Paper.pdf