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Advances in Financial Econometrics
Date and time
Friday 9. June 2023 at 08:30 to Saturday 10. June 2023 at 17:30
Registration Deadline
Thursday 1. June 2023 at 12:00
Location
CBS - Solbjerg Plads 3 - Room SPs05 Nykredit Aud.,
Solbjerg Plads 3 - Room SPs05 Nykredit Aud.,
2000 Frederiksberg
CBS - Solbjerg Plads 3 - Room SPs05 Nykredit Aud.
Solbjerg Plads 3 - Room SPs05 Nykredit Aud.
2000 Frederiksberg
Advances in Financial Econometrics
Event Description
Advances in Financial Econometrics
- A Conference in Honor of Torben G. Andersen Hosted by
the Center for Big Data in Finance at CBS
The Center for Big Data in Finance at CBS is proud to announce “Advances in Financial Econometrics”, a conference in honor of Torben G. Andersen.
The conference will celebrate Torben Andersen's contributions to financial econometrics. Specifically, the conference will include presentations and discussions from leading scholars in financial econometrics, including co-authors and former students of Torben’s. For information about Torben G. Andersen, see here.
The conference will take place on June 9-10, 2023, at Copenhagen Business School.
In order to participate in this conference, you need to register on this page.
Venue: Copenhagen Business School (Solbjerg Plads 3, 2000 Frederiksberg) in room SPs05. Please find directions here.
Program
| Friday, June 9 |
| 08:30 - 09:00 | Registration and coffee |
| 09:00 - 09:30 |
Opening remarks
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by Peter Reinhard Hansen, University of North Carolina, Rasmus Varneskov, BIGFI and CBS, and Lasse Heje Pedersen, BIGFI and CBS
|
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| 09:30 - 10:30 | Chair: George Tauchen, Duke University |
|
"Granular Betas and Risk Premium Functions"
by Tim Bollerslev, Duke University "Inference for VIX and Related Option Portfolios"
by Nicola Fusari, Johns Hopkins Carey Business School |
|
| 10:30 - 11:00 |
Coffee break
|
| 11:00 - 12:30 |
Chair: Morten Ø. Nielsen, University of Aarhus
|
|
"Dynamic Autoregressive Liquidity (DArLiQ)"
by Oliver Linton, University of Cambridge "How to measure inflation volatility. A Note."
by Maria Gonzalez-Perez, Bank of Spain "FX Invariance"
by Oleg Bondarenko, University of Illinois, Chicago |
|
| 12:30 - 14:00 |
Lunch
|
| 14:00 - 15:30 | Chair: Kim Christensen, University of Aarhus |
|
"Warp Speed Price Moves: Jumps after Earnings Announcements"
by Allan Timmermann, University of California San Diego "Stock Co-Jump Networks"
by Ying-Ying Li, Hong Kong University of Science and Technology "Robust Stock Index Return Predictions Using Deep Learning"
by Andreas Neuhierl, Washington University in St. Louis |
|
| 15:30 - 16:00 | Coffee break |
| 16:00 - 17:30 | Chair: Serena Ng, Columbia University |
|
"Intangibles Investment and Asset Quality"
by Robert Korajczyk, Kellogg School of Management "Continuous-Time Fama-MacBeth Regressions"
by Dacheng Xiu, University of Chicago "A Robust High Frequency Financial Econometrics"
by Neil Shephard, Harvard University |
|
| 18:15 - 18:30 |
Welcome drinks at Restaurant Frederiks Have
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(Virginiavej 1, 2000 Frederiksberg)
|
|
| 18:30- |
Dinner at Restaurant Frederiks Have
|
| Saturday, June 10 |
| 09:00 - 10:30 | Chair: Jun Yu, Singapore Management University |
|
"Bespoke Realized Volatility: Tailored Measures of Risk for Volatility Prediction"
by Andrew Patton, Duke University "Robust Estimation of Realized Correlation"
by Peter Reinhard Hansen, University of North Carolina "Nonparametric Stochastic Discount Factor Decomposition via High-Dimensional Learning"
by Rasmus Varneskov, BIGFI and CBS
"Systematic Jump Risk"
by Viktor Todorov, Kellogg School of Management |
|
| 10:30 - 11:00 | Coffee break |
| 11:00 - 12:30 | Chair: Robert Taylor, University of Essex |
|
"Forecast Comparison Tests Under Fat Tails"
by Nour Meddahi, Toulouse School of Economics "Exploring the Variance Risk Premium Across Assets"
by Steve Heston, University of Maryland "High-Frequency Cross-Market Trading: Model Free Measurement and Testable Implications" by
Dobrislav Dobrev, Federal Reserve Board |
|
| 12:30 - 14:00 | Lunch |
| 14:00 - 15:30 | Chair: David Lando, BIGFI and CBS |
|
"Firm Financing, Bank Lending, and Economic Activity"
by Luca Benzoni, Federal Reserve Bank of Chicago "Semivolatility-Managed Portfolios"
by Marcelo Fernandes, Sao Paulo School of Economics "Spectral Asset Pricing"
by Federico Bandi, Johns Hopkins Carey Business School |
|
| 15:30 - 16:00 | Coffee break |
| 16:00 - 17:30 | Chair: Anders Rahbek, University of Copenhagen |
|
"Compound Tail Risk"
by Robert Engle, Stern School of Business NYU "Market Responses to a VIX Impulse"
by Nikolaus Hautsch, University of Vienna "On Robust Inference in Time Series Regression"
by Francis Diebold, University of Pennsylvania |
|
| 17:30 - 17:40 |
Closing remarks
|
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by Peter Reinhard Hansen, University of North Carolina, Rasmus Varneskov, BIGFI and CBS
|
Event Location
Click to view the event location on Google Maps >
Organizer Contact Information
Julie Kragerup Sørensen
Phone: +45 3815 3680
bigfi@cbs.dk
Registration
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Organizer Contact Information
Julie Kragerup Sørensen
Phone: +45 3815 3680
bigfi@cbs.dk