Events Calendar

High Frequency Financial Econometrics

Special Event Seminar

Friday, April 20, 2018, 08:30am - 06:00pm

Program details

Breakfast (8:00 to 8:30)

8:30 – 9:15 Torben Andersen, Northwestern University. “The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets” (joint with Nicola Fusari and Viktor Todorov).

9:15 – 10:00 Per Mykland, University of Chicago

10:20 – 11:05 Jia Li, Duke University. “Generalized Jump Regressions with an Application to Volume-Volatility Relations” (Joint with Tim Bollerslev and Leonardo Salim Saker Chaves).

11:05 – 11:50 Lan Zhang, University of Illinois at Chicago

Lunch (11:50 to 12:50)

12:50 – 1:35 Tim Bollerslev, Duke University. “Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix” (joint with Andrew Patton and Rogier Quaedvlieg)

1:35 – 2:20 George Tauchen, Duke University. “Jump Factor Models in Large Cross-Sections” (joint with Jia Li and Viktor Todorov).

2:40 – 3:25 Dacheng Xiu, University of Chicago. “When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility” (joint with Rui Da)

3:25 – 4:10 Viktor Todorov, Northwestern University. “Nonparametric Option-Based Volatility”.

4:30 – 5:15 Ilze Kalnina, North Carolina State University.

5:15 – 6:00 Xiye Yang, Rutgers University. “Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas” (joint with Yuan Liao)

Dinner (6:15 to 8:15, Guests and Faculty only) at Harvest Moon Brewery & Cafe.


Dean of the Social and Behavior Sciences in the School of Arts and Sciences (Junior Faculty Workshop Award)


Conference organizer: Xiye Yang (This email address is being protected from spambots. You need JavaScript enabled to view it.)

Co-organizers: Mingmian Cheng (This email address is being protected from spambots. You need JavaScript enabled to view it.) and Jungjun Choi (This email address is being protected from spambots. You need JavaScript enabled to view it.)

Location  Academic Building, Room 1180, (CAC), 15 Seminary Place, New Brunswick, NJ
Contact  Xiye Yang, Mingmian Cheng, Jungjun Choi

Upcoming Events

Fri Oct 07 @ 1:30PM - 03:00PM
Empirical Microeconomics
Natalia D’Agosti, Rutgers University
Thu Oct 13 @ 4:00PM - 05:30PM
Konrad Menzel, New York University
Fri Oct 14 @ 1:30PM - 03:00PM
Empirical Microeconomics
Alexandra Spitz-Oener, Humboldt University
Mon Oct 17 @ 2:30PM - 04:00PM
Money, History and Finance
Peter Conti-Brown, Wharton School at the University of Pennsylvania
Fri Oct 21 @ 1:30PM - 03:00PM
Empirical Microeconomics
Bin Xie, Jinan University
Tue Oct 25 @ 3:00PM - 04:30PM
Macroeconomic Theory
Gaston Navarro, Federal Reserve Board
Fri Oct 28 @ 1:30PM - 03:00PM
Empirical Microeconomics
Brittany Street, University of Missouri
Thu Nov 03 @ 4:00PM - 05:30PM
Ashesh Rambachan, Microsoft Research/MIT
Fri Nov 04 @ 1:30PM - 03:00PM
Empirical Microeconomics
Michele Pellizzari, University of Geneva (joint with Federica Braccioli, Paolo Ghinetti, Simone Moriconi and Costanza Naguib)
Mon Nov 07 @ 2:30PM - 04:00PM
Money, History and Finance
Juan Antolin Diaz, London Business School
Thu Nov 10 @ 4:00PM - 05:30PM
Bo Honore, Princeton University
Fri Nov 11 @ 1:30PM - 03:00PM
Empirical Microeconomics
Silvia Prina, Northeastern University
Mon Nov 14 @ 2:30PM - 04:00PM
Money, History and Finance
Stephen Redding, Princeton University
Thu Nov 17 @ 4:00PM - 05:30PM
Isaiah Andrews, Harvard University