Calendar

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.

Sponsorship

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

Contact:

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