Calendar

Events Calendar

High Frequency Financial Econometrics
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 (xiyeyang@economics.rutgers.edu)

Co-organizers: Mingmian Cheng (mcheng@economics.rutgers.edu) and Jungjun Choi (jchoi@economics.rutgers.edu)

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

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