Special Event Seminar
Friday, April 20, 2018, 08:30am - 06:00pm
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)