QFE Seminar Series

The Volatility Institute hosts the Quantitative Financial Econometrics (QFE) Seminar series, which showcases top research in the active field of financial econometrics.

A guest speaker is invited to present his or her research to the growing community in this field. Past speakers have included David Lando, Ravi Jagannathan, Tim Bollerslev, Jeff Russell, Eric Ghysels, Steven Figlewski, Hal White, Serena Ng, Paul Embrechts, Christian Gourieroux, and more.

Location: Henry Kaufman Management Center, Room 2-65 (location may vary; please check invitation prior to event.)

Time: 12:00p.m. - 1:20p.m.

Spring/Summer 2018
March 5th Robert Engle, NYU Stern How Much SRISK is Too Much?
April 23rd Michael WolfUniversity of Zurich Efficient Weighting: A More Powerful Test for Cross-Sectional Anomalies
May 7th Guillaume Roussellet, McGill University Variance Risk Premia

Fall/Winter 2017
September 11th Jin-Chuan DuanNational University of Singapore Proxy CDS Curves for Individual Corporates Globally
November 13th Yingying LiHong Kong University of Science and Technology Approaching Mean-Variance Efficiency for Large Portfolios
November 27th Robert Litterman, Kepos Capital Applying Asset Pricing Theory to Calibrate The Price of Climate Risk

Spring/Summer 2017
March 27th Francis Longstaff, UCLA Asset Mispricing
April 3rd Peter Van TasselFederal Reserve Bank of NY Global Variance Term Premia and Intermediary Risk Appetite
May 1st Ravi Bansal, Duke University Price of Long-Run Temperature Shifts in Capital Markets

Fall/Winter 2016
October 10th Harrison Hong, Columbia University Climate Risks and Market Efficiency
October 17th Glenn Rudebusch, Federal Reserve Bank of San Francisco Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
November 7th Dror Kenett, Office of Financial Research Monitoring Asset Price Correlation Patterns: Theory and Applications [1] [2]
November 28th Jianqing Fan, Princeton University (Time/Venue Change: 12:30pm - 1:50pm in Room 2-70) Robust Statistical Learning from Large Volatility Matrix [1] [2]
December 5th Bryan Kelly, The University of Chicago Booth School of Business The Distribution of Option Returns

Spring/Summer 2016
February 29th Robert Stambaugh, University of Pennsylvania - The Wharton School Mispricing Factors
March 28th Guillaume Roussellet, NYU Stern Volatility Institute Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound
May 2nd Richard Roll, Caltech Agnostic Tests of Stochastic Discount Factor Theory

Fall/Winter 2015
December 14th Eric Renault, Brown University Affine Option Pricing Model in Discrete Time
December 7th Andrew Patton, NYU Stern Dynamic Models for Expected Shortfall and Value at Risk
October 26th Kris Jacobs, Bauer College of Business, University of Houston Leverage And The Value Premium
October 19th Rob Engle, NYU Stern Long Run Risk Management: Scenario Generation for the Term Structure
October 5th Serena Ng, Columbia University Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Spring/Summer 2015
April 20th Jin-Chuan Duan,
National University of Singapore
"Default Correlations and Large-Portfolio Credit Analysis"
April 13th Fany Declerk,
Toulouse School of Economics
March 2nd Laura Veldkamp, NYU Stern Understanding Uncertainty Shocks and the
Role of Black Swans
February 2nd Andrew Patton,
Duke University
High-Dimensional Copula-Based Distributions
with Mixed Frequency Data

Fall/Winter 2014
November 17th Antonio Mele, Swiss Finance Institute "Pricing Options and Futures on a Government Bond Volatility Index"
November 10th Mark Flood, John Liechty, and Thomas Piontek
Office of Financial Research, US Department of the Treasury
"Macroeconomic Patterns in System-Wide Liquidity Regimes"
October 27th J. Huston McCulloch,
Ohio State University
"The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty"
September 22nd Mark Gertler,
NYU Department of Economics
"Monetary Policy Surprises, Credit Costs and Economic Activity"
*Tuesday* September 16th Andrew Caminschi,
University of Western Australia
"Any Silver Linings? The London Silver Fixings' impact on public silver markets before and after the introduction of contemporaneous futures trading."
September 15th Andrei Shleifer,
Harvard University
"Banks as Patient Fixed-Income Investors"

Spring/Summer 2014
May 12th Arvind Krishnamurthy,
Kellogg School of Management, Northwestern University
"Measuring Liquidity Mismatch in the Banking Sector"
February 24th Thomas Eisenbach, Federal Reserve Bank of New York “Fire-Sale Spillovers and Systemic Risk”

Fall/Winter 2013
December 2nd Neil Shephard,
Harvard University
"Martingale unobserved component models"
November 11th Tim Bollerslev,
Duke University
"Stock Return Predictability and Tail Risk Premia"
November 4th Dan Galai,
The Jerusalem School of Business Administration, The Hebrew University of Jerusalem
"The impact of dividend policy on the valuation of equity, debt and credit risk"
October 28th Bryan Kelly,
University of Chicago Booth School of Business
"Firm Volatility in Granular Networks"
September 30th Keith Godfrey,
The University of Western Australia
"Empirical inference of related trading between two securities: Detecting pairs trading, merger arbitrage, and strategy rules"
September 23rd David Hendry,
University of Oxford
"Semi-automatic Non-linear Model Selection"
September 16th Robert Engle, NYU Stern
with Emil Siriwardane
"Structural GARCH - the volatility-leverage connection"

Spring/Summer 2013
May 20th Kevin Sheppard, University of Oxford "Measuring Market Speed"
April 29th Andrew Patton, Duke University “Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads”
March 25th Xin Huang,
Duke University
"The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises"
March 4th Viral Acharya, NYU Stern School of Business "The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks"
February 25th Peter Christoffersen, University of Toronto, The Rotman School of Management "The Factor Structure in Equity Option Prices"

Fall/Winter 2012
December 10th Drew Creal, The University of Chicago Booth School of Business "Estimation of non-Gaussian affine term structure models"
November 26th Eric Ghysels, University of North Carolina, Chapel Hill "Macroeconomics and the Reality of Mixed Frequency Data"
October 15th Shimon Kogan, University of Texas at Austin "Which News Drives Stock Prices? A Textual Analysis"
September 24th Eric Jondeau, HEC Lausanne Dynamic Conditional Beta and Systemic Risk in Europe

Spring/Summer 2012
May 21st Hersh Shefrin, Santa Clara University "Behavioral Finance and the Pricing Kernel Puzzle: Estimating Risk Aversion, Optimism, and Overconfidence"
April 23rd James Hamilton, University of California, San Diego "Risk Premia in Crude Oil Futures Prices"
April 16th George Tauchen, Duke University "Inverse Realized Laplace Transforms for Volatility Occupation Times"
April 2nd Maureen O'Hara and David Easley, Cornell University "High Frequency Market Microstructure: Liquidity, Toxicity, and Volatility"
March 5th Pavol Povala, University of Lugano "Information in the Term Structure of Yield Curve Volatility"

Fall/Winter 2011
December 12th Esben Hedegaard, NYU, Stern School of Business “How Margins are Set and Affect Asset Prices"  Paper
November 14th Justin Birru, NYU, Stern School of Business "Inefficient Markets, Efficient Investment"
November 7th Mikhail Chernov, The London School of Economics and Political Science "Sources of Risk in Currency Returns"
October 31st Or Shachar, NYU, Stern School of Business "The Microstructure of the CDS Market"
October 24th Loriana Pelizzon, Universita' Ca' Foscari di Venezia "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors"  Paper
October 3rd Caio Ibsen Rodrigues de Almeida, Fundação Getulio Vargas "Robust Economic Implications of Nonlinear Pricing Kernels"  Paper
September 19th Andrew Harvey, University of Cambridge "Exponential Conditional Volatility Models"  Paper

Spring/Summer 2011
June 20th Bernd Schwaab, European Central Bank "Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals "
June 8th Bruno Solnik, The Hong Kong University of Science & Technology "A Global Equilibrium Asset Pricing Model with Home Preference"
May 2nd Darius Palia, Rutgers Business School "Banks' Non-Interest Income and Systemic Risk"
April 18th George Skiadopoulos, University of Piraeus "Market Timing with Option-Implied Distributions: A Forward-Looking Approach"
April 11th Andrei Kirilenko, CFTC "The Flash Crash: The Impact of High Frequency Trading on an Electronic Market"  Paper
March 28th Dr. Eran Fishler, Courant Institute, NYU and Pragma Securities "Dark Pools: Theory and Practice"
March 7th Claudia Moise, Case Western Reserve & NYU Stern "Volatility Pricing in the Stock and Treasury Markets"
February 28th Olivier Scaillet, GFRI, Université de Genève "Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets"

Fall/Winter 2010
December 6th Bryan Kelly, University of Chicago "Market Expectations and the Cross Section of Present Values"  Paper
November 29th Andre de Souza, NYU Stern School of Business "How Flows Affect Mutual Fund Performance"
November 15th Farhang Farazmand, NYU Stern School of Business "In Search of Tail Risk"
October 25th Christian Brownlees, NYU Stern School of Business "On the Relation Between Firm Characteristics and Volatility Dynamics With an Application to the 2007-2009 Financial Crisis"  Paper
October 18th Eric Jondeau, University of Lausanne "Asymmetry in Tail Dependence of Equity Portfolios" 
September 13th Jin-Chuan Duan, National University of Singapore "Forward-Looking Market Risk Premium"  Paper

Spring 2010
May 3rd David Veredas, Université libre de Bruxelles "The Method of Simulated Quantiles"  Paper
April 19th Richard Davis, Columbia University "Estimating Extremal Dependence in Time Series via the Extremogram"  Abstract
March 1st Eric Ghysels, UNC - Chapel Hill "Should macroeconomic forecasters use daily financial data, and how?"
January 25th Dennis Kristensen, Columbia Business School "Adding and Subtracting Black Scholes: A New Approach to  Approximating Derivative Prices in Continuing-Time Models" 

Fall 2009
December 18th Stephen Figlewski, and Robin Wurl, NYU Stern School of Business Presentation on ISE Data
December 7th Mikhail Chernov, London Business School "Disasters Implied by Equity Index Options"  Paper
November 23rd Paul Glasserman, Columbia University "Valuing the Treasury's Capital Assistance Program"  Paper
November 9th Andrew Patton, Duke University "Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability"
October 26th Dale Gray, IMF "Systemic Tail-Risk in the Financial Sector and Implicit Government Guarantees"  Paper
October 12th Robert F. Engle, NYU Stern School of Business "Long-term Skewness and Systemic Risk"
September 14th Robert Whitelaw, NYU Stern School of Business "Time-Varying Risk Aversion and the Risk-Return Relation"  Paper