QFE Seminar Series

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 2-90 (location may vary; please check invitation prior to event.)

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

Spring/Summer 2012

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

Fall/Winter 2011

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

Spring/Summer 2011

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

Fall/Winter 2010

September 13th	Jin-Chuan Duan, National University of Singapore	"Forward-Looking Market Risk Premium"  Paper
October 18th	Eric Jondeau, University of Lausanne	"Asymmetry in Tail Dependence of Equity Portfolios"  Paper
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
November 15th	Farhang Farazmand, NYU Stern School of Business	"In Search of Tail Risk"  Paper
November 29th	Andre de Souza, NYU Stern School of Business	"How Flows Affect Mutual Fund Performance"  Paper
December 6th	Bryan Kelly, University of Chicago	"Market Expectations and the Cross Section of Present Values"  Paper

Spring 2010

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

Fall 2009

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