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QFE Seminar Series

The Volatility Institute hosts the popular 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 2-90 (location may vary; please check invitation prior to event.)

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

Spring/Summer 2014
May 12thArvind Krishnamurthy,
Kellogg School of Management, Northwestern University
February 24thThomas Eisenbach, Federal Reserve Bank of New York“Fire-Sale Spillovers and Systemic Risk”

Fall/Winter 2013

December 2ndNeil Shephard,
Harvard University
"Martingale unobserved component models"
November 11thTim Bollerslev,
Duke University
"Stock Return Predictability and Tail Risk Premia"
November 4thDan 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 28thBryan Kelly,
University of Chicago Booth School of Business
"Firm Volatility in Granular Networks"
September 30thKeith Godfrey,
The University of Western Australia
"Empirical inference of related trading between two securities: Detecting pairs trading, merger arbitrage, and strategy rules"
September 23rdDavid Hendry,
University of Oxford
"Semi-automatic Non-linear Model Selection"
September 16thRobert Engle, NYU Stern
with Emil Siriwardane
"Structural GARCH - the volatility-leverage connection"

Spring/Summer 2013

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

Fall/Winter 2012

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

Spring/Summer 2012

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

Fall/Winter 2011

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

Spring/Summer 2011

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

Fall/Winter 2010

December 6thBryan Kelly, University of Chicago"Market Expectations and the Cross Section of Present Values"  Paper
November 29thAndre de Souza, NYU Stern School of Business"How Flows Affect Mutual Fund Performance"
November 15thFarhang Farazmand, NYU Stern School of Business"In Search of Tail Risk"
October 25thChristian 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 18thEric Jondeau, University of Lausanne"Asymmetry in Tail Dependence of Equity Portfolios" 
September 13thJin-Chuan Duan, National University of Singapore"Forward-Looking Market Risk Premium"  Paper

Spring 2010

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

Fall 2009

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

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