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Conference Program

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10th Annual Society for Financial Econometrics (SoFiE) Conference

June 21-23, 2017 and Pre-Conference for Young Scholars: June 20, 2017

Hosted by the Volatility Institute, the Salomon Center, and the Finance Department at New York University Stern School of Business


Click the link for a pdf draft of the complete 10th Annual SoFiE Conference Program:
DRAFT: 10th Annual SoFiE Conference Program
See below for a broad overview of the Conference Program.

PROGRAM: PRE-CONFERENCE
Tuesday - June 20, 2017
  Registration
11:00am-11:05am Opening Remarks
11:05am-12:00pm Session: 2 papers
12:00pm-1:00pm Lunch
1:00pm-2:30pm Parallel Session: 3 papers
Parallel Session: 3 papers
2:30pm-2:45pm Refreshment Break
2:45pm-3:45pm Plenary Lecture: Raffaella Giacomini,
University College London
3:45pm-4:00pm Refreshment Break
4:00pm-5:30pm Parallel Session: 3 papers
Parallel Session: 3 papers
 
PROGRAM
Wednesday - June 21, 2017
8:00am-9:00am Registration
9:00am-10:00am Opening Remarks and Chair: Tim Bollerslev,
Duke University
    Invited Lecture: Bryan Kelly,
University of Chicago Booth School of Business
10:00am-10:15am Refreshment Break
10:15am-12:15pm Four parallel sessions
12:15pm-1:45pm Lunch and Poster Sessions
1:45pm-3:45pm Four parallel sessions
3:45pm-4:00pm Refreshment Break
4:00pm-5:45pm Panel Discussion on Financial Econometrics
    Federico Bandi,
Johns Hopkins Carey Business School
    John Y. Campbell,
Harvard University
Wayne Ferson,
USC Marshall School of Business
Andrew Patton,
Duke University
Moderator:    Viktor Todorov, Kellogg School of Management Northwestern University
7:00pm Gala Dinner:
Speaker: Robert Shiller,
Sterling Professor of Economics, Yale University
 
Thursday - June 22, 2017
8:30am-9:00am Registration
9:00am-10:00am     Invited Lecture: Campbell R. Harvey,
Duke University Fuqua School of Business
Chair: Jing Cynthia Wu,
University of Chicago and NBER
10:00am-10:15am Refreshment Break
10:15am-12:15pm Four parallel sessions
12:15pm-1:45pm Lunch and Poster Sessions
1:45pm-3:45pm Four parallel sessions
3:45pm-4:00pm Refreshment Break
4:00pm-5:30pm Systemic Risk
    Speaker: Robert F. Engle,
NYU Stern School of Business
     Speaker: Eric Ghysels,
UNC Kenan-Flagler Business School
Comentator: Tobias Adrian,
IMF
Comentator: Richard Sylla,
NYU Stern School of Business
5:30pm-6:15pm Members Meeting
7:00pm SoFiE Council Members Meeting
 
Friday - June 23, 2017
8:30am-9:00am Registration
9:00am-10:00am Halbert White Jr. Memorial JFEC Invited Lecture:
Eric Renault, C.V. Starr Professor of Commerce, Organizations and Entrepreneurship,
Professor of Economics,
Brown University
    Chairs: Federico Bandi,
Johns Hopkins Carey Business School
Andrew Patton,
Duke University
Discussants: Lars Peter Hansen,
University of Chicago
Sydney C. Ludvigson,
New York University
10:00am-10:15am Refreshment Break
10:15am-12:15pm Four parallel sessions
12:15pm-1:45pm Lunch and Poster Sessions
1:45pm-2:45pm Invited Lecture:
Lars Peter Hansen,
University of Chicago
    Chair: Robin Lumsdaine,
Kogod School of Business, American University
3:00pm-4:30pm Four parallel sessions (3 papers each)
4:30pm-4:45pm Refreshment Break
4:45pm-5:45pm SoFiE Presidential Address: Ravi Jagannathan,
 President of SoFiE 2015-2017, Chicago Mercantile Exchange/John F. Sandner Professor of Finance, Northwestern-Kellogg
                                          Conference Ends
 

TRAVEL GRANTS

The conference organizers are pleased once again to offer selected accepted paper presenters a travel scholarship. Accepted paper presenters who are members of groups which are underrepresented, those who are new to Financial Econometrics and persons for whom the cost of travel and accommodation for the conference would present financial hardship are encouraged to apply. Please contact sofie@stern.nyu.edu to request a Travel Grant Application Form.

INVITED SPEAKERS and COMMENTATORS



SOFIE GALA DINNER SPEAKER

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Robert Shiller, Sterling Professor of Economics
Yale University
 
 



DISTINGUISHED INVITED SPEAKER

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Lars Peter Hansen, David Rockefeller Distinguished Service Professor in Economics, Statistics
University of Chicago
 
 

LOCAL ORGANIZER, FOUNDING PRESIDENT AND SPEAKER

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Robert Engle, Michael Armellino Professor of Management and Financial Services; Director, The Volatility Institute
NYU Stern School of Business
 
 

SoFiE TREASURER AND SPEAKER

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Eric Ghysels, Bernstein Distinguished Professor of Economics
University of North Carolina - Chapel Hill
 
 

PROGRAM CHAIR

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George Tauchen, William Henry Glasson Professor of Economics
Duke University
 
 

PANELISTS

Federico Bandi, Johns Hopkins Carey Business School
John Y. Campbell, Harvard University
Wayne Ferson, USC Marshall School of Business
Andrew Patton, Duke University

COMMENTATORS

Richard Sylla, NYU Stern School of Business
Tobias Adrian, IMF
Robin L. Lumsdaine, Kogod School of Business, American University
Viktor Todorov, Kellogg School of Management Northwestern University
Jing Cynthia Wu, University of Chicago and NBER

INVITED SPEAKERS

Bryan Kelly, University of Chicago Booth School of Business
Campbell R. Harvey, Duke University Fuqua School of Business
Raffaella Giacomini, University College London

SoFiE PRESIDENTIAL ADDRESS  

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Ravi Jagannathan, President of SoFiE 2015-2017, Chicago Mercantile Exchange/John F. Sandner Professor of Finance
Northwestern-Kellogg
 
 

HALBERT WHITE JR. MEMORIAL JFEC INVITED LECTURE

Eric Renault Headshot 124x140
 
Eric Renault, C.V. Starr Professor of Commerce, Organizations and Entrepreneurship, Professor of Economics
Brown University
 
 


 


CONFERENCE LOCATION
NYU Stern School of Business, New York City


Committee Members

Torben Andersen, Northwestern University
Kamhon Kan, Academia Sinica
Heather Anderson, Monash University Bryan Kelly, University of Chicago
Gurdip Bakshi, University of Maryland Lutz Kilian, University of Michigan
Federico Bandi, Johns Hopkins University Robert Kimmel, National University of Singapore
Luca Benzoni, Federal Reserve Bank of Chicago Frank Kleibergen, University of Amsterdam
Tim Bollerslev, Duke University David Lando, Copenhagen Business School
Marine Carrasco, University of Montreal Haitao Li, Cheung Kong Graduate School of Business
Rong Chen, Rutgers University Jia Li, Duke University
Mikhail Chernov, UCLA Yingying Li, Hong Kong University of Science and Technology
Charlotte Christiansen, Aarhus University Robin L. Lumsdaine, American University
Peter Christoffersen, University of Toronto Chenghu Ma, Fudan University
Riccardo Colacito, University of North Carolina, Chapel Hill Loriano Mancini, EPFL
Pierre Collin-Dufresne, EPF Nour Meddahi,  Toulouse School of Economics
Valentina Corradi, University of Surrey Andrew Patton, Duke University
Veronika Czellar, EDHEC Business School Eric Renault, Brown University
Dobrislav Dobrev, Federal Reserve Board Michael Rockinger, University of Lausanne
Yanqin Fan, University of Washington, Seattle Mathieu Rosenbaum, University Pierre et Marie Curie (Paris VI)
Catherine S. Forbes, Monash University Olivier Scaillet, University of Geneva & Swiss Finance Institute
Ana-Maria Fuertes, Case School of Business Julia Schaumburg, Vrije Universiteit Amsterdam
Patrick Gagliardini, University of Lugano Paul Schneider, University of Lugano & Swiss Finance Institute
Raffaella Giacomini, University College London Enrique Sentana, CEMFI
Eric Ghysels, University of North Carolina, Chapel Hill George Tauchen, Duke University
Sílvia Gonçalves, University of Montreal Allan Timmermann, University of California, San Diego
Roxana Halbleib, University of Konstanz Viktor Todorov, Northwestern University
Anthony Hall, University of Technology Sydney Fabio Trojani, University of Geneva & Swiss Finance Institute
Peter Hansen, University of North Carolina Bas J.M. Werker, Tilburg University
Wolfgang Hardle, Humboldt University Jing Cynthia Wu, Chicago Booth
Nikolaus Hautsch, University of Vienna Jun Yu, Singapore Management University
Stan Hurn, Queensland University of Technology Zhengjun Zhang, University of Wisconsin
Ravi Jagannathan, Northwestern University Lan Zhang, University of Illinois at Chicago
Christopher S. Jones, University of Southern California  Harold H. Zhang, University of Texas at Dallas
Ilze Kalnina, University of Montreal Xinghua Zheng, Hong Kong University of Science and Technology
Raymond Kan, University of Toronto  Hao Zhou, PBC School of Finance