# SoFiE Schools

![SoFiE Logo ](/sites/default/files/styles/866w/public/2024-03/sofie_logo_new_b_0.png?h=d66c81da&itok=93sPeyz7)

##  SoFiE Financial Econometrics Schools

The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels.

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The editorial board for these annual series is made up of Professors Torben Andersen (Northwestern University), Francis X. Diebold (University of Pennsylvania and past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE), Ravi Jagannathan (Northwestern and past President SoFiE), Per Mykland (University of Chicago and past President of SoFiE), Eric Renault (University of Warwick and past President of SoFiE), Neil Shephard (Harvard University) and Viktor Todorov (Northwestern University).

##  Upcoming Schools

***SoFiE Summer School in Macro Finance 2026 at Turin, Italy***
**Dates: June 08 to June 12, 2026**
**Host:** Collegio Carlo Alberto
**Location:** Turin, Italy
**Lecturers:**
Michele Lenza (European Central Bank)
Gianluca Bontempi (Université libre de Bruxelles)
**Title:** AI for Macroeconomic Analysis: Methods and Applications for Policy, Forecasting, and Risk Analysis
**Website:** [Details](https://sites.google.com/view/summer-school-in-macro-finance/home)

***SoFiE Financial Econometrics Summer School 2026 at NYU Shanghai***
**Dates: July 6 to July 10, 2026**
**Host:** NYU Shanghai Qiantan Campus
**Location:** Shanghai, China
**Lecturers:**
Johannes Stroebel, New York University Stern School of Business
Theresa Kuchler, New York University Stern School of Business
**Title:** Climate Finance
**Website:** [Details](https://vins.shanghai.nyu.edu/event/lecturers/2026-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2026 in Brussels***
**Dates: May 04 to May 08, 2026**
**Host:** the National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Marco Del Negro (Federal Reserve Bank of New York)
Frank Schorfheide (University of Pennsylvania)
**Title:** DSGE Models: The present, the past, and the future
**Website:** [Details](https://sites.google.com/view/sofieschoolbrussels/home)
**Announcement:** [PDF](https://www.stern.nyu.edu/sites/default/files/2026-01/Call%20School%20and%20Conference%20SoFiE%20Brussels%202026%20%281%29.pdf)

##  Previous Schools

***SoFiE Financial Econometrics Summer School 2025 at Brussels***
**Dates: June 16-20 2025**
**Host:** the National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Dimitris Korobilis (University of Glasgow)
Francesca Loria (Federal Reserve Board of Governors)
Francesco Ravazzolo (Free University of Bozen-Bolzano, BI Norwegian Business School)
**Title:** Econometric Methods for Risk Assessment and Forecasting
**Website:** [Details](https://sites.google.com/view/sofieschoolbrussels/home)

***SoFiE Financial Econometrics Summer School 2025 at Yale School of Management***
**Dates: July 28-August 1 2025**
**Host:** Yale School of Management
**Location:** Yale School of Management
**Lecturers:**
Bryan Kelly (Yale School of Management)
Dacheng Xiu (The University of Chicago Booth School of Business)
Semyon Malamud (Swiss Finance Institute at EPFL)
**Guest Speakers:**
Jiaqing Fan (Princeton University)
Stefan Nagel (The University of Chicago Booth School of Business)
Andreas Neuhierl (Olin Business School at Washington University in St. Louis)
Guofu Zhou (Olin Business School at Washington University in St. Louis)
**Title:** Financial Machine Learning
**Website:** [Details](https://som.yale.edu/sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2025 at NYU Shanghai***
**Dates: August 4-8 2025**
**Host:** NYU Shanghai Qiantan Campus (Hybrid option available)
**Location:** NYU Shanghai, China
**Lecturers:**
Zacharias Sautner (University of Zurich)
Emirhan Ilhan (National University of Singapore)
**Title:** Climate and Nature Finance
**Website:** [Details](https://vins.shanghai.nyu.edu/event/lecturers/2025-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2025 at University of Turin***
**Dates: August 25-29 2025**
**Host:** Esomas Department, University of Turin, Italy
**Location:** Turin, Italy
**Lecturers:**
Hui Chen (MIT)
Simon Scheidegger (University of Lausanne)
Fabio Trojani (University of Geneva)
Gianluca Violante (Princeton University)
Yucheng Yang (University of Zurich and Swiss Finance Institute)
**Title:** Machine Learning for Economics and Finance
**Website:** [Details](https://sites.google.com/carloalberto.org/thesummerschool2025unito/home)

**SoFiE Financial Econometrics Summer School 2023 at Northwestern University's Kellogg Global Hub**
**Dates:** July 22-26 2024
**Host:** Northwestern University, Kellogg Global Hub
**Location:** the Kellogg School of Management, Northwestern University
**Lecturers:**
Professor Torben Andersen (Northwestern University)
Professor Viktor Todorov (Northwestern University)
**Title:** The Econometrics of Derivatives Markets
**Program:** [Details](https://sites.northwestern.edu/sofiesummerschool2024/)

**SoFiE Financial Econometrics Summer School 2023 at Volatility Institute NYU Shanghai**
**Dates:** August 19-23 2024
**Host:** Volatility Institute NYU Shanghai
**Location:** NYU Shanghai Qiantan Campus, Shanghai, China
**Lecturers:**
Professor Bryan Kelly (Yale University)
Professor Dacheng Xiu (University of Chicago Booth School of Business)
Professor Semyon Malamud (Ecole Polytechnique Fédérale de Lausanne)
**Title:** Financial Machine Learning
**Website:** [Details](https://vins.shanghai.nyu.edu/news/2024-sofie-summer-school-dive-financial-machine-learning)

**SoFiE Financial Econometrics Summer School 2024 at Brussels**
**Dates:** September 9 to September 13, 2024
**Host:** the National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Domenico Giannone (University of Washington)
Francesco Furno (Amazon)
**Title:** Monitoring and Forecasting Macroeconomic
and Financial Risk
**Website:** [Details ](https://sites.google.com/view/sofieschoolbrussels/past-editions/edition-2024?authuser=0)

***SoFiE Financial Econometrics Summer School 2023 at Brussels***
**Dates: June 20 to June 23, 2023**
**Host:** the National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Professor Michael D. Bauer (Universität Hamburg)
Professor Glenn Rudebusch (Brookings Institution)
**Title:** Monetary policy and the yield curve
**Program:** [Details](https://sites.google.com/view/sofieschoolbrussels/home?pli=1)

***SoFiE Financial Econometrics Summer School 2023 at NYU Shanghai***
**Dates:** July 10-14 2023
**Host:** Volatility Institute, NYU Shanghai
**Location:** Shanghai, China (REMOTE, via ZOOM)
**Lecturers:**
Professor Stefano Giglio (Yale University)
Professor Johannes Stroebel (NYU Stern School of Business)
**Title:** Climate Finance
**Program:** [Details](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/2023-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2022 at Brussels***
**Dates:** June 20-23, 2022
**Host:** Université catholique de Louvain
**Location:** Brussels, Belgium
**Lecturers:**
Olivier Scaillet (University of Geneva and SFI)
Fabio Trojani (University of Geneva and SFI)
**Title: Methods for Empirical Asset Pricing with Large Data Sets**
**Program:** [Details](https://eur03.safelinks.protection.outlook.com/?url=https%3A%2F%2Fcalendar.time.ly%2Fum7txyzq%2Fstream%3Bevent%3D68728500%3Binstance%3D20220620210000&data=04%7C01%7Cleonardo.iania%40uclouvain.be%7C2b3ffa45aa3d41f750f708d9bbc9cd3a%7C7ab090d4fa2e4ecfbc7c4127b4d582ec%7C0%7C0%7C637747297666327063%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000&sdata=uX4b4F%2Bmc6fgAAmfQpjxV58K%2Fla0JzmQYWzBsilpoEg%3D&reserved=0)

***SoFiE Financial Econometrics Summer School 2022 at NYU Shanghai***
**Dates:** August 22-26, 2022
**Host:** Volatility Institute, NYU Shanghai
**Location:** Shanghai, China
**Lecturers:**
Professor Kewei Hou (The Ohio State University)
Professor Yan Liu (Purdue University)
**Title:** Anomalies and Factor Models
**Program:** [Details](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/2022-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2021 at Kellogg***
**Dates:** July 19-23, 2021
**Host:** Kellogg School of Management
**Location:** Northwestern University
**Lecturers:**
Torben G. Andersen (Northwestern University)
Viktor Todorov (Northwestern University)
**Title: “The Econometrics of Derivatives Markets”**
**Program:** [Details](https://www.kellogg.northwestern.edu/news-events/conference/sofie-financial-econometrics-summer-school-2021.aspx)

***SoFiE Financial Econometrics Summer School 2021 at NYU Shanghai***
**Dates: August 2-6, 2021**
**Host:** NYU Shanghai
**Location:** Shanghai, China
**Lecturers:**
Jianqing Fan (Princeton University)
Dacheng Xiu (The University of Chicago Booth School of Business)
**Title: “Machine Learning in Finance”**
**Program:** [Details](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/2021-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2020 at NYU Shanghai***
**Dates:** August 24 - 28, 2020
**Host:** New York University Shanghai
**Location:** Shanghai, China
**Lecturers:**
Andrii Babii (University of North Carolina at Chapel Hill)
Eric Ghysels (University of North Carolina at Chapel Hill)
**Title: The Econometrics of Mixed Frequency (Big) Data**
**Website:** [SoFiE Financial Econometrics Summer School 2020 at NYU Shanghai](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/2020-sofie-financial-econometrics-online-summer-school)

***SoFiE Financial Econometrics Summer School 2020 at the University of Chicago***
**Dates:** July 20 - July 24, 2020
**Host:** The Stevanovich Center, University of Chicago
**Location:** Chicago, Illinois
**Lecturers:**
Andrii Babii (University of North Carolina at Chapel Hill)
Eric Ghysels (University of North Carolina at Chapel Hill)
**Title: The Econometrics of Mixed Frequency (Big) Data**
**Website:** [Details](https://stevanovichcenter.uchicago.edu/2020-sofie-summer-school-in-chicago/)

***SoFiE Financial Econometrics Summer School 2019 at Brussels***
**Dates:** September 16 - 20, 2019
**Host:** Université catholique de Louvain
**Location:** Brussels, Belgium
**Lecturers:**
Alain Monfort (CREST)
Jean-Paul Renne (HEC Lausanne)
**Title: Dynamic Pricing with Discrete Time Affine Processes**
**Program:** [SoFiE Financial Econometrics Summer School 2019 at Brussels](https://uclouvain.be/en/research-institutes/lidam/lfin/events/sofie-financial-econometrics-school-brussels-2019-0.html)

***SoFiE Financial Econometrics Summer School 2019 at NYU Shanghai***
**Dates:** August 12 - 16, 2019
**Host:** New York University Shanghai
**Location:** Shanghai, China
**Lecturers:**
Torben G. Andersen (Kellogg School, Northwestern University)
Viktor Todorov (Kellogg School, Northwestern University)
**Title: The Econometrics of Derivatives Markets**
**Website:** [SoFiE Financial Econometrics Summer School 2019 at NYU Shanghai](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/2019-sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2019 at Kellogg***
**Dates:** July 15 - 19, 2019
**Host:** Kellogg School of Management, Northwestern University
**Location:** Evanston, IL
**Lecturers:**
Torben G. Andersen (Kellogg School, Northwestern University)
Gurdip Bakshi (Fox School of Business, Temple University)
Riccardo Colacito (UNC Kenan-Flagler Business School)
Pasquale Della Corte (Imperial College Business School)
Viktor Todorov (Kellogg School, Northwestern University)
**Title: The Econometrics and Asset Pricing of Foreign Exchange Markets**
**Website:** [SoFiE Financial Econometrics Summer School 2019 at the Kellogg School of Management, Northwestern University](https://www.kellogg.northwestern.edu/news-events/conference/sofie-financial-econometrics-summer-school-2019.aspx)

***SoFiE Financial Econometrics Summer School 2018 at NYU Shanghai***
**Dates:** August 13 - 17, 2018
**Host:** New York University Shanghai
**Location:** Shanghai, China
**Lecturers:**
Yacine Ait-Sahalia (Bendheim Center for Finance, Princeton University)
Per Mykland (University of Chicago)
**Title: Introduction to High Frequency Financial Econometrics and Statistics**
**Website:** [SoFiE Financial Econometrics Summer School 2018 at NYU Shanghai](https://research.shanghai.nyu.edu/centers-and-institutes/vins/events/sofie-financial-econometrics-summer-school)

***SoFiE Financial Econometrics Summer School 2018 at the University of Chicago,***
***Stevanovich Center***
**Dates:** July 23 - July 27, 2018
**Host:** The University of Chicago, Stevanovich Center
**Location:** Chicago, IL
**Lecturers:**
Bryan T. Kelly (Booth School of Business at the University of Chicago)
Dacheng Xiu (Booth School of Business at the University of Chicago)
**Title: Machine Learning and Finance: The New Empirical Asset Pricing**
**Website:** [SoFiE Financial Econometrics Summer School 2017 at the University of Chicago, Stevanovich Center](https://stevanovichcenter.uchicago.edu/2018-sofie-summer-school-in-chicago/)

***SoFiE Financial Econometrics Summer School 2018 at Brussels***
**Dates:** June 4 - June 8, 2018
**Host:** Université catholique de Louvain
**Location:** Brussels, Belgium
**Lecturers:**
Giorgio Primiceri (Northwestern University)
Domenico Giannone (NY Fed)
**Title: Big Data in Finance and Economics**
**Website:** [SoFiE Financial Econometrics Summer School 2018 at Brussels](https://uclouvain.be/en/research-institutes/lidam/lfin/events/brussels-sofie-summer-school-2018.html)

***SoFiE Financial Econometrics Summer School 2017 at Kellogg***
**Dates:** July 24, 2017 – July 28, 2017
**Host:** Kellogg School of Management, Northwestern University
**Location:** Evanston, IL
**Lecturers:**
Professor Torben G. Andersen (Kellogg School, Northwestern University)
Professor Viktor Todorov (Kellogg School, Northwestern University)
**Title: The Econometrics of Derivatives Markets**
**Website:** [SoFiE Financial Econometrics Summer School 2017 at Kellogg](http://www.kellogg.northwestern.edu/departments/finance/events/sofie_school_2017.aspx)

***Brussels SoFiE Summer School 2017***
**Dates:** June 26, 2017 – June 30, 2017
**Host:** National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Professor Anh Le, Penn State University
Professor Kenneth Singleton, Stanford University
**Title: Modelling the Term Structure of Interest Rates**
**Website:** [SoFiE Summer School Brussels](https://uclouvain.be/en/research-institutes/lidam/lfin/events/sofie-financial-econometrics-summer-school-2017.html)

***2016 Summer School***
**Dates:** July 11, 2016 – July 15, 2016
**Host:** National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Professor Christian Gourieroux (University of Toronto & CREST)
Professor Jean-Michel Zakoian (University of Lille & CREST)
**Theme: "Noncausal Autoregressive Process and the Modelling of Speculative Bubbles"**
A recent statistical and econometric literature highlights the importance of mixed causal/noncausal ARMA processes for the modeling of macroeconomic and financial time series. Indeed the nonlinear causal dynamic of such processes can capture unit roots, asymmetric cycles, and bubbles features. The objective of the lectures is to present the notions and concepts of the literature on noncausal processes and to explain how they can be used for the modeling and analysis of speculative bubbles. The focus will be both on the modelling and statistical aspects.
**Website:** [Click here](http://sofie.stern.nyu.edu/sites/default/files/SoFiE%20Summer%20School_2016_.pdf)

***2015 Spring School***
**Dates:** June 1, 2015 – June 5, 2015
**Host:** National Bank of Belgium
**Location:** Brussels, Belgium
**Lecturers:**
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
**Themes:**
1\. The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile and the VIX.
2\. Non-linear State-Space models. Exponential affine models.
3\. Extensions of the Generalized Method of Moments (GMM): Indirect Inference, Implied-States GMM, GMM with a continuum of moments, XMM.
4\. Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy.
**Program:** [Click here](https://sofie.stern.nyu.edu/sites/default/files/SoFiE2015SpringSchool.pdf)

***2014 Summer School***
**Dates:** July 28, 2014 – August 1, 2014
**Host:** Department of Statistics at Harvard University
**Location:** Cambridge, MA USA
**Lecturers:**
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
**Topic:** "The Econometrics of Option Pricing"
**Website:** [Click here](http://www.stat.harvard.edu/SoFiE/)

***2013 Summer School***
**Dates:** July 29, 2013 to August 2, 2013
**Host:** Oxford-Man Institute of Quantitative Finance at the University of Oxford
**Location:** Oxford, UK
**Lecturers:**
Professor Andrew Patton (Duke)
Professor Allan Timmermann (UCSD)
**Topic:** "Financial Forecasting"
**Website:** [Click here](http://www.oxford-man.ox.ac.uk/events/omi-sofie-financial-econometrics-summer-school-29-july-2-august-2013)

***2012 Summer School***
**Dates:** July 30, 2012 to August 3, 2012
**Host:** Oxford-Man Institute of Quantitative Finance at the University of Oxford
**Location:** Oxford, UK
**Lecturers:**
Professor Francis X. Diebold (University of Pennsylvania)
Professor Peter Christoffersen (University of Toronto)
**Topic:** "New Directions in the Financial Econometrics of Volatility, Correlation, and Option Price Dynamics"
**Website:** [Click here](http://www.oxford-man.ox.ac.uk/events/omi-sofie-financial-econometrics-summer-school-30-july-3-august-2012)