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.
The Volatility Institute hosts the Quantitative Financial Econometrics (QFE) Seminar series, which showcases top research in financial econometrics.
Location: Henry Kaufman Management Center, Room 3-55 (location may vary; please check invitation prior to event.)
Time: 12:00p.m. - 1:15p.m.
- April 8th: Robert Engle (NYU Stern) - Hedging Geopolitical Risk based on a Multiplicative Volatility Factor Model (Located in KMC 2-90)
- April 22nd: Dacheng Xiu (The University of Chicago Booth School of Business) - Predicting Returns with Text Data (Located in KMC 3-55)
- September 24th: Raffaella Giacomini (University College London) - Uncertain identification
- October 22nd: Jun Yu (Singapore Management University) - Estimation and Inference in Fractional Ornstein-Uhlenbeck Model with Discrete-Sampled Data
- March 5th: Robert Engle (NYU Stern) - How Much SRISK is Too Much?
- April 23rd: Michael Wolf (University of Zurich) - Efficient Weighting: A More Powerful Test for Cross-Sectional Anomalies
- May 7th: Guillaume Roussellet (McGill University) - Variance Risk Premia
- September 11th: Jin-Chuan Duan (National University of Singapore) - Proxy CDS Curves for Individual Corporates Globally
- November 13th: Yingying Li (Hong 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
- March 27th: Francis Longstaff (UCLA) - Asset Mispricing
- April 3rd: Peter Van Tassel (Federal 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
- 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  
- November 28th: Jianqing Fan (Princeton University) - Robust Statistical Learning from Large Volatility Matrix [Fan Paper 1] [Fan Paper 2]
- December 5th: Bryan Kelly (The University of Chicago Booth School of Business) - The Distribution of Option Returns
- February 29th: Robert Stambaugh (University of Pennsylvania) - 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
- 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: Robert 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
- 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
- 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"
- 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"
- 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”
- 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"