Conference Program

SoFiE logos

10th Annual Society for Financial Econometrics (SoFiE) Conference

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

Hosted by the Volatility Institute, Investment Technology Group, Inc. (ITG), the Salomon Center, and the Finance Department at New York University Stern School of Business


Robert Engle - How Much SRISK Is Too Much?
Raffaela Giacomini - Ambiguous Estimation
Lars Peter Hansen - Prices of Macroeconomic Uncertainties with
Tenuous Beliefs

Ravi Jagannathan - Intra-day Liquidity Provision in Stocks:
Continuous Trading vs Frequent Batch Auctions

Robert Shiller - The Future of Econometrics with Big Data: Modeling Deeper into Sources of Economic Shocks and Volatility


View photos from the event here


George Tauchen Headshot 124x140
George Tauchen, William Henry Glasson Professor of Economics
Duke University

Tuesday - June 20, 2017
10:00am-10:50am Registration
10:50am-11:00am Opening Remarks
Program Chair: George Tauchen
11:00am-12:00pm Pre-Conference Session 1 
Chair: Robin L. Lumsdaine
Arnaud Dufays, A New Approach to Volatility Modeling: the High-Dimensional Markov Model (with Maciej Augustyniak and Luc Bauwens)
      Discussant: Eric Ghysels, UNC Chapel Hill
Denisa Banulescu-Radu, Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach (with Peter Reinhard Hansen, Zhuo Huang and
Marius Matei)
      Discussant: Caio Almeida, Getulio Vargas Foundation 
12:00pm-1:00pm Lunch
Pre-Conference Session 2
Chair: Peter R. Hansen, UNC Chapel Hill
Parallel Session 2A
Mark Paddrik, Contagion in the CDS Market (with Sriram Rajan and H. Peyton Young)
      Discussant: Emil Siriwardane, Harvard University
Gordon V. Chavez, Tail Inference with a Stochastic Entropy Model
      Discussant: Dobrislav Dobrev, Board of Governors of the Federal Reserve System
Wee Song Chua, Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics (with Ying Chen and Wolfgang Karl Härdle)
      Discussant: Peter R. Hansen, UNC Chapel Hill

Chair: George Tauchen, Duke University 
Parallel Session 2B

Yoann Potiron, Efficient Asymptotic Variance Reduction when estimating Volatility in High Frequency Data (with Simon Clinet)
      Discussant: Jia Li, Duke University
Julien Penasse, The Missing Risk Premium in Exchange Rates (with Magnus Dahlquist)
      Discussant: Federico M. Bandi, Johns Hopkins Carey Business School
Mengheng Li, Leverage, Asymmetry and Heavy Tails in High-Dimensional Factor Stochastic Volatility Model (with Marcel Scharth)
      Discussant: George Tauchen, Duke University
2:30pm-2:45pm Refreshment Break
2:45pm-3:45pm Chair: Eric Ghysels, UNC Chapel Hill
Plenary Lecture: Raffaella Giacomini,
University College London
3:45pm-4:00pm Refreshment Break
Pre-Conference Session 3
Chair: Francis X. Diebold, University of Pennsylvania
Parallel Session 3A
Jinyuan Zhang, Conditional Extremes in Asymmetric Financial Markets (with Natalia Nolde)
      Discussant: Viktor Todorov, Kellogg School of Management Northwestern University
Paola Pederzoli, Crash Risk in Individual Stocks
      Discussant: David S. Bates, Henry B. Tippie College of Business, University of Iowa
Yang Liu, Government Debt and Risk Premia
      Discussant: Francis X. Diebold, University of Pennsylvania

Chair: Andrew Patton, Duke University
Parallel Session 3B
Rasmus Lönn, Empirical Asset Pricing with many Assets and Short Time Series (with Peter C. Schotman)
      Discussant: Bryan Kelly, University of Chicago Booth School of Business
Rob C. Sperna Weiland, Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market (with Roger J.A. Laeven and
Frank de Jong)
      Discussant: Jing Cynthia Wu, University of Chicago Booth and NBER
Anne Opschoor, Modeling Large Time-Varying Covariance Matrices by Observation-Driven Factor Copula Models (with Istvan Barra)
      Discussant: Andrew Patton, Duke University
Wednesday - June 21, 2017
8:00am-9:00am Registration
9:00am-10:00am Session 1 (Plenary)
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 Session 2 (Parallel)
Parallel Session 2A:  NEWS
Chair: Fulvio Corsi, Ca' Foscari University of Venice
Jia Li, Volume, Volatility and Public News Announcements (with Tim Bollerslev and Yuan Xue)
Thomas Renault, Market Reaction to News and Investor Attention at High-Frequency (with Deniz Erdemlioglu and Roland Gillet)
Gustavo Fruet Dias, Volatility Discovery (with Cristina Mabel Scherrer and Fotis Papailias)
Anastasija Tetereva, Sentiment Spillover Effects for US and European Companies (with Francesco Audrino)

Parallel Session 2B: CRASHES and CRISES
Chair: Jing Cynthia Wu, University of Chicago and NBER
David S. Bates, How Crashes Develop: Intradaily Volatility and Crash Evolution
Charlotte Christiansen, Common Extreme Real Estate Returns (with Jonas N. Eriksen, and Stig V. Møller)
Russ Wermers, Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis (with Emily Gallagher, Lawrence Schmidt and Allan Timmermann)
Chayawat Ornthanalai, Time-Varying Crash Risk: The Role of Stock Market Liquidity (with Peter Christoffersen, Bruno Feunou and
Yoontae Jeon)

Chair: Caio Almeida, Graduate School of Economics, FGV
Simone Manganelli, Deciding with Judgment
Jose A. Lopez, Calibrating Macroprudential Policy to Forecasts of Financial Stability (with Scott A. Brave)
Gustavo Schwenkler, Likelihood Inference for Large Financial Systems (with Justin A. Sirignano and Kay Giesecke)

Parallel Session 2D:  VARIANCE RISK
Chair: Xinghua Zheng, HKUST Business School
Tong Wang, Implied Variance and Market Index Reversal (with Christopher S. Jones and Sung June Pyun)
Giacomo Bormetti, Term Structure of Variance Risk Premium and Returns’ Predictability (with Fulvio Corsi and Adam A. Majewski)
Yang-Ho Park, On the Relation between S&P 500 Options and VIX Derivatives
Yang Liu, Volatility Risk Pass-Through (with Riccardo Colacito, Mariano Croce and Ivan Shaliastovich)
12:15pm-1:45pm Lunch and Poster Session (Wednesday)
Kasper Jørgensen,
The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models (with Martin Møller Andreasen)
Lin Gao, Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil (with Michael W. Brandt)
Karin Stürmer, Time-Varying Volatility Persistence in a GARCH-MIDAS Framework
Xin Zhang, Tail risk in government bond markets and ECB unconventional policies (with Bernd Schwaab)
Christian Conrad, On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence (with Karin Stürmer)  
Jerchern Lin,
Beyond Manipulation: Extreme Risk and the Smart Money Effect
1:45pm-3:45pm Session 3 (Parallel)
                                     Organizer: Wolfgang Karl Härdle, HU Berlin

Chair: Wolfgang Karl Härdle, Humboldt University of Berlin and CASE
Ying Chen, A Sparse Network Autoregressive Model for Cryptocurrencies (with Wolfgang Karl Härdle, Simon Trimborn and Jiejie Zhang)
Cathy Chen, Textual Sentiment, Option Information and Stock Predictability (with Yanchu Liu)
Paola Cerchiello, Assessing News Contagion in Finance (with Giancarlo Nicola)
Juri Marcucci, Twitter Sentiment and Banks' Equities: Is there any Causal Link? (with Giuseppe Bruno, Paola Cerchiello and
Giancarlo Nicola)

Parallel Session 3B: CREDIT and INTEREST
Chair: David S. Bates, Henry B. Tippie College of Business,
University of Iowa
Gerardo Manzo, Credit-Implied Volatility (with Bryan Kelly and
Diogo Palhares)
Fulvio Pegoraro, Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion (with Alain Monfort, Jean-Paul Renne and Guillaume Roussellet)
Jing Cynthia Wu, Time Varying Lower Bound of Interest Rates in Europe (with Fan Dora Xia)
Bernd Schwaab, Bank Business Models at Zero Interest Rates (with André Lucas and Julia Schaumburg)

Parallel Session 3C: HIGH FREQUENCY
Chair: Charlotte Christiansen, Aarhus University
Fulvio Corsi, Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation Framework (with Giuseppe Buccheri and Stefano Peluso)
Richard Y. Chen, Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data (with Per A. Mykland)
Wei Wei, A Stochastic Price Duration Model for Estimating High-Frequency Volatility (with Denis Pelletier)
Giuseppe Buccheri, A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics (with Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo)

Chair: Simone Manganelli, European Central Bank
Frank Kleibergen, Identification Robust Inference on Risk Premia of Mimicking Portfolios of Macroeconomic Factors (with Zhaoguo Zhan)
Xuhui Pan, Oil Price Uncertainty and Real Economic Activities: Importance of Disentangling the Diffusive and Jump Components (with Sang Baum Kang and Jialin Zhao)
Nancy R. Xu, Procyclicality of the Comovement between Dividend Growth and Consumption Growth
Caio Almeida, High Frequency Tail Risk (with Kym Ardison and René Garcia)
3:45pm-4:00pm Refreshment Break
4:00pm-5:45pm Session 4 (Plenary)
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: Kimmel Center, NYU
Speaker: Robert Shiller,
Sterling Professor of Economics, Yale University
Thursday - June 22, 2017
8:30am-9:00am Registration
9:00am-10:00am Session 5 (Plenary)
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 Session 6 (Parallel)
Parallel Session 6A:  HIGH DIMENSIONS

Chair: A. Ronald Gallant, Pennsylvania State University
Viktor Todorov, Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span (with Torben G. Andersen, Nicola Fusari and Rasmus T. Varneskov)
Xu Han, Estimation and Inference of Structural Changes in High Dimensional Factor Models (with Jushan Bai and Yutang Shi)
Yingying Li, High Dimensional Minimum Variance Portfolio under Factor Model (with Yi Ding and Xinghua Zheng)
Serge Nyawa, High-Dimensional Multivariate Realized Volatility Estimation (with Tim Bollerslev and Nour Meddahi)

Parallel Session 6B: NETWORKS
Chair: Heather Anderson, Monash University
Rama Cont, Fire Sales, Indirect Contagion and Systemic Stress-Testing (with Eric Schaanning)
Mardi Dungey, Signed Spillover Effects building on Historical Decompositions (with John Harvey, Pierre Siklos, and Vladimir Volkov)
Robin L. Lumsdaine, The Complexity of Bank Holding Companies: A Topological Approach (with Mark D. Flood, Dror Y. Kenett, and Jonathan K. Simon)
Vladimir Volkov, A Semi-Parametric Point Process Model of the Interactions between Equity Markets (with Adam Clements, Stan Hurn and Kenneth Lindsay)

Parallel Session 6C: TIME SERIES MODELS
Chair: Enrique Sentana, CEMFI
Leopoldo Catania, Dynamic Adaptive Mixture Models
Zhengjun Zhang, Semi-parametric Dynamic Max-copula Model for Multivariate Time Series (with Zifeng Zhao)
Peter Exterkate, A Regime-Switching Stochastic Volatility Model for Forecasting Electricity Prices (with Oskar Knapik)
Takaki Hayashi, Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (with Yuta Koike)

Parallel Session 6D: QUANTILES
Chair: Fabio Trojani, University of Geneva - Swiss Finance Institute
Weining Wang, Network Quantile Autoregression (with Wolfgang Karl Härdle, Hangsheng Wang and Xuening Zhu)
Jozef Baruník, Quantile Coherency: A General Measure of Dependence between Economic Variables (with Tobias Kley)
Sander Barendse, Interquantile Expectation Regression
Martin Thyrsgaard, The Realized Empirical Distribution Function of Volatility (with Kim Christensen, and Bezirgen Veliyev)
12:15pm-1:45pm Lunch and Poster Session (Thursday)
Jantje Sönksen, Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults
Wenying Yao, High-Dimensional Predictive Regression in the presence of Cointegration (with Heather Anderson, Bonsoo Koo and Myung Hwan Seo)
Anmar Al Wakil, The Smart Vega Factor-Based Investing: Disentangling Risk Premia from Implied Volatility Smirk
Aleksey Kolokolov, Estimating Jump Activity using Multipower Variation
Yuta Koike, Capturing Heterogeneous Lead-Lag relationships from Ultra High Frequency Data
1:45pm-3:45pm Session 7 (Parallel)

Chair: Jia Li, Duke University
A. Ronald Gallant, Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale (with George Tauchen)
Anthony Sanford, Recovery Theorem with a Multivariate Markov Chain
Xinghua Zheng, On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations (with Ningning Xia)
Enrique Sentana, Consistent non-Gaussian pseudo maximum likelihood estimators (with Gabriele Fiorentini)

Parallel Session 7B: ASSET PRICING
Chair: Dobrislav Dobrev, Board of Governors of the
Federal Reserve System
Wayne E. Ferson, Holdings-based Fund Performance Measures: Estimation and Inference (with Junbo L. Wang)
Fabio Trojani, Make SDFs Great Again (with Mirela Sandulescu and Andrea Vedolin)
Veronika Czellar, Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions (with René Garcia and Francois Le Grand)
Markus Pelger, Estimating Asset Pricing Factors from Large-Dimensional Panel Data (with Martin Lettau)

Parallel Session 7C: LARGE SCALE MODELS
Chair: Yingying Li, HKUST Business School
Nikolaus Hautsch, Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information (with Stefan Voigt)
Kamil Yılmaz, Measuring Dynamic Connectedness with Large Bayesian VAR Models (with Dimitris Korobilis)
Geert Mesters, Detecting Granular Time Series in Large Panels (with Christian Brownlees)
Roxana Halbleib, A Latent Factor Model for Realized Volatilities (with Giorgio Calzolari and Aygul Zagidullina)

Parallel Session 7D: YIELDS
Chair: Ilze Kalnina, University College London
Giorgio Valente, Term Spreads, Macroeconomic Fundamentals, and Bond Excess Returns Predictability (with Daniel Preve)
Michel Van der Wel, What Drives the Yield Curve? (with Dennis Kristensen and Oliver Linton)
Martin M. Andreasen, Term Structure Modeling with Big Data (with Jens H. E. Christensen and Glenn D. Rudebusch)
3:45pm-4:00pm Refreshment Break
4:00pm-5:30pm Session 8 (Plenary)
Systemic Risk

Chair: Francis X. Diebold, University of Pennsylvania
  Speaker: Robert F. Engle,
NYU Stern School of Business
     Speaker: Eric Ghysels,
UNC Kenan-Flagler Business School
Comentator: Tobias Adrian,
Comentator: Richard Sylla,
NYU Stern School of Business
5:30pm-6:15pm Session 9 (Plenary)
Members Meeting
7:00pm SoFiE Council Members Meeting
Friday - June 23, 2017
8:30am-9:00am Registration
9:00am-10:00am Session 10 (Plenary)
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 Session 11 (Parallel)
Parallel Session 11A: PREDICTION

Chair: Nikolaus Hautsch, University of Vienna
Rogier Quaedvlieg, Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions (with Tim Bollerslev and Andrew J. Patton)
Yinchu Zhu, Monitoring Forecasting Performance (with Allan Timmermann)
Heather Anderson, Predicting Immediate Price Impact: Does Market Depth Information Help? (with Manh Cuong Pham, Huu Nhan Duong, and Paul Lajbcygier)
Eric Jondeau, Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race (with Michael Rockinger)

Parallel Session 11B: RISK and VOLATILITY
Chair: Veronika Czellar, EDHEC Business School
Ilze Kalnina, Time-Varying Risk Premium in the Presence of Spurious Factors (with Marius Pondi)
Luiz K. Hotta, Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models (with Daniel de Almeida and Ana-Maria Fuertes)
Dacheng Xiu, Inference on Risk Premia in the Presence of Omitted Factors (with Stefano Giglio)
Natalia Sizova, A Perturbation Approach to Nonlinear Filtering: The Case of Stochastic Volatility (with Ivana Komunjer)

Parallel Session 11C: JUMPS
Chair: Markus Pelger, Stanford University
Roberto Renò, Jumps or Flatness? (with Aleksey Kolokolov)
Ulrich Hounyo, Testing for Heteroscedasticity in Jumpy and Noisy High-Frequency Data: A Resampling Approach (with Kim Christensen and Mark Podolskij)
Davide Pirino, Systematic Flatness (with Federico M. Bandi and Roberto Renò)
Vitali Alexeev, Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management (with Giovanni Urga and Wenying Yao)

Parallel Session 11D: PORTFOLIOS
Chair: Roxana Halbleib, Universität Konstanz
Dobrislav Dobrev, The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation (with Nicholas Polson)
Mengmeng Ao, Heteroscedasticity in Asset Returns and High-dimensional Portfolio Selection (with Yingying Li and Xinghua Zheng)
Donggyu Kim, Robust High-dimensional Volatility Matrix Estimation for High-Frequency Factor Model (with Jianqing Fan)
Mehmet Caner, A Relaxed Approach to Estimating Large Portfolios and Gross Exposure (with Esra Ulasan, Laurent Callot and A. Özlem Önder)
12:15pm-1:45pm Lunch and Poster Session (Friday)
Simon Clinet
, Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process (with Yoann Potiron)
Lars Winkelmann, Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (with Markus Bibinger and Christopher Neely)
Florian Ielpo, The Contribution of Jumps to Forecasting the Density of Returns (with Christophe Chorro and Benoit Sévi)
Malte S. Kurz, Risk Estimation and Spurious Seasonality (with Stefan Mittnik)
Robert Davies, Volatility Jump Regressions
1:45pm-2:45pm Session 12 (Plenary)
Invited Lecture:

Lars Peter Hansen,
University of Chicago
    Chair: Robin Lumsdaine,
Kogod School of Business, American University
3:00pm-4:30pm Session 13 (Parallel)
Parallel Session 13A: TESTING

Chair: Mardi Dungey, University of Tasmania
Kim Christensen, The Drift Burst Hypothesis (with Roel Oomen and Roberto Renò)
Yunus Emre Ergemen, Inference on Factor Models with Possible Long-Range Dependence
Jinji Hao, A Model-Free Tail Index and Its Return Predictability

Parallel Session 13B: RISK
Chair: Roberto Renò, University of Verona
Federico M. Bandi, The Horizon of Systematic Risk: a New Beta Representation (with Andrea Tamoni)
Mathieu Fournier, Beta Risk in the Cross-Section of Stocks and Options (with Ali Boloorforoosh, Peter Christoffersen, and Christian Gouriéroux)
Jules Tinang, GMM estimation of the Long Run Risks model (with Nour Meddahi)

Parallel Session 13C: METHODS
Chair: Natalia M. Sizova, Rice University
Chen Huang, Multivariate Factorisable Expectile Regression with Application to fMRI Data (with Shih-Kang Chao and Wolfgang Karl Härdle)
Siem Jan Koopman, Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting (with Francisco Blasques and Paolo Gorgi)
Christian M. Hafner, Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (with Oliver B. Linton and Haihan Tang)
4:30pm-4:45pm Refreshment Break
4:45pm-5:45pm Session 14 (Plenary)
SoFiE Presidential Address:
Ravi Jagannathan,
 President of SoFiE 2015-2017, Chicago Mercantile Exchange/John F. Sandner Professor of Finance, Northwestern-Kellogg
Chair: George Tauchen, Duke University
                                          Conference Ends



RS Headshot 124x140
Robert Shiller, Sterling Professor of Economics
Yale University


LPH Headshot 124x140
Lars Peter Hansen, David Rockefeller Distinguished Service Professor in Economics, Statistics
University of Chicago


Rob Engle Headshot 124x140
Robert Engle, Michael Armellino Professor of Management and Financial Services; Director, The Volatility Institute
NYU Stern School of Business


Eric Ghysels Headshot 124x140
Eric Ghysels, Bernstein Distinguished Professor of Economics
University of North Carolina - Chapel Hill


George Tauchen Headshot 124x140
George Tauchen, William Henry Glasson Professor of Economics
Duke University


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


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


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


RJ Headshot 124x140
Ravi Jagannathan, President of SoFiE 2015-2017, Chicago Mercantile Exchange/John F. Sandner Professor of Finance


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


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