Research Center Events

2009 European SoFiE Conference Gathers Experts to Advance the Field of Financial Econometrics

The Society for Financial Econometrics (SoFiE), an international society founded by NYU Stern Nobel Laureate Professor Robert Engle and University of North Carolina Professor Eric Ghysels and housed within Stern's Volatility Institute, held its second annual conference and inaugural European conference in Geneva, Switzerland this June. Sponsored by the Swiss Finance Institute, NCCR FinRisk and Genève Place Financière, the three-day event brought together academics and practitioners from around the world to discuss issues related to the intersection of finance and econometrics.

During his presidential address, Professor Engle highlighted Stern's new Volatility Lab, or Vlab for short, which provides real-time forecasts on market volatility and asset correlations. "Risk managers must take into account both short- and long-run risks; much of the financial crisis can be attributed to institutions that ignored the long-run risks. The models and forecasts from the Vlab reveal features that can be used to develop hedges for various long-run risks," said Professor Engle. He, along with Stern PhD student Bryan Kelly and Stern Postdoctoral Fellow Christian Brownlees, also presented several pieces of new research in the field.

“The annual SoFiE conference provides a forum for business leaders and top scholars to convene and discuss finance and econometrics – two rapidly growing fields, shaping the future of risk management and influencing the performance of financial markets.”

Speakers and presenters hailed from a number of leading academic institutions including Stanford University, University of Chicago, Northwestern University, Princeton University, Oxford University, University of California – San Diego, Centro de Estudios Monetarios Y Financieros and the University of Toronto.

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