Pre-Conference

13th Annual SoFiE Conference. Hosted by University of California, San Diego's Rady School of Management

Pre-Conference for Young Scholars

June 14, 2021

Rossen Valkanov,

Rady School, UC San Diego

Rossen Valkanov is the co-director of the Master of Finance program and a professor of finance at the Rady School of Management University of California San Diego. He is an expert in the fields of empirical asset pricing, financial econometrics, and monetary policy. His research has been published in various distinguished academic journals, including the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. His work has also been featured on Forbes, CNN and Yahoo Finance. He is also a member of the American Finance Association, the American Economic Association, and the Urban Economics Association. He holds a Ph.D. in economics from Princeton University.

 

 

SoFiE-program-20210608

PROGRAM: PRE-CONFERENCE

Monday - June 14, 2021



7:00-7:15 am

Opening Remarks

ZOOM 1


Tim Bollerslev - SoFie President

Federico M. Bandi - Conference Chair


PLENARY INVITED LECTURE – ZOOM 1

Chair: Robin Lumsdaine

7:15-8:00 am

Rossen Valkanov, UC San Diego

ZOOM 1


Managed Corporate Bond Portfolios

PRE-CONFERENCE PARALLEL SESSION 1 – ZOOM 2

Chair: Marcelo Fernandes

8:00-10:30 am

Parallel Session I

Ritong Qu. Breaks in Consumption Growth and Asset Prices Discussant: Bjorn Eraker


Anne Lundgaard Hansen. Yield Curve Volatility and Macroeconomic
Risk Discussant: Scott Joslin


Morad Elsaify. Which Investors Drive Factor Returns?
Discussant: Pierre Collin-Dufresne


Sebastiano Michele Zema. Non-Normal Identification for Price Discovery in High-Frequency Financial Markets

Discussant: Marcelo Fernandes


Aditya Chaudhry. The Causal Impact of Macroeconomic Uncertainty on Expected Returns Discussant: Ivan Shaliastovich

Yannick Dillschneider. Generalized Transform Analysis for Asset Pricing and Parameter Estimation

Discussant: Paul Schneider

PRE-CONFERENCE PARALLEL SESSION 2 – ZOOM 3

Chair: Marcelo Medeiros

8:00-10:30 am

Parallel Session II


Gianluca De Nard and Zhao Zhao. Using, Taming or Avoiding the Factor Zoo? A Double- Shrinkage Estimator for Covariance Matrices

Discussant: Nikolaus Hautsch


Dennis Umlandt. Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance

Discussant: Andre Lucas


André B.M. Souza. Composite Absolute Value and Sign Forecasts
Discussant: Marcelo Medeiros


Bart Claassen and Diego Ronchetti. Structural estimation of nonlinear rational expectations models with recursive preferences

Discussant: Eric Renault


Jeroen Dalderop. Efficient Estimation of Pricing Kernels and Market-Implied Densities
Discussant: Tim Christensen


Paolo Zaffaroni and Valentina Raponi. Dissecting Anomalies: Inference with Large Cross- Sections

Discussant: Patrick Gagliardini

PRE-CONFERENCE PARALLEL SESSION 3 – ZOOM 4

Chair: Bas Werker

8:00-10:30 am

Parallel Session III


Jules Tinang and Roméo Tédongap. International Asset Pricing with Heterogeneous Agents: Estimation and Inference.

Discussant: Max Croce


Onno Kleen. Measurement error sensitivity of loss functions for distribution forecasts
Discussant: Fabio Trojani


Maria Flora and Roberto Reno. V-shapes
Discussant: Bas Werker


Mirela Sandulescu. How Integrated Are Corporate Bond and Stock Markets?
Discussant: Rene’ Garcia


Kristy Jansen. Long-term investors, demand shifts, and yields
Discussant: Sebastien Betermier


Wenqian Sun and Bertille Antoine. Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis

Discussant: Lynda Khalaf


End of PRE-CONFERENCE