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.
PROGRAM: PRE-CONFERENCE
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Monday - June 14, 2021 |
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7:00-7:15 am |
Opening Remarks |
ZOOM 1 | |||
Tim Bollerslev - SoFie President Federico M. Bandi - Conference Chair | |||||
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PLENARY INVITED LECTURE – ZOOM 1 Chair: Robin Lumsdaine | ||||
7:15-8:00 am |
Rossen Valkanov, UC San Diego |
ZOOM 1 | |||
Managed Corporate Bond Portfolios |
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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 Morad Elsaify. Which Investors Drive Factor Returns? 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 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 | ||||
PRE-CONFERENCE PARALLEL SESSION 3 – ZOOM 4 Chair: Bas Werker | |||||
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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 Maria Flora and Roberto Reno. V-shapes Mirela Sandulescu. How Integrated Are Corporate Bond and Stock Markets? Kristy Jansen. Long-term investors, demand shifts, and yields 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 | ||||
