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


June 15-17, 2021


Conference Day 1
Tuesday - June 15, 2021

7:00-7:15 am

Welcome Remarks


Tim Bollerslev - SoFie President

Federico M. Bandi - Conference Chair

Allan Timmermann and Ross Valkanov - Local Organizers

SESSION 1 (Plenary Invited Lecture I) – ZOOM 1

Chair: Eric Ghysels

7:15-7:45 am

Invited Lecture

Peter Bossaerts, University of Melbourne and University of Cambridge

Reinforcement Learning: From Animal Learning to Machine Learning and the Brain … and Back

SESSION 2 (Plenary Invited Lecture II) – ZOOM 1

Chair: Rene’ Garcia

7:45-8:15 am

Invited Lecture

Annette Vissing-Jorgensen, Haas School of Business, UC Berkeley

The Treasury Market in Spring 2020 and the Response of the Federal Reserve

SESSION 3 (Parallel Sessions I-IV)

Parallel Session: The Econometrics of Cross-Sectional Pricing I


8:15-10:15 am

Chair: Paolo Zaffaroni

Stefano Giglio, Dacheng Xiu and Dake Zhang. Test Assets and Weak Factors
Peter Hansen and Maziar Kazemi. Identification of Factor Risk Premia
Paolo Zaffaroni. Factor Models for Conditional Asset Pricing

Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin. Factors Common to

Individual Stocks and Sorted Portfolios

Zhipeng Liao and Yan Liu. Optimal Cross-Sectional Regression

Simon Smith and Allan Timmermann. Have Risk Premia Vanished?

8:15-10:15 am

Parallel Session: Volatility


Chair: Christian Conrad

Christian Conrad and Robert Engle. Modelling Volatility Cycles: the (MF)^2 GARCH Model

Friedrich Lorenz, Karl Schmedders and Malte Schumacher. Nonlinear Dynamics in Conditional Volatility

Jeannine Polivka and Matthias R. Fengler. Identifying structural shocks to volatility through a proxy-MGARCH model

Md Nazmul Ahsan and Jean-Marie Dufour. High frequency instruments and identification- robust inference for stochastic volatility models

Leopoldo Catania. The Leverage Effect and Propagation

Ilya Archakov and Peter Hansen. A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices

8:15-10:15 am

Parallel Session: Beyond Equity


Chair: Olivier Scaillet

Martin M. Andreasen, Kasper Joergensen and Andrew Meldrum. Bond Risk Premiums at the Zero Lower Bound

Huichou Huang, Ruirui Liu and Mark Taylor. Dissecting Currency Premia: Term Structure, Macro Risks, and Hidden Factors

Jean-Paul Renne and Kevin Pallara. Fiscal Limits and the Pricing of Eurobonds

David Ardia, Laurent Barras, Patrick Gagliardini and Olivier Scaillet. Hedge Fund Performance under Misspecified Models

Massimo Guidolin, Manuela Pedio and Daniele Bianchi. Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets

Gustavo Schwenkler and Hannan Zheng. Peer Co-Movement in Crypto Markets

8:15-10:15 am

Parallel Session: Options


Chair: Mathieu Fournier

Viktor Todorov and Yang Zhang. Information Gains from using Short-Dated Options for Measuring and Forecasting Volatility

Gustavo Freire and Caio Almeida. Pricing of Index Options in Incomplete Markets

John Crosby and Gurdip Bakshi. Dark Matter in (Volatility and) Equity Option Risk Premiums

Mathieu Fournier, Kris Jacobs and Piotr Orlowski. Conditional Risk Premia in the Cross- Section of Option Returns

Sirio Aramonte, Mohammad Jahan-Parvar, Samuel Rosen and John Schindler. Firm-specific risk-neutral distributions with options and CDS

Roger Laeven, Peter Boswijk, Andrei Lalu and Evgenii Vladimirov. Jump Contagion among Stock Market Indices: Evidence from Option Markets

SESSION 4 (Plenary Invited Lecture III) – ZOOM 1

Chair: Eric Renault

10:15-10:45 am

Invited Lecture

Xu Cheng, University of Pennsylvania

Macro-finance decoupling: robust evaluation of macro asset pricing models

SESSION 5 (Plenary Invited Lecture IV) – ZOOM 1

Chair: Andrew Patton

10:45-11:15 am

Invited Lecture

Martin Lettau, Haas School of Business, UC Berkeley

Sorting out factor models

SESSION 6 (Plenary Rapid-Fire Session) – ZOOM 1

Chair: Markus Leippold

11:15-12:15 pm

Plenary Rapid-Fire Session

Arnaud Dufays, Kris Jacobs, Yuguo Liu and Jeroen Rombouts. Fast filtering in option valuation models with latent state variables

Markus Leippold, Gianluca De Nard and Simon Hediger. Subsampled Factor Models for Asset Pricing: The Rise of Vasa

Hao Jiang, Sophia Li and Peixuan Yuan. Predicting High-Frequency Industry Returns: Machine Learners Meet News Watchers

Tengjjia Shu and Ashish Tiwari. Identifying signals of the cross-section of stock returns

Michael Bauer and Mikhail Chernov. Conditional skewness in treasury yields

Linqi Wang and Christian Hafner. Dynamic portfolio selection with sector-specific regularization

Yongmiao Hong, Oliver Linton, Brendan McCabe and Jiajing Sun. A score statistic on testing the presence of stochastic trend in conditional variance

Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen. Predictive regressions under arbitrary persistence and stock return predictability

Ruoxuan Xiong and Markus Pelger. Large dimensional latent factor modeling with missing

observations and applications to causual inference

Conference Day 1 Ends


Conference Day 2
Wednesday - June 16, 2021

SESSION 1 (Plenary JFEC Invited Lecture) – ZOOM 1

Chairs: Federico M. Bandi and Andrew Patton

Former JFEC Managing Editors

7:00-7:05 am

2019 Engle Prize: Julia Schaumburg

Chairs: Fabio Trojani and Allan Timmermann

Current JFEC Managing Editors

7:05-8:00 am

JFEC Invited Lecture

Toni Whited, Ross School of Business, University of Michigan

Integrating reduced-form with structural work

SESSION 2 (Parallel Sessions I-IV)

8:00-10:00 am

Parallel Session: The Econometrics of Cross-Sectional Pricing II


Chair: Frank Kleibergen

Raymond Kan, Xiaolu Wang and Xinghua Zheng. In-sample and Out-of-sample Sharpe Ratios of Multi-factor Asset Pricing Mode

Junbo Wang, Kuntara Pukthuanthong, Christopher Jones and Jinchi Lv.
A Generalized Machine Learning Framework for Linear Factor Model Test

Fousseni Chabi-Yo and Yan Liu. Maxing Out Entropy: A Conditioning Approach

Svetlana Bryzgalova, Markus Pelger and Jason Zhu. Forest through the Trees: Building Cross-Sections of Stock Returns

Carlo Favero, Alessandro Melone and Andrea Tamoni. Factor Models with Drifting Prices

Frank Kleibergen and Zhaoguo Zhan. Double Robust Continuous Updating GMM

8:00-10:00 am

Parallel Session: High-frequency financial econometrics: volatility and related quantities


Chair: Nikolaus Hautsch

Merrick Li and Oliver Linton. Robust Estimation of Integrated Volatility

Emil Stoltenberg, Per Mykland and Lan Zhang. A CLT for second difference estimators with an application to volatility and intensity

Marek Chudy and Nikolaus Hautsch. Efficient return covariance matrix estimation in high dimensions

Minseok Shin, Donggyu Kim and Jianqing Fan. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Rodrigo Hizmeri, Marwan Izzeldin and Ingmar Nolte. Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Xiaolu Zhao, Seok Young Hong and Oliver Linton. Separate noise and jumps from tick data: an endogenous thresholding approach

8:00-10:00 am

Parallel Session: Themes in Asset Pricing


Chair: Jean-Sebastien Fontaine

Gill Segal and Ivan Shaliastovich. Exposure to Uncertainty and the Accumulation of Capital

Sebastien Betermier, Laurent Calvet and Evan Jo. A Supply and Demand Approach to Equity Pricing

Lucio Sarno, Daniele Massacci and Lorenzo Trapani. Factors models with downside risk

Andrey Ermolov, Geert Bekaert and Eric Engstrom. The Variance Risk Premium in Equilibrium Models

René Garcia, Jean-Sebastien Fontaine and Sermin Gungor. Intermediary Leverage Shocks and Funding Conditions

Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen. Monetary Policy Expectations Errors

8:00-10:00 am

Parallel Session: Imaging, textual analysis and machine learning


Chair: Dacheng Xiu

Jingwen Jiang, Bryan Kelly and Dacheng Xiu. (Re-)Imag(in)ing Price Trends Luyang Chen, Markus Pelger and Jason Zhu. Deep Learning in Asset Pricing

Ruslan Goyenko and Chengyu Zhang. The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning

Aditya Chaudhry and Sangmin Oh. High-Frequency Expectations from Asset Prices: A Machine Learning Approach

Jianqing Fan, Lirong Xue and Yang Zhou. How Much Can Machines Learn Finance From Chinese Text Data?

Joachim Grammig, Constantin Hanenberg, Christian Schlag and Jantje Soenksen. Diverging roads: Theory-based vs. machine learning-implied stock risk premia

SESSION 4 (Plenary Hal White Memorial Session) – ZOOM 1

Chair: Charley Bates of Bates/White

10:00-11:30 am

Plenary Hal White Memorial Session

Xiaohong Chen, Yale University

ANN Efficient Estimation of Average Derivatives of Nonparametric Instrumental Variables

Valentina Corradi, University of Surrey

The econometrics of portfolio sorts

Raffaella Giacomini, University College of London

Identification and inference under narrative restrictions

Sílvia Gonçalves, McGill University

Impulse response analysis for structural dynamic models with nonlinear regressors

Conference Day 2 Ends



Conference Day 3 (FINAL)
Thursday - June 17, 2021

SESSION 1 (Plenary Invited Lecture V) – ZOOM 1

Chair: Yacine Ait-Sahalia

7:00-7:30 am

Invited Lecture

Peter Carr, NYU Tandon School of Engineering

When Can We Hedge or Price without Full Model Knowledge?

SESSION 2 (Plenary Invited Lecture VI) – ZOOM 1

Chair: Yingying Li

7:30-8:00 am

Invited Lecture

Viktor Todorov, Kellogg School of Management, Northwestern University

Systematic jump risk

SESSION 3 (Parallel Sessions I-IV)

8:00-10:00 am

Parallel Session: Predictability


Chair: Rasmus Varneskov

Raymond Kan and Jiening Pan. Finite Sample Analysis of Predictive Regressions with Long- Horizon Returns

Daniele Bianchi and Kenichiro McAlinn. Divide and Conquer: Financial Ratios and Industry Returns Predictability

Theodoros Evgeniou, Ahmed Guecioueur and Rodolfo Prieto. Uncovering sparsity and heterogeneity in firm-level return predictability using machine learning

Meng-Chen Hsieh, Clifford Hurvich and Philippe Soulier. Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes

Gaetan Bakalli, Stéphane Guerrier and Olivier Scaillet. A penalized two-pass regression to predict stock returns with time-varying risk premia

Torben Andersen and Rasmus Varneskov. Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions

8:00-10:00 am

Parallel Session: High-frequency financial econometrics: new directions


Chair: Ulrich Hounyo

Kim Christensen and Ulrich Hounyo. A nonparametric test for diurnal variation in intraday correlation processes

Oleg Bondarenko and Dmitriy Muravyev. Market Return Around the Clock: A Puzzle

Aleksey Kolokolov, Davide Pirino and Giulia Livieri. Testing for endogeneity of irregular sampling schemes

Deniz Erdemlioglu, Christopher J. Neely and Xiye Yang. News-Driven Systemic Tail Risk at High Frequency

Sebastien Laurent, Roberto Reno and Shuping Shi. Realized drift

Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu. Inference on Risk Premia in Continuous- Time Asset Pricing Models

8:00-10:00 am

Parallel Session: Methods


Chair: Julia Schaumburg

Dong Hwan Oh and Andrew Patton. Dynamic Factor Copula Models with Estimated Cluster Assignments

Julia Schaumburg, Andre Lucas and Bernd Schwaab. Dynamic clustering of multivariate panel data

Francesco Cordoni and Fulvio Corsi. Identification of Singular and Noisy Structural VAR Models: The Collapsing-ICA Approach

Robin Lumsdaine, Ryo Okui and Wendun Wang. Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients

Julia Schaumburg, Quint Wiersma and Siem Jan Koopman. Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels

Caio Almeida and Paul Schneider. Constrained Polynomial Likelihood

8:00-10:00 am

Parallel Session: Forecasting


Chair: Dobri Dobrev

Matteo Garzoli, Alberto Plazzi and Rossen Valkanov. Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency

Tim de Silva and David Thesmar. Noise in Expectations: Evidence from Analyst Forecasts

Andrii Babii, Eric Ghysels and Jonas Striaukas. Machine learning panel data regressions with an application to nowcasting price earnings ratios

Dobrislav Dobrev, Derek Hansen and Pawel Szerszen. A Randomized Missing Data Approach to Robust Filtering and Forecasting

Simone Manganelli, Robert Engle, Sulkhan Chavleishvili, Stephan Fahr, Manfred Kremer and Bernd Schwaab. The risk management approach to macro-prudential policy

Francis Diebold, Minchul Shin and Boyuan Zhang. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

SESSION 4 (Plenary Presidential Address Invited Lecture) – ZOOM 1

Chair: Rob Engle

10:00-10:45 am

Invited Lecture

Tim Bollerslev, Duke University

Realized semi(co)variation: signs that all volatilities are not created equal

SESSION 5 (Plenary Presidential Address Invited Lecture) – ZOOM 1

Chair: Matt Matysik

10:45-11:30 am

SoFiE Members Meeting

Conference Day 3 Ends

We thank our sponsors, the Rady School of Management at UC San Diego

Sponsored by Bates White and the Rady School of Management at UC San Diego.

La Jolla Weather

SoFiE 2021 Sponsors: