Program

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

Program

June 15-17, 2021

SoFiE-program-20210608


Conference Day 1
Tuesday - June 15, 2021





7:00-7:15 am

Welcome Remarks

ZOOM 1

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

ZOOM 2

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


ZOOM 3


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

ZOOM 4

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


ZOOM 5

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

ZOOM 2


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

ZOOM 3

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


ZOOM 4


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


ZOOM 5

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

ZOOM 2

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


ZOOM 3


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


ZOOM 4

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

ZOOM 5


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.

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