Program
June 15-17, 2021
|
|
Conference Day 1 |
|
|
|
|
|
|
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 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:
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 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 |
||||
|
|
||||
|
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. 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) |
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
SoFiE 2021 Sponsors:
