On Friday 12 November the Econometric Institute will organise a Research Workshop in Financial Econometrics (and related fields) with Professor Aït-Sahalia . Other presenters include Leopoldo Catania, Patrick Gagliardini, Frank Kleibergen and Fabio Trojani.
- Date
- Friday 12 Nov 2021, 09:00 - 18:00
- Type
- Workshop
- Spoken Language
- English
- Room
- Online and offline
- Location
- Campus Woudestein
This workshop follows the Tinbergen Econometrics Lectures 2021, which will be given by Professor Aït-Sahalia on the Wednesday and Thursday preceding the workshop.
Programme
The preliminary programme of the workshop is as follows:
| Time | Topic | Presenter |
|---|---|---|
| 09:00-09:05 | Opening remarks | |
| 09:05-10:00 | When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance | Yacine Aït-Sahalia (joint with Felix Matthys, Emilio Osambela, and Ronnie Sircar) |
| 10:00-10:30 | Coffee break | |
| 10:30-11:30 | Jump Contagion among Stock Market Indices: Evidence from Option Markets | Peter Boswijk (joint work with Roger J.A. Laeven, Andrei Lalu, and Evgenii Vladimirov) |
| 11:30-12:30 | Smart Stochastic Discount Factors | Fabio Trojani (joint with Sofonias A. Korsaye and Alberto Quaini) |
| 12:30-14:00 | Lunch | |
| 14:00-15:00 | Extracting Statistical Factors When Betas Are Time-Varying | Patrick Gagliardini (joint with Hao Ma) |
| 15:00-16:00 | Misspecification and Weak Identification in Asset Pricing | Frank Kleibergen (joint with Zhaoguo Zhan) |
| 16:00-16:30 | Coffee break | |
| 16:30-17:30 | The Leverage Effect and Propagation | Leopoldo Catania |
Participation
If you would like to participate in the seminar, please send an email to the secretariat of Econometrics, eb-secr@ese.eur.nl. Please indicate if you will participate online or on campus. Also let us know if you have any dietary requirements. Deadline for registration is 4 November 2021. Participation is free of charge.
Shortly before the event, we will send a zoom link to all online participants.
- More information
For more information, contact Dr. Anastasija Tetereva (tetereva@ese.eur.nl) or Dr. Rutger-Jan Lange (lange@ese.eur.nl)
Secretariat Econometrics
Phone: +31 (0)10 408 12 59/ 12 64
Email: eb-secr@ese.eur.nl
