The Econometric Institute has once again distinguished itself at the annual conference of the Society for Financial Econometrics (SoFiE). Researchers Robin Lumsdaine, Maria Grith, Alberto Quaini, Erik Kole, Rasmus Lönn, Gustavo Freire, and Evgenii Vladimirov attended this year’s conference, held at Pontifical Catholic University of Rio de Janeiro (PUC-Rio) in Brazil. The conference aims to bridge the gap between empirical asset pricing and financial econometrics.
Professor Robin Lumsdaine, who recently completed her term as treasurer of SoFiE, presented a paper co-authored with Erasmus School of Economics master’s student Andreea Dedea titled "The Impact of the ECB's Extended Asset Purchase Programme on Euro-Area Inflation: A Synthetic Control Assessment." Assistant Professor Erik Kole chaired a session on Factor Models, where he presented his paper, jointly authored with Christian Brownlees, “High-Dimensional Dynamic Factor Models with Markov-switching”.
Assistant Professor Gustavo Freire had a total of four papers on the programme, including "Asymmetric Violations of the Spanning Hypothesis", presented by his co-author Raul Riva, and “Autoencoder Option Pricing Models”, presented by his co-author Erasmus School of Economics’ Dr Evgenii Vladimirov.
Other papers presented by Econometric Institute faculty members were: “Risk premiums in the Bitcoin market,” "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach" (both Assistant Professor Maria Grith), “Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models” (Assistant Professor Alberto Quaini), and “Dynamic Parametric Portfolio Policies” (Assistant Professor Rasmus Lönn).
More about SoFiE
SoFiE is a global network of academics and practitioners dedicated to advancing research and sharing ideas in the burgeoning field of financial econometrics. The organisation promotes and expands research and education by organising and sponsoring conferences, programmes, and activities at the intersection of finance and econometrics, including connections to macroeconomic fundamentals.
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