Research Workshop in Financial Econometrics

Yacine Aït-Sahalia (Princeton University)
Date
Friday 12 Nov 2021, 09:00 - 18:00
Type
Workshop
Spoken Language
English
Room
Online and offline
Location
Campus Woudestein
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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.

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:

TimeTopicPresenter
09:00-09:05Opening remarks 
09:05-10:00When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio PerformanceYacine Aït-Sahalia
 (joint with Felix Matthys, Emilio Osambela, and Ronnie Sircar)
10:00-10:30Coffee break 
10:30-11:30Jump Contagion among Stock Market Indices: Evidence from Option MarketsPeter Boswijk
(joint work with Roger J.A. Laeven,  Andrei Lalu, and Evgenii Vladimirov)
11:30-12:30Smart Stochastic Discount FactorsFabio Trojani
(joint with Sofonias A. Korsaye and Alberto Quaini)
12:30-14:00Lunch 
14:00-15:00Extracting Statistical Factors When Betas Are Time-VaryingPatrick Gagliardini
(joint with Hao Ma)
15:00-16:00Misspecification and Weak Identification in Asset PricingFrank Kleibergen
(joint with Zhaoguo Zhan)
16:00-16:30Coffee break 
16:30-17:30The Leverage Effect and PropagationLeopoldo 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

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