Research Workshop in Financial Econometrics

Yacine Aït-Sahalia (Princeton University)
Friday 12 Nov 2021, 09:00 - 18:00
Spoken Language
Online and offline
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.


The preliminary programme of the workshop is as follows:

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)
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


 If you would like to participate in the seminar, please send an email to the secretariat of Econometrics, 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 ( or Dr. Rutger-Jan Lange (

Secretariat Econometrics

Phone: +31 (0)10 408 12 59/ 12 64

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