- Friday 12 Nov 2021, 09:00 - 18:00
- Spoken Language
- Online and offline
- Campus Woudestein
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:
|09:05-10:00||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)
|10:30-11:30||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)
|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)
|16:30-17:30||The Leverage Effect and Propagation||Leopoldo Catania|
If you would like to participate in the seminar, please send an email to the secretariat of Econometrics, firstname.lastname@example.org. 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.