MAIN CONFERENCE DAY 1 - FRIDAY 16 JUNE 2023
| 08:15 - 09:00 | Registration |
|---|---|
|
09:00 - 09:10 |
Welcome and opening remarks Room 9B217 |
|
09:10 - 10:00 |
Plenary Session : Invited speaker (Chair - Oliver Linton) Room 9B217 - Professor Federico Bandi (Johns Hopkins University) Local Asset Pricing |
| 10:00 - 10:30 | Morning Coffee |
| 10:30 - 12:30 |
Parallel Session I
Session 1 : Market Microstructure (Chair - Davide Pirino) Room 9B218 - Testing Whether Asset Prices Have Pricing Errors Merrick Li, Oliver Linton and Xiye Yang - Mispricing, Learning, and Price Discovery Tianzong Wang, Stuart Hyde and Sungjun Cho - Measuring Price Impact and Information Content of Trades in a Time-varying Setting Francesco Campigli, Giacomo Bormetti and Fabrizio Lillo - Discontinuous Trading in Continuous-time Econometrics Ferderico Bandi, Aleksey Kolokolov, David Pirino and Roberto Reno
Session 2 : Machine Learning (Chair - Dacheng Xiu) Room 9B118 - Conditional Latent Factor Models Via Econometrics-Based Neural Networks Hao Ma - Factor Correlation and the Cross Section of Asset Returns: a Correlation-robust Approach Chuanping Sun - Robust Stock Index Return Predictions Using Deep Learning Ravi Jagannathan, Yuan Liao and Andreas Neuhierl (presenter TBC) - Volatility Forecasting with Machine Learning and Intraday Commonality Chao Zhang, Yihuang Zhang, Mihai Cucuringu and Zhongmin Qian
Session 3 : Macro Finance (Chair - Yang Liu) Room 9B215 - Let the Market Speak: Using Interest Rates to Identify the Fed Information Effect Linyan Zhu - Financial Technologies and the Effectiveness of Monetary Policy Transmission Iftekhar Hasan, Boreum Kwak, and Xiang Li - Government Policy Announcement Return Yang Liu and Ivan Shaliastovich - New Stylized Facts of Financial Exuberance Periods Marco Kerkemeier, Robinson Kruse-Becher and Christoph Wegener
Session 4 : Factor Models (Chair - Eric Ghysels) Room 9B208 - Asset-Pricing Factors with Economic Targets Svetlana Bryzgalova, Victor Demiguel, Sicong Li and Markus Pelger - Disentangling Structural Breaks in High Dimensional Factor Models Bonsoo Koo, Ze Yu Zhong and Benjamin Wong - Tensor Principal Component Analysis Andrii Babii, Eric Ghysels and Junsu Pan - On the Statistical Properties of Tests of Parameter Restrictions in Beta-pricing Models with a Large Number of Assets Amedeo Andriollo, Cesare Robotti and Giulio Rossetti |
| 12:30 - 14:00 | Lunch: 600th Year Anniversary Building, 6th Floor |
| 14:00 - 16:00 |
Parallel Session II
Session 5 : Volatility (Chair - Roberto Reno) Room 9B218 - BUMVU Estimators Aleksey Kolokolov, Roberto Reno and Patrick Zoi - Roughness Signature Functions Peter Christensen - Option-based Volatility of Volatility Carsten Chong and Viktor Todorov - Beyond the Candlestick Chart: The Maximal Range-Return Divergence Statistic Yifan Li, Ingmar Nolte and Sandra Nolte
Session 6 : Factor Models (Chair - Robin Lumsdaine) Room 9B118 - Bootstrap Inference for Group Factor Models Silvia Goncalves, Benoit Perron and Julia Koh - Unified Inference for Panel Autoregressive Models with Unobserved Group Heterogeneity Wenxin Huang, Liangjun Su and Yiru Wang - Latent Factor Analysis in Short Panels Alain-Philippe Fortin, Patrick Gagliardini and Olivier Scaillet - Target PCA: Transfer Learning Large Dimensional Panel Data Junting Duan, Markus Pelger and Ruoxuan Xiong
Session 7 : Asset Pricing and Risk Management (Chair - Yingying Li) Room 9B215 - Testing for Spurious Factors in Conditional Asset Pricing Soohun Kim, Valentina Rapponi and Paolo Zaffaroni - Estimating High-Dimensional Mean-Variance Portfolios of Risky Assets Leheng Chen, Yingying Li and Xinghua Zheng - Robustifying Markowitz Alla Petukhina, Yegor Klochkov, Wolfgang Karl Hardle and Nikita Zhivotovskiy - Deep Tangency Portfolios Guanhao Feng, Liang Jiang, Junye Li and Yizhi Song
Session 8 : Macro Finance (Chair - Yoosoon Chang) Room 9B208 - Estimating Systemic Risk for Non-listed European Banks Simone Managanelli, Robert Engle, Laura Parisi, Tina Emambakhsh and Riccardo Pizzeghello - Volatility (Dis)Connect in International Markets Yang Liu, Riccardo Colacito, Mariano Croce and Ivan Shaliastovich - Time-Varying Expectation Effects of Switching Financial Uncertainty Yoosoon Chang, Hwagyun Kim and Shi Qiu - Asset Variance, and Interest Rate Risk in the Cross-section of Equities and Corporate Bonds Alex Dickerson, Jan Ericsson, Mathieu Fournier and Piotr Ortowski |
| 16:00 - 16:30 | Afternoon coffee |
| 16:30 - 17:20 |
Plenary Session : Invited speaker (Chair - Robin Lumsdaine) Room 9B217 - Professor Barbara Rossi (UPF and Barcelona School of Economics) Long-Run Trends in Long-Maturity Real Rates: 1311-2021 |
| 18:30 - Late |
Conference Dinner After Dinner Speaker (Chair - Yoosoon Chang)
- Professor Sung-Hwan Shin (Member, Monetary Policy Board of Bank of Korea) - Transport by bus at 17:40 |
MAIN CONFERENCE DAY 2 - SATURDAY 17 JUNE 2023
| 08:15 - 09:00 | Registration |
|---|---|
| 09:00 - 10:30 |
JFEC Invited Lecture + discussant (Chair - Dacheng Xiu) Room 9B217 - Professor Xiaohong Chen (Yale) SGMM: Stochastic Approximation to Generalized Method of Moments - Discussants : Nour Meddahi and Joon Park |
| 10:30 - 11:00 | Coffee |
| 11:00 - 12:00 |
Plenary Session : Panel Discussion (Chair - Yoosoon Chang) Room 9B217 - Panel List ► David Akiman (King's College London) ► Ambrogio Cesa-Bianchi (Bank of England) ► Ippei Fujiwara (Keio University) ► Ki Young Park (Yonsei University, former member of Monetary Policy Board of Bank of Korea) ► Jae W. Sim (Federal Reserve Board) - Topics ► The Causes and consequences of the recent turmoil in British financial markets ► The financial markets of aging economies: Japanese experience ► Rising income inequality and financial market instability ► Prospect of commodities market volatility ► The Federal Reserve tightening and emerging markets ► Examples of turbulent financial markets experienced in Korea
|
| 12:00 - 12:30 |
Plenary Session : Rapid Fire Poster Presentations (Chair - Tim Bollerslev) 600th Year Anniversary Building, B1 Floor - Mutually Exciting Point Processes with Latency Vladimir Volkov and Yoann Potrion - Non-Linear CAPM: Evidence from In-the-money Options Trading Paola Pederzoli and Mirela Sandulescu - A Unified Framework for Estimation of High-dimensional Conditional Factor Models Qihui Chen |
| 12:30 - 13:30 |
Lunch : 600th Year Anniversary Building, B1 Floor - Poster display from 12:30 to 13:30 |
| 13:30 - 14:00 |
SoFiE Special Address by Professor Robert F. Engle (all Welcome) Room 9B217 - Termination Risk and Sustainability |
| 14:00 - 15:30 |
Parallel Session III
Session 1 : Market Efficiency (Chair - Tim Christensen) Room 9B218 - How and When are High-Frequency Stock Returns Predictable? Yacine Ait-Sahalia, and Jianqing Fan, Lirong Xue and Yifend Zhou - A Real-Time Detection of Local No-Arbitrage Violations Torben Andersen, Viktor Todorov and Bo Zhou - Testing for Endogeneity of Irregular Sampling Schemes Giulia Livieri, Aleksey Kolokolov and Davide Pirino
Session 2 : Forecasting (Chair - Andrew Patton) Room 9B118 - Better the Devil You Know: Improved Forecasts from Imperfect Models Dong Hwan Oh and Andrew Patton - Tracking Trees for Macroeconomic Risk using Individual Stocks Anastasija Tetereva, Rasmus Lonn and Onno Kleen - Consumption Disconnect Redux Alessandro Melone
Session 3 : Term Structure Modelling (Chair - Riccardo Sabbatucci) Room 9B215 - The Term Structure of Cash Flow Risk Riccardo Sabbatucci and Davide Pettenuzzo - Immunization with Consistent Term Structure Dynamics Jorge Wolfgang Hansen, Bent Jesper Christensen and Daniel Borup - Identification Robust Inference for the Risk Premimum in Term Structure Models Frank Kleibergen and Lingwei Kong
Session 4 : Asset Pricing (Anomaly or Factors) (Chair - Paolo Zaffaroni) Room 9B208 - Dissecting Anomalies in Conditional Asset Pricing Paolo Zaffaroni and Valentina Raponi - Anomaly or Possible Risk Factor? Simple-To-Use Tests Benjamin Holcblat, Abraham Lioui and Michael Weber - Which (Nonlinear) Factor Models? Caio Almeida and Gustavo Freire |
| 15:30 - 16:00 | Coffee |
| 16:00 - 17:00 |
Parallel Session IV
Session 5 : High Frequency Financial Econometrics (Chair - Federico Bandi) Room 9B218 - Criptocrashes Aleksey Kolokolov - Stationary Ultra Long Run Component Christian Gourieroux, Jihyun Kim, and Nour Meddahi
Session 6 : Options (Chair - Dong Hwan Oh) Room 9B118 - Stock Return Autocorrelations and Expected Option Returns Yoontae Jeon, Raymond Kan and Gang Li - Option Pricing with Time-Varying Volatility Risk Aversion Peter Hansen and Chen Tong
Session 7 : Asset Pricing (Chair - Junye Li) Room 9B215 - Trading Momentum Crashes Andrea De Polis, Daniele Bianchi and Ivan Petrella - Fast Empirical Scenarios Michael Multerer, Paul Schneider and Rohan Sen
Session 8 : Climate Financial Econometrics (Chair - Rex Wang Renije) Room 9B208 - ESG Investing Beyong Risk and Return Rex Wang Renije and Shuo Xia - Unpacking the Demand for Sustainable Equity Investing Don Noh, Sangmin Oh and Jihong Song |
| 17:00 - 17:50 |
Plenary Session : Invited speaker (Chair - Stan Hurn) Room 9B217 - Professor Jun Yu (SMU) Weak Identification of Long Memory with Implications for Volatility Modelling |
| 18:00 - 18:45 |
SoFiE Member Meeting (Chair - Oliver Linton) Room 9B217 |
| 19:30 - Late | SoFiE Council Dinner |
MAIN CONFERENCE DAY 3 - SUNDAY 18 JUNE 2023
| 08:15 - 09:00 | Registration |
|---|---|
| 09:00 - 10:00 |
Plenary Session : Presidential Address (Chair - Andrew Patton) Room 9B217 - Professor Oliver Linton (Trinity College, Cambridge) Title : TBC |
| 10:00 - 10:30 | Coffee |
| 10:30 - 12:30 |
Parallel Session V
Session 1 : Asset Pricing (Chair - Jun Yu) Room 9B218 - The Statistical Limit of Arbitrage Dacheng Xiu, Rui Da and Stefan Nagel - Grandular Betas and Risk Premium Functions Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg - Missing Financial Data Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger - Beta-Sorted Portfolios Weining Wang, Matias D. Cattaneo and Richard Crump
Session 2 : Correlation and Covariance (Chair - Marcello Fernandes) Room 9B118 - Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta Minseog Oh, Donggyu Kim and Yazhen Wang - Inference on the Maximal Rank of Time-varying Covariance Matrices using High-frequency Data Lars Winkelmann and Markus Reiss - High Dimensional Beta Test with High Frequency Data Dachuan Chen, Long Feng, Per Mykland and Lan Zhang - Semivolatility-managed Portfolios Daniel Batista and Marcelo Fernandes
Session 3 : Econometric Modelling (Chair - Peter Hansen) Room 9B215 - A Multivariate Realized GARCH Model Peter Hansen, Ilya Archakov and Asger Lunde - Conditional Spectral Methods Federico Bandi and Yinan Su - A Dynamic Count Process Namhyun Kim, Pipat Wongsa-Art and Yingcun Xia - Dynamic Autoregressive Liquidity (DArLiQ) Christian Hafner, Oliver Linton and Linqi Wang
Session 4 : Shrinkage (Chair - Zhentao Shi) Room 9B208 - Robust High-Dimensional Time-Varying Coefficient Estimation Minseok Shin and Donggyu Kim - On LASSO for High Dimensional Predictive Regression Ziwei Mei and Zhentao Shi - High-dimensional Covariance Matrices under Dynamic Volatility Models: Asymptotics and Shrinkage Estimation Yi Ding and Xinghua Zheng - Robust Minimum Variance Portfolio for a Large Universe of Assets Qingliang Fan, Ruike Wu and Yanrong Yang |
| 12:30 - 14:00 | Lunch : 600th Year Anniversary Building, B1 Floor |
| 14:00 - 15:30 |
Parallel Session VI
Session 5 : Machine Learning (Chair - Joon Park) Room 9B218 - Fund Selection using Textual Analysis Christiaan van den Berg, Fabian Neefjes, Maarten Jansen and Anastasija Tetereva - Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha André Santos, Victor DeMiguel, Javier Gil-Bazo and Francisco Javier Nogales - Machine Learning in Econometric Models: Using SVM to Estimate and Predict Binary Choice Models Joon Park, Yoosoon Chang and Guo Yan
Session 6 : Jumps (Chair - Viktor Todorov) Room 9B118 - The Jump Leverage Risk Premium Tim Bollerslev and Viktor Todorov - Prices Moving at Warp Speed: Jumps after Earnings Announcement Kim Christensen, Bezirgen Veliyev and Allan Timmermann - Tests for Jumps in Yield Spreads Lars Winkelmann and Wenying Yao
Session 7 : Asset Pricing (Chair - Gael Martin) Room 9B215 - Model Uncertainty in the Cross Section Ran Shi and Jiantao Huang - Growth Estimation in Fund Models Constantinos Kardaras, Hyeng Keun Koo and Johannes Ruf - Skewness Risk Premia in Currency Markets Junye Li, Lucio Sarno and Gabriele Zinna
Session 8 : Volatility and Factor Models (Chair - Jihyun Kim) Room 9B208 - Instrumental Factor Models for High-Dimensional Functional Data Jihyun Kim and Young Kim - Microstructural Foundations of Rough Noise Anders Norlyk and Peter Christensen - Asymmetric Models for Realized Covariances Luc Bauwens, Emilija Dzuverovic and Christian Hafner |
| 15:30 - 16:00 | Coffee |
| 16:00 - 17:00 |
Plenary Session : Invited speaker (Chair - Shuping Shi) Room 9B217 - Professor Tim Christensen (UCL) Robust Pricing with Many Factors: A Mixed Integer Linear Programming Approach |
| 17:00 - 17:15 | Closing Remarks and Bates-White Prize |