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Main Conference




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 ZhangYihuang 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






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





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