Program and Papers

SOFiE 2016 conference booklet
SOFiE 2016 Conference poster

Papers 

Federico Bandi: Possibly Nonstationary Cross-Validation

Jozef Barunik: Quantile Cross-Spectral Measures of Dependence Between Economic Variables

Mikkel Bennedsen: Volatility Modelling: Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

Daniele Bianchi: The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Martijn Boons: Horizon-Specific Macroeconomic Risks and the Cross Section of Expected Returns

Svetlana Bryzgalova: The Consumption Risk of Bonds and Stocks

Shuo Cao: Learning about Term Structure Predictability under Uncertainty

Te-Feng Chen: Volatility-of-Volatility Risk in Asset Pricing

Jieyang Chong: Testing for Speculative Bubbles: Revisiting the Rolling Window 

Jens Henrik Eggert Christensen: The TIPS Liquidity Premium

Kim Christensen: Inference from High-Frequency Data: A Subsampling Approach

Riccardo Colacito: Currency Risk Factors in a Recursive Multi-Country Economy

Christian Conrad: Misspecification Testing in GARCH-MIDAS Models

Serge Darolles: Financial Market Liquidity: Who Is Acting Strategically?

Robert Davies: Data-Driven Jump Detection Thresholds for Application in Jump Regressions

Pasquale Della Corte: Macro Uncertainty and Currency Premia

Dobrislav Dobrev: High-Frequency Cross-Market Trading: Model Free Measurement and Applications

Deniz Erdemlioglu: Financial Flights, Stock Market Linkages and Jump Excitation

Andrey Ermolov: Macro Risks and the Term Structure of Interest Rates

Andras Fulop: Transparency Regime Initiatives and Liquidity in the CDS Market

James M. Gillan: Does Quantitative Easing Affect Market Liquidity?

Christian Gouriéroux: Structural Dynamic Analysis of Systematic Risk

Niels Strange Grønborg: Picking Funds with Confidence

Heejoon Han: The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability Between Time Series

Xu Han: Estimation and Inference in Over-identified Structural Factor-Augmented VAR Models

Wolfgang Karl Härdle: Leveraged ETF Options Implied Volatility Paradox: a Statistical Study

Nikolaus Hautsch: Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes

Ilze Kalnina: Cross-Sectional Dependence in Idiosyncratic Volatility

Raymond Kan: Optimal Portfolio Selection With and Without Risk-free Asset

Soohun Kim: Ex-Post Risk Premia Tests using Individual Stocks: The IV-GMM Solution to the EIV Problem

Erik Kole: Forecasting Value-at-Risk under Temporal and Portfolio Aggregation

Aleksey Kolokolov: Efficient Multipowers

Yan Liu: Index Option Returns and Generalized Entropy Bounds

Yan Liu: Lucky Factors 

Cecilia Mancini: Truncated Realized Covariance When Prices Have Infinite Variation Jumps

Simone Manganelli: Quantile Impulse Response Functions

Michael W. McCracken: Tests of Equal Accuracy for Nested Models with Estimated Factors

Xiaochun Meng: Forecasting Value-at-Risk by Estimating the Quantiles of the Intra-Day Low and High Series

Thor Nielsen: Backtesting Value-at-Risk: A Generalized Markov Framework

Yarema Okhrin: Optimal Shrinkage-Based Portfolio Selection in High Dimensions

Piotr Orlowski: Arbitrage Free Dispersion

Jiening Pan: A Test of General Asymmetric Dependence

Andrew Patton: Asymptotic Inference about Predictive Accuracy using High Frequency Data

Markus Pelger: Large-Dimensional Factor Modeling Based on High-Frequency Observations

Jean-Paul Renne: The Joint Dynamics of the U.S. and Euro Area Inflation: Expectations and Time-varying Uncertainty

Roberto Renò: The Drift Burst Hypothesis 

Alexander Ristig: Conditional Systemic Risk with Penalized Copula

Paulo Rodrigues: Residual-Augmented IVX Predictive Regression

Guillaume Roussellet: Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound

Carlo Sala: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Paul Schneider: An Anatomy of the Equity Premium

Paul Schneider: (Almost) Model-Free Recovery

Gustavo Schwenkler: Efficient Parameter Estimation for Multivariate Jump-Diffusions

George Tauchen: Robust Jump Regressions

Viktor Todorov: The Pricing of Tail Risk: Evidence from International Option Markets

Fabio Trojani: The Price of the Smile and Variance Risk Premia

Weining Wang: TENET: Tail-Event Driven NETwork Risk

Wei Wei: Identifying Uncertainties from Multiple Factors: A Study on Electricity Price

Bas Werker: APT with Idiosyncratic Variance Factors

Michael Wolf: Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

Ke Wu: Stock Return Asymmetry: Beyond Skewness

Shangyu Xie: Efficient Estimation of Integrated Volatility Incorporating Trading Information

Haoxi Yang: Demographics and the Behavior of Interest Rates

Shaojun Zhang: Systemic Default and Return Predictability in the Stock and Bond Markets

Xiaolu Zhao: More Accurate Volatility Estimation and Forecasts Using Price Durations

Hao Zhou: Term Structure of Interest Rates with Short-Run and Long-Run Risks