2014 Conference Program

Final Conference Program

Wednesday, June 11, 2014
8:00-9:00 am Registration/Breakfast, Desautels Hall (2nd floor)
9:00-9:05 am Opening Remarks, Desautels Hall (2nd floor)
Peter Pauly,  Rotman School of Management, University of Toronto
9:05-9:50 am Halbert White Jr. Memorial JFEC Invited Lecture, Desautels Hall (2nd floor)
Chair: Eric Ghysels, University of North Carolina, Chapel Hill
Yacine Ait-Sahalia, Princeton University, Portfolio Choice in Markets with Contagion” (with T.R. Hurd)
9:50-10:50 am Plenary Session: High Dimensional Copulas, Desautels Hall (2nd floor)
Chair:  Eric Renault, Brown University
Alexander Ristig, Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models”  (with Nikolaus Hautsch and Ostap Okhrin)
Erkki Silde, Likelihood Based Dynamic Equicorrelation(with Andre Lucas)
10:50-11:05 am Refreshment Break (Desautels Hall, 2nd floor)
11:05-12:35 pm Plenary Session:  Equity Returns, Desautels Hall (2nd floor)
Chair:  Peter Christoffersen, University of Toronto
Ivan Shaliastovich , Good and Bad Uncertainty: Macroeconomic and Financial Market Implications(with Gill Segal, and Amir Yaron)
Asger Lunde,Volatility and Firm Specific News Arrival” (with Robert F. Engle and Martin Klint Hansen)
Michael Rockinger, “Optimal Long-Term Allocation for a Defined-Contributions Pension Fund” (with Eric Jondeau)
12:35-1:45 pm Lunch, Desautels Hall (2nd floor)
1:45-2:30 pm Invited Lecture, Desautels Hall (2nd floor)
Chair: Robert F. Engle, New York University
Joel Hasbrouck, New York University
” High Frequency Quoting: Short-Term Volatility in Bids and Offers”
2:30-3:00 pm Refreshment Break (lower level)
3:00-5:00 pm Parallel Session A: Risk Premia, Classroom LL1030
Chair: Kris Jacobs , University of Houston
Ian Dew-Becker, Asset Pricing in the Frequency Domain: Theory and Empirics (with Stefano Giglio)
Federico Bandi, The Scale of Predictability” (with B. Perron, A. Tamoni and C. Tebaldi)
Elena Andreou, “What Drives the VIX and the Volatility Risk Premium?”  ( with Eric Ghysels)
Dante Amengual,  “Resolution of Policy Uncertainty and Sudden Declines in Volatility” (with Dacheng Xiu)
3:00-5:00 pm Parallel Session B: High Frequency Data Models I, Classroom LL1035
Chair: Sílvia Gonçalves, Université de Montréal
Dacheng Xiu, “Principal Component Analysis of High Frequency Data” (with Yacine Ait-Sahalia)
Nikolaus Hautsch, Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of  Moments and Efficiency” (with Markus Bibinger, Peter Malec and Markus Reiss)
Worapree (Ole) Maneesoonthorn,  “Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures” (with Catherine S. Forbes and Gael M. Martin)
Fabio Moneta, Economic Risk Premia in the Fixed Income Markets: The Intra-day Evidence” (with Pierluigi Balduzzi)
6:30 -10:00 pm Gala Dinner at Fleck Atrium and Desautels Event Hall, Rotman
Co-Chairs:  Peter Pauly, Rotman School of Management, University of Toronto / Catherine Lubochinsky, Global Risk Institute in Financial Services
Jean Boivin, Associate Deputy Minister of Finance & Canada’s Deputy atthe G7, G20 and FSB.
Thursday, June 12, 2014
8:30-9:00 am Registration/ Breakfast (Desautels Hall, 2nd floor)
9:00-10:30 am Parallel Session A: High Frequency Data Models II, Classroom LL1030
Chair: Raymond Kan, University of Toronto
Yingying Li, “A Unified Approach for Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise”  (with Zhiyuan Zhang and Yichu Li)
Rogier Quaedvlieg, Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity” (with Kris Boudt, Sébastien Laurent and Asger Lunde)
George Tauchen, “Inference Theory for Volatility Functional Dependencies” (with Jia Li and Viktor Todorov)
9:00-10:30 am Parallel Session B: Macro Finance, Classroom LL1035
Chair: Mikhail Chernov, University of California, Los Angeles
Jens H.E. Christensen, “A Regime-Switching Model of the Yield Curve at the Zero Bound”
Jean-Sébastien Fontaine, “Funding Liquidity Risk and the Cross-Section of Stock Returns” (with Rene Garcia and Sermin Gungor)
Michael D. Bauer,  “Monetary Policy Expectations at the Zero Lower Bound” (with Glenn D. Rudebusch)          
10:30–11:00 am Refreshment Break (Desautels Hall, 2nd floor)
11:00-11:45 am Invited Lecture, Desautels Hall (2nd floor)
Chair: Federico Bandi, Johns Hopkins University
Adlai Fisher, University of British Columbia
New Directions in Multifrequency Finance
11:45 – 1:45 pm Lunch & Poster Session 1, Desautels Hall (2nd floor)
11:45 – 1:45 pm Poster Session 1, Desautels Hall (2nd floor)
Caio Almeida, “Nonparametric Tail Risk and Stock Returns Predictability and Risk-Premia” (with José Vicente and Osmani Guillen)
Anne Balter, “What Does a Term Structure Model Imply About Very Long-term Discount Rates?” (with Peter Schotman and Antoon Pelsser)
Andras Fulop, Bayesian Analysis of Bubbles in Asset Prices” (with Jun Yu)
Luc Bauwens, “Estimation and Empirical Performance of Non-scalar Dynamic Conditional Correlation (DCC) Models” (with Lyudmila Grigoryeva and Juan-Pablo Ortega)
1:45-3:15 pm   Plenary Session: Contagion, Networks and Systemic Risk, Desautels Hall (2nd floor)Chair: Robin Lumsdaine, American University
Serge  Darolles, “Contagion Analysis in the Banking Sector” (with Simon Dubecq and Christian Gourieroux)
Falk Bräuning, “A Dynamic Stochastic Network Model of The Unsecured Interbank Lending Market” (with Francisco Blasques and Iman van Lelyveld)
Julia Schaumburg, “Spatial GAS Models for Systemic Risk Measurement” (with Francisco Blasques, Siem Jan Koopman and Andre Lucas)
3:15-3:30 pm Refreshment Break (Desautels Hall, 2nd floor)
3:30-4:15 pm Invited Lecture, Desautels Hall (2nd floor)
Chair: Bas J.M. Werker, Tilburg University
Fabio Trojani, University of Lugano
“Realized Divergence: Definition, Properties, Trading and Modelling”
4:15-5:00 pm SoFiE Members Meeting,  Desautels Hall (2nd floor)
Friday, June 13, 2014
8:30-9:00 am Registration/ Breakfast (Desautels Hall, 2nd floor)
9:00-11:00 am Parallel Session A: Factor Models and Mixed Frequencies, Classroom LL1030
Chair: Bryan Kelly, University of Chicago
Eric Ghysels, “Factor Analysis with Large Panels of Volatility Proxies”
Kris Jacobs, “Option-Based Estimation of Co-Skewness and Co-Kurtosis Risk Premia” (with Peter Christoffersen and Mehdi Karoui)
René Garcia, “The Long and the Short of the Risk-Return Trade-Off” (with Marco Bonomo, Nour Meddahi and Roméo Tédongap)
Simona Boffelli, “High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers” (with Giovanni Urga)
9:00-11:00 am Parallel Session B: Empirical Asset Pricing and Portfolio Management, Classroom LL1035
Chair: George Tauchen, Duke University
Efstathios (Stathi) Avdis, Maximum Likelihood Estimation of the Equity Premium” (with Jessica A. Wachter)
Riccardo Colacito, The Term Structures of Co-Entropy in International Financial Markets” (with Fousseni Chabi-Yo)
Christian Gouriéroux, Positional Portfolio Management” (with Patrick Gagliardini and Mirco Rubin)
Nikolay Gospodinov, “Spurious Fit in Unidentified Asset-Pricing Models” (with Raymond Kan and Cesare Robotti)
11:00-11:30 am Refreshment Break (Desautels Hall, 2nd floor)
11:30 am-12:15 pm Invited Lecture, Desautels Hall (2nd floor)
Chair: Christian Gouriéroux, University of Toronto
Mikhail Chernov, University of California, Los Angeles
“Co-Entropy and Asset Pricing”
12:15-2:15 pm Lunch & Poster Session 2, Desautels Hall (2nd floor)
12:15–2:15 pm Poster Session 2, Desautels Hall (2nd floor)
Ilze Kalnina, Model-Free Leverage Effect Estimators at High Frequency” (with Dacheng Xiu)
Erik Kole, How to Identify and Forecast Bull and Bear Markets?” (with Dick van Dijk)
Guillaume Roussellet, “Staying at Zero with Affine Processes: A New Dynamic Term Structure Model” (with Alain Monfort, Fulvio Pegoraro, and Jean-Paul Renne)
Todd Prono, Simple Estimators for the GARCH(1,1) Model” (appendix)
2:15-3:00 pm Invited Lecture, Desautels Hall (2nd floor)
Chair: René Garcia, EDHEC Business School
Sílvia Gonçalves, Université de Montréal
“Recent Developments in Bootstrapping High Frequency Financial Data”
3:00-3:15 pm Refreshment Break (Desautels Hall, 2nd floor)
3:15-4:45 pm   Plenary Session: Option-Implied Pricing Kernels, Desautels Hall (2nd floor)
Chair: Luc Bauwens, Université catholique de Louvain
Viktor Todorov, “The Risk Premia Embedded in Index Options” (with Torben G. Andersen and Nicola Fusari)
Bryan Kelly, The Price of Political Uncertainty: Theory and Evidence from the Option Market” (with Lubos Pastor and Pietro Veronesi)
Aaron Smith, “State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel” (with Konstantinos Metaxoglou)
4:45 pm Closing Remarks and Announcement of 2015 Meeting Location, Desautels Hall (2nd floor)