Monday Seminar Series 2008-2009

Monday/QFE Seminar Series  |  2007-2008

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Monday Quantitative Finance & Econometrics Seminar Series will take place from 12:00 - 1:00PM, unless otherwise noted, at the Henry Kaufman Management Center, 44 West 4th Street, New York. Postings of topics and papers will be made available, upon receipt, in the Seminars section of the Department of Finance web site. Please note, lunch will be available to attendees only.

Date   Speaker / Affiliation Topic
09/17    "What's New in Financial Econometrics"
09/24    
10/01    "High Dimension Dynamic Correlations"
10/08    
10/15 Eric Ghysels
University of
North Carolina
"On the Economic Sources of Stock Market Volatility"
10/22    
10/29 Xavier Giroud,
Jongsub Lee
New York University
"Market Competition and Firm-level Corporate Governance Provisions"
"Size/Value Premium, and Hazard Rates of M&A and Default Events"
11/05 Jose Gonzalo Rangel
New York University
"The Factor Spline GARCH Model for High and Low Frequency Correlations"
11/12 Robert Tumarkin
New York University
 
11/19    
11/26 Bryan Kelly
Joel Krasny
New York University
"Dynamic Tail Dependence"
"Improved Estimation of Portfolio Performance using holdings information"
12/03    
12/10 Christian Brownlees
University of Florence
"Comparison of Volatility Measures: A Risk Management Perspective"
12/17    
02/11 Andrew Ang
Columbia University
 "Monetary Policy Shifts and the Term Structure" 
02/18    
02/25    
03/03 Jushan Bai
New York University
 "A Simple Method for Estimating Betas When Factors Are Measured with Error" 
03/10    
03/17    
03/24    
03/31 Peter Carr
NYU, Bloomberg LP
Liuren Wu
Barach College, CUNY
 "Simple Robust Linkages Between CDS and Equity Options"
04/07 Albert "Pete" Kyle
University of Maryland
"Cash Settlement, Price Manipulation, and the Modigliani-Miller Theorem"

"Price Manipulation in Financial Markets"
04/14
04/21 Mary Billings
New York University
Please note: Part of Finance
Seminar Series, not QFE Series
"Disclosure Timeliness, Insider Trading Opportunities and Litigation Consequences"
04/28 Riccardo Colacito
New York University
Please note: Part of Finance
Seminar Series, not QFE Series
"Risk Sharing for the Long Run"
05/05 Turan Bali
Baruch College, CUNY
 "Investigating ICAPM with Dynamic Conditional Correlations"
05/12 Fabio Trojani
University of St. Gallen
"Asset Pricing with Matrix Affine Jump Diffusions"
 

 Organizers:
 Robert Engle   rengle@stern.nyu.edu 
 Joel Hasbrouck   jhasbrou@stern.nyu.edu 
 Xiaohong Chen   xiaohong.chen@nyu.edu