Monday Seminar Series 2008-2009 |
Monday/QFE Seminar Series | 2007-2008 |
back to Seminars |
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. |
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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" |
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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 |
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11/19 | ||||||||||||||||||
11/26 | Bryan Kelly Joel Krasny New York University |
"Dynamic Tail Dependence" "Improved Estimation of Portfolio Performance using holdings information" |
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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" |
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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" | ||||||||||||||||
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