Volatility Institute
Washington Square Park

Sponsored By:

The Volatility Institute

 

Abstracts & Papers

 

Mark W. Watson, Keynote Speaker

Department of Economics and Woodrow Wilson School, Princeton University

 

“Measuring Uncertainty About Long-Run Growth and Inflation”

(Paper not available)

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Stephen Cecchetti, Luncheon Speaker

Economic Adviser, Head of Monetary and Economic Department at Bank For International Settlements

 

"Toward A Global Risk Map" (co-authored with Ingo Fender and Patrick McGuire)

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Vasco M. Carvalho, CREI and Universitat Pompeu Fabra

"The Great Diversification and its Undoing" (co-authored with Xavier Gabaix)

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Peter Christoffersen, University of Toronto, Rotman School of Management

"Is the Potential for International Diversification Disappearing?" (co-authored with Vihang Errunza, Kris Jacobs, and Hugues Langlois)

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Christian Dorion, HEC Montréal

"Business Conditions, Market Volatility and Option Prices"

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Eric Ghysels, University of North Carolina - Chapel Hill

"Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals" (co-authored with Alberto Plazzi and Rossen Valkanov)

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Kris Jacobs, University of Houston, C.T. Bauer College of Business

"A GARCH Option Model with Variance-Dependent Pricing Kernel" (co-authored with Peter Christoffersen and Steven Heston)

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José Gonzalo Rangel, Bank of Mexico

"The FX Comovements: Disentangling the Role of Market Factors, Carry-Trades, and Idiosyncratic Components"

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Hao Zhou, Federal Reserve Board

"Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty"

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