QFE Monday Seminar Series

Quantitative Financial Econometrics (QFE) Seminar Series

The Volatility Institute hosts the popular QFE Monday Seminar series, which showcases top research in the active field of financial econometrics. A guest speaker is invited to present his or her research to the growing community in this field. Past speakers have included David Lando, Ravi Jagannathan, Tim Bollerslev, Jeff Russell, Eric Ghysels, Steven Figlewski, Hal White, Serena Ng, Paul Embrechts, Christian Gourieroux and more.

Location: Henry Kaufman Management Center, Room 3-120

Time: 12:00p.m. - 1:20p.m.

Spring 2010 Schedule

January 25th	Dennis Kristensen, Columbia Business School	"Adding and Subtracting Black Scholes: A New Approach to Approximating Derivative Prices in Continuing-Time Models" Paper
March 1st	Eric Ghysels, UNC - Chapel Hill	TBD

Fall 2009 Schedule

September 14th	Robert Whitelaw, NYU Stern School of Business	"Time-Varying Risk Aversion and the Risk-Return Relation" Paper
October 12th	Robert F. Engle, NYU Stern School of Business	"Long-term Skewness and Systemic Risk"
October 26th	Dale Gray, IMF	"Systemic Tail-Risk in the Financial Sector and Implicit Government Guarantees"
November 9th	Andrew Patton, Duke University	"Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability" Paper
November 23rd	Paul Glasserman, Columbia University	"Valuing the Treasury's Capital Assistance Program" Abstract
December 7th	Mikhail Chernov, London Business School	"Disasters Implied by Equity Index Options" Paper
December 18th (Friday)	Stephen Figlewski, and Robin Wurl, NYU Stern School of Business	Presentation on ISE Data

Please email vi@stern.nyu.edu if you would like to be included on the mailing list.

2009 - 2010 Conferences

"Volatility and Systemic Risk" April 16th, 2010

Sponsored by the Society of Financial Econometrics (SoFiE), The Center for the Study of Auctions, Procurements and Competition Policy (CAPCP), the Center for Research on International Financial Energy Security (CRIFES) at Pennsylvania State University, and FinEx Plus LLC.

The focus of the conference is to understand both economically and statistically the dramatic movements in volatilities and correlations experienced in global financial markets since Sept 2008. Some of these financial market risks we now know were systemic and the conference will showcase new research on both statistical and economic measures of systemic risk. Such measures are potentially important inputs to the new regulatory environment. The conference will emphasize academic, regulatory and practitioner points of view.

Featuring Sir John Gieve (Deputy Governor for Financial Stability of the Bank of England) as the Lunchtime Keynote Speaker

Date: Friday, April 16th, 2010

Program: TBD

Registration: Please email vi@stern.nyu.edu with your name and affiliation.

Location: Directions

NYU Stern School of Business

44 West Fourth Street

Henry Kaufman Management Center, Room 2-60

New York, NY 10012

Hotels and Transportation

Third Annual Conference of the Society for Financial Econometrics

SoFiE is proud to announce the third annual conference to be held at the University of Melbourne.

Date: June 16, 17, 18, 2010

Location: University of Melbourne

CALL FOR PAPERS

KEYNOTE SPEAKERS

Francis X. Diebold (University of Pennsylvania), Gala Dinner Speaker AND Christian Gouriéroux (CREST and the University of Toronto), Invited JFEC Lecture

INVITED SPEAKERS

Yacine Ait-Sahalia, Bendheim Center for Finance
Stephen Brown, NYU Stern School of Business
Andrew Patton, Duke University
Guofu Zhou, Washington University
Nikolaus Hautsch, Humboldt University

LOCAL ORGANIZERS

Paul Kofman, Vance Martin, Nilss Olekalns
University of Melbourne

MORE INFO>>

"Liquidity, Credit Risk and Extreme Events"

Joint Conference with the Society of Financial Econometrics (SoFiE), Stevanovich Center for Financial Mathematics, University of Chicago and the Journal of Financial Econometrics

Date: October 30, 2009

Location: University of Chicago

Program

Conference page

2008- 2009 Conferences

Conference on “Volatilities and Correlations in Stressed Markets”

The Center for the Study of Auctions, Procurements and Competition Policy (CAPCP), the Center for Research on International Financial and Energy Security (CRIFES) at the Pennsylvania State University, FinEx Plus LLC, the Institute for Financial Studies (IFS) and the Society for Financial Econometrics (SoFiE)

Date: April 3, 2009

Location: 44 W.4th Street, Henry Kaufman Management Center, Room 1-70 Directions

Program:

8:00am	Registration, KMC Lobby
8:25am 8:30 – 9:30am	Opening Remarks: Ingo Walter, Vice Dean of Faculty, NYU Stern School of Business Chair: Tim Bollerlsev Robert Engle and Jose Gonzalo Rangel, "High and Low Frequency Correlations in Global Equity Markets”
	Xilong Chen and Eric Ghysels,“News and its Impact on Volatility Forecasts before and during the Financial Crisis”
	Discussant: Ronald Gallant
9:30 - 10:30am	Chair: Turan Bali Nathaniel Frank, Neil Shephard and Kevin Sheppard, “Realizing the Future: Forecasting Volatility and Dependence Through the Credit Crunch with HF Data”
	Tim Bollerslev and George Tauchen, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies”
	Discussant: Peter Hansen
10:30 – 11:00am	Refreshment Break
11:00 – 12:00pm	Chair: Marti Subrahmanyam Peter Carr and Liuren Wu, "What Drives Stochastic Volatility? Evidence from Variance Swaps and Log Profiles”
	Stephen Figlewski and Justin Birru, “Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008"
	Discussant: David Bates
12:00 – 1:45pm	Lunch & Keynote Speaker: Andrew Lo, Harris & Harris Group Professor Director, MIT Laboratory for Financial Engineering "Kill All The Quants"?: Models vs. Mania in the Current Financial Crisis
2:00 – 3:00pm	Chair: Andrew Ang Robert Engle, Giampiero Gallo and Margherita Velucchi, “A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets”
	Malcolm Baker, Jeffrey Wurgler and Yu Yuan, "Global, Local, and Contagious Investor Sentiment"
	Discussant: Lasse Pedersen
3:00 – 3:30pm	Refreshment Break
3:30 – 4:30pm	Christian Brownlees, Robert Engle and Bryan Kelly, “Evaluating Volatility Forecasts over Multiple Horizons”
	Christian Brownlees and Robert Engle, “Presenting Vlab” Discussant: Kevin Sheppard
4:30 – 6:00pm	Roundtable Panel: Moderator: Francis X. Diebold Mika Toikka, Credit Suisse Joseph Mezrich, Nomura Securities International, Inc. Mustafa Chowdhury, Deutsche Bank AG Evgeny Kovalishin, FinEx Plus

First European Conference, Society for Financial Econometrics (SoFiE)

Sponsored by the Swiss Finance Institute and NCCR FinRisk

Dates: June 10-12, 2009

Location: Geneva Switzerland

Program: Download

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