4th Conference on Financial Econometrics and Risk Management

Description

For complete details, please visit the Event Website.

Thursday, April 19th, 2018
12:45 to 13:00	Coffee Break
13:00 to 14:30	Evaluation and Comparison of Forecasting Performance Allan Timmermann, Rady School of Management, UCSD
14:30 to 15:00	Coffee Break
15:00 to 16:30	Evaluation and Comparison of Forecasting Performance Allan Timmermann, Rady School of Management, UCSD

Friday, April 20th, 2018
09:20 to 09:40	Opening remarks by the Organizing Committee
09:30 to 10:15	High-frequency cash flow dynamics. Allan Timmermann (Rady School of Management, University of California San Diego), joint with Riccardo Sabbatucci and Davide Pettenuzzo
10:15 to 10:30	Coffee Break
10:30 to 11:15	Weak beta, strong beta: multi-factor pricing and rank restrictions Lynda Khalaf (Carleton University), joint with Marie-Claude Beaulieu and Jean-Marie Dufour
11:15 to 12:00	Nonparametric Assessment of Hedge Fund Performance Rene Garcia (University of Montreal and TSE - Toulouse School of Economics)
12:00 to 14:30	Lunch
14:00 to 15:00	On the Modeling of Covariance Matrices Peter R. Hansen (UNC Chapel Hill), joint with Ilya Archakov
15:00 to 15:15	Coffee Break
15:15 to 16:00	Estimating Option Pricing Models Using Large Panels: A New Approach Kris Jacobs (Bauer College of Business, University of Houston), joint with Yuguo Liu
16:00 to 16:45	Dynamics of Variance Risk Premia: A new Model for Disentangling the Price of Risk Jeroen Rombouts (ESSEC Business School), joint with Lars Stentoft and Francesco Violante