The Society for Financial Econometrics Inaugural Conference

NYU Stern School of Business ♦ New York, NY ♦ June 4-6, 2008 

Sponsored by

The Stern Salomon Center and Beyondbond, Inc. 

Invited Speaker: Matthew Richardson, NYU Stern School of Business

                 “The Volatility of a Firm's Assets”

Yacine Aїt-Sahalia and Jean Jacod

“Estimating the Degree of Activity of Jumps in High Frequency Financial Data”

                                    John Geweke and Gianni Amisano

“Hierarchial Markov Normal Mixture Models with Applications to Financial Asset Returns”

                                    Peter Carr and Liuren Wu

“Simple Robust Linkages between CDS and Equity Options”

                                     Paolo Guasoni, Gur Huberman, and Zhenyu Wang

“Performance Maximization of Actively Managed Funds”

Andrew J. Patton and Allan Timmermann

“Portfolio Sorts and Tests of Cross-Sectional Patterns in Expected Returns”

Pierre Bajgrowicz and Olivier Scaillet

“Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries”

Journal of Financial Econometrics Invited Speaker:

Halbert White, University of California, San Diego

“Inference on Risk Neutral Measures for Incomplete Markets”

            (co-authored with Hiroaki Kaido)
                       

Beyondbond, Inc. Reception and Gala Dinner

                                    Keynote Speaker: Andrew Lo, MIT

"What Will Happen To The Quants In 2017?"

Caio Almeida and René Garcia

“Empirical Likelihood Estimators for Stochastic Discount Factors”

                                    Jianqing Fan and Loriano Mancini

“Option Pricing with Model-guided Nonparametric Methods”

                                    K. Detlefsen, Wolfgang Härdle, and R.A. Moro

“Empirical Pricing Kernels and Investor Preferences”

Invited Speaker: Paul Embrechts, ETH Zürich

"Statistics and Quantitative Risk Management"

Turan Bali and Robert Engle

“Investigating ICAPM with Dynamic Conditional Correlations”

                                    H. Bertholon, A. Monfort, and F. Pegoraro

“Econometric Asset Pricing Modelling”

Luncheon Reception and Speaker       

Charles I. Plosser, President and Chief Executive Officer – Federal Reserve Bank of Philadelphia

Per Mykland and Lan Zhang

“Inference for Continuous Semimartingales Observed at High Frequency: A General Approach”

Peter Hansen and Guillaume Horel

“Quadratic Variation by Markov Chains”

Eric Ghysels, Per Mykland, and Eric Renault

“In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data Statistics”

Robert Engle, Neil Shephard, and Kevin Sheppard

“Fitting and Testing Vast Dimensional Time-Varying Covariance Models”

                                    Jens Christensen, Francis X. Diebold and Glenn D. Rudebusch

"The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models"

Panel Discussion:

 “Default Risk Correlation Models:

 Reflections on the Past and Challenges for the Future”

Pierre Collin-Dufresne, Goldman Sachs

Paul Embrechts, ETH Zurich, Department of Mathematics

Robin Lumsdaine, Board of Governors of the Federal Reserve System

Prosper Donovon, Silvia Goncalves, and Nour Meddahi

“Bootstrapping Realized Multivariate Volatility Measures”

                                    Raymond Kan and Cesare Robotti

“Model Comparison Using the Hansen-Jagannathan Distance”

Viktoria Hnatkovska, Vadim Marmer, and Yao Tang

“Comparison of Misspecified Calibrated Models: The Minimum Distance Approach”

Invited Speaker: Doug Breeden, Duke University

"Consumer Behavior As A Leading Indicator"

Jefferson Duarte and Christopher S. Jones

“The Price of Market Volatility Risk”

                                    Federico M. Bandi, Claudia E. Moise, and Jeffrey R. Russell

“Market Volatility, Market Frictions, and the Cross-Section of Stock Returns”

                                    Christian T. Brownlees and Giampiero M. Gallo        

“Comparison of Volatility Measures: a Risk Management Perspective”