Seminars

Seminars 2017/2018

October 19, 2017
11:00 am to noon
Stevanovich Center, 5727 S University Ave, Library

Yingying Li

Departments of Finance and ISOM, Hong Kong University of Science and Technology

Approaching Mean-Variance Efficiency for Large Portfolios



November 9, 2017
11:00 am to noon
Stevanovich Center, 5727 S University Ave, Library

Peter Carr

Department of Finance and Risk Engineering, Tandon School of Engineering, New York University

Valgebra



November 30, 2017
11:00 am to noon
Stevanovich Center, 5727 S University Ave, Library

Simone Lenzu

Department of Economics, The University of Chicago



January 11, 2018
11:30-12:30
Stevanovich Center, 5727 S University Ave, Library

Victor DeMiguel

London Busines School



February 15, 2018
11:30-12:30
Stevanovich Center, 5727 S University Ave, MS 112

Markus Reiß

Institut für Matematik, Humoldt-Universität zu Berlin



February 22, 2018
11:30-12:30
Stevanovich Center, 5727 S University Ave, MS 112

Markus Pelger

Department of Management Science and Engineering, Stanford University

Estimating Latent Asset-Pricing Factors



March 1, 2018
11:30-12:30
Stevanovich Center, 5727 S University Ave, MS 112

Di Andrew Wu

Stephen M. Ross School of Business, University of Michigan



March 8, 2018
11:30-12:30
Stevanovich Center, 5727 S University Ave, MS 112

Noureddine El Karoui

Department of Statistics, University of California, Berkeley



April 5, 2018
11:00 am to noon
Stevanovich Center, 5727 S University Ave, MS 112

Gustavo Schwenkler

Questrom School of Business, Boston University

Long-run Risk or Disasters? New Evidence from an efficient Estimation Method for Multivariate Jump-diffusions



April 12, 2018
11 am to noon
Stevanovich Center, 5727 S University Ave, MS 112

Olivier Scaillet

Geneva Finance Research Institute, University of Geneva, and Swiss Finance Institute

Time-Varying Risk Premia in Large International Equity Markets



April 26, 2018
11 am to noon
Stevanovich Center, 5727 S University Ave, MS 112

Kay Giesecke

Department of Management Science and Engineering, Stanford University

Deep Learning for House Price Risk



SEMINARS HELD PREVIOUSLY DURING THE 2016/2017 ACADEMIC YEAR

November 28, 2016
2:00-3:00pm
Stevanovich Center, 5727 S University Ave, Library

Yunzhi Hu

Department of Economics and Booth School of Business, University of Chicago

Recovery Dynamics: An Explanation from Bank Screening and Entrepreneur Entry

 



November 28, 2016
3:00-4:00pm
Stevanovich Center, 5727 S University Ave, Library

Paymon Khorrami

Department of Economics, University of Chicago

Trends in Productive Technology, Intermediation, and Inequality: A Long-term Macroeconomics Perspective

 



SEMINARS HELD PREVIOUSLY DURING THE 2015/2016 ACADEMIC YEAR

 

March 3, 2016
4:00-5:00 pm
Stevanovich Center, 5727 S University Ave, room 112

Archil Gulisashvili

Ohio University

Gaussian and Self-Similar Stochastic Volatility Models



March 3, 2016
5:00-6:00 pm
Stevanovich Center, 5727 S University Ave, room 112

Qiji Jim Zhu

Western Michigan University

Preservation of generalized convexity in contingent claim pricing and applications



 

March 4, 2016
3:00-4:20 pm
Stevanovich Center, room 112

Bo Zhou

Tilburg University

Semiparametrically Optimal Hybrid Rank tests for Unit Roots



 

March 10, 2016
3:30 pm
Saieh Hall, room 112
joint with the Becker Friedman Institute

Eric Renault

Brown University

Indirect Inference with Endogenously Missing Exogenous Variables



March 11, 2016   Friday
3:00 PM
Stevanovich Center, 5727 S University Ave, room 112

George Tauchen

Duke University

Jump Regressions

Link to paper 1 Link to paper 2



April 20, 2016 Wednesday
3:10 PM
Stevanovich Center, 5727 S University Ave, room 112

George Tauchen

Duke University

Rank Tests at Jump Events

Link to paper



 

February 26, 2016
3:00-4:20 pm
Stevanovich Center, room 112

Eric Renault

Brown University

Arbitrage Pricing Theory for Idiosyncratic Variance Factors



 

November 10, 2015
12:00 Noon
Saieh Hall, room 419
joint with the Becker Friedman Institute

Xiaohong Chen 

Yale University

MCMC Confidence Sets for Partially Identified Parametric Models

 


Seminars held previously during the 2014/2015 academic year

 

October 16, 2014   Thursday
1:20 PM
Harper Center, room HC3B
joint with the Econometrics and Statistics Workshop in the Booth School of Business

Eric Renault 

Brown University

Indirect Inference for Estimating Equations
 


Octctober 30, 2014   Thursday
4:00 PM
5727 S University Ave, room 112

Jean Jacod

Université Pierre et Marie Curie (Paris-6)

Estimating the degree of activity of jumps of a discretely observed semimartingale


November 6, 2014   Thursday
4:00 PM
5727 S University Ave, room 112

Dacheng Xiu

Booth School of Business, The University of Chicago

Principal Component Analysis of High Frequency Data


November 17, 2014   Monday
4:00 PM
5727 S University Ave, room 112

Sebastien Bossu

Ogee Group

Equity Correlation Modelling


March 3, 2015   Tuesday
4:00 PM
5727 S University Ave, room 112

Yacine Ait-Sahalia

Princeton University

High Frequency Traders: Taking Advantage of Speed

Link to paper


March 12, 2015   Thursday
1:20 PM
Harper Center, room HC3B
joint with the Econometrics and Statistics Workshop in the Booth School of Business

Kjell G. Nyborg

University of Zurich

Collateral, Central Bank Repos, and Systemic Arbitrage

Link to paper


April 16, 2015   Thursday
4:30 PM
Eckhart Hall, room 133
Billingsley Lecture on Probability

Wendelin Werner

Eidgenössische Technische Hochschule Zürich

Random Phenomena and Conformal Invariance Within Fractal Gaskets


May 7, 2015   Thursday
12:00 PM (noon) (new time)
5727 S University Ave, room 112

Katharine Turner

University of Chicago

PCA of persistent homology rank functions with case studies in point processes, colloids and sphere packings


May 21, 2015   Thursday
1:20 PM
Harper Center, room HC3B
joint with the Econometrics and Statistics Workshop in the Booth School of Business

Olivier Scaillet

Geneva Finance Research Institute, and Université de Genève

A diagnostic Criterion for Approximate Factor Structure

Link to paper


May 28, 2015   Thursday
3 pm
5727 S University Ave, room 112
joint with the Department of Statistics

Noureddine El Karoui

Department of Statistics, University of California at Berkeley

On High-Dimensional Robust Regression and Inefficiency of Maximum Likelihood Methods