The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It is an independent non-profit membership organization, currently housed at New York University. SoFiE is committed to promoting and expanding research and education by organizing and sponsoring conferences, programs and activities at the intersection of finance and econometrics, including links to macroeconomic fundamentals.

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Cover of the Journal of Financial Econometrics

Journal of Financial Econometrics (JFEC)

JFEC is SoFiE's official journal. It showcases the latest financial econometric research from all corners of the globe.


It is with great sadness that we learned the news about the untimely passing away of Peter Christoffersen on June 22, 2018, after a long struggle with cancer. To many of us, Peter was a friend. He was admired as a true scholar whose research influenced all of us. Peter held the TMX Chair in Capital Markets at the Rotman School of Management at the University of Toronto. He was a SoFiE Fellow since 2012 and was key to the success of the 2014 SoFiE Annual conference held in Toronto. Our hearts go out to his family, in particular to his wife Susan and his two sons Philip and Nicholas.


The Journal of Financial Econometrics is organizing a special issue in memory of Professor Peter Christoffersen, our friend and colleague, who passed away in June 2018. Peter held the TMX Chair in Capital Markets and a Bank of Canada Fellowship and was a widely respected member of the Rotman School at the University of Toronto since 2010. Prior to 2010, Peter was a valued member of the Desautels Faculty of Management at McGill University. In addition to his transformative work in econometrics and volatility models, financial risk and financial innovation have been the focus of Peter’s work in recent years.

We invite paper submissions on topics related to Peter’s contributions to Finance and Econometrics. We are particularly interested in papers related to the following topics:

1) The use of option-implied information for forecasting; Rare disasters and portfolio management; Factor structures in derivatives and futures markets.
2) Volatility, correlation, extreme events, systemic risk and Value-at-Risk modeling for financial market risk management.
3) The econometrics of digital assets; Big data and Machine Learning.

To submit a paper, authors should login to the Journal of Financial Econometrics online submission system and follow the submission instructions as per journal policy. The due date for submissions is June 30, 2019. It is important to specify in the cover letter that the paper is submitted to the special issue in honor of Peter Christoffersen, otherwise your paper will not be assigned to the guest editors.

Guest Editors
• Francis X. Diebold, University of Pennsylvania
• René Garcia, Université de Montréal and Toulouse School of Economics
• Kris Jacobs, University of Houston

Risk Management and Financial Innovation Conference
In memory of Peter Christoffersen | March 8-10, 2019, Mt. Tremblant, PQ

The Rotman School of Management, University of Toronto and Desautels Faculty of Management, McGill University are hosting a conference on Risk Management and Financial Innovation on March 8-10, 2019.

Next Event:

Twelfth Annual SoFiE Conference

12th Annual SoFiE Conference
Sponsored by: TBD and The Society for Financial Econometrics (SoFiE)
Date: June 12-14, 2019 and Pre-Conference June 11, 2019
Conference Location: Fudan University, Shanghai
Call for Papers: TBD
Registration: Full Details TBD
Program: TBD
Conference Website: TBD

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