Welcome!

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.

Join the SoFiE Facebook group at: http://www.facebook.com/groups/sofienyu/


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.


CALL FOR PAPERS - SPECIAL ISSUE IN HONOR OF PETER CHRISTOFFERSEN

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 August 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 hosted a conference on Risk Management and Financial Innovation on March 8-10, 2019.

Next Event:

Thirteenth Annual SoFiE Conference

Thirteenth Annual SoFiE Conference
Sponsored by: the University of California, San Diego
Date: June 15-17, 2020 and Pre-Conference June 14, 2020
Conference Location: University of California, San Diego
Conference Website: TBD
Program:TBD
Call for Papers:TBD

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