SoFiE Melbourne Conference Program

Wednesday, June 16th

1:00pm     Opening Remarks

1:15 - 2:00pm
Invited Speaker: Yacine Ait-Sahalia, Princeton University
"Modeling Financial Contagion Using Mutually Exciting Jump Processes"

2:00 – 2:50pm
Eric Renault, University of North Carolina – Chapel Hill
“Generalized Method of Moments with Tail Trimming”
Co-author: Jonathan B. Hill

Raymond Kan, University of Toronto
“On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint”
Co-authors: Nikolay Gospodinov and Cesare Robotti

2:50 – 3:15pm
Refreshment Break

3:15 – 4:00pm
Invited Speaker: Stephen Brown, NYU Stern School of Business
"Measuring Hedge Fund Operational Risk"

4:00 – 5:00pm
JFEC Lecture: Christian Gourieroux, CREST
"Microinformation, Nonlinear Filtering and Granularity"
Co-authors: Patrick Gagliardini and Alain Monfort

Reception and Gala Dinner
Invited Speaker: Francis X. Diebold, University of Pennsylvania

Thursday, June 17th

9:00 – 9:50am
Thijs Van Der Heijden, Tilburg University
“The Dynamic Mixed Hitting Time Model for Multiple Transaction Prices and Times”
Co-authors: Eric Renault and Bas J.M. Werker

Pipat Wongsaart, The University of Adelaide and the University of Western Australia
“An Alternative Semiparametric Regression Approach to Nonlinear Duration Modeling: Theory and Application”
Co-authors: David E. Allen and Jiti Gao

9:50 – 10:40am
Jose Gonzalo Rangel, Bank of Mexico
“High and Low Frequency Correlations in Global Equity Markets”
Co-author: Robert F. Engle

Mathijs Cosemans, University of Amsterdam
“Long and Short Run Correlation Risk in Stock Returns”

10:40 – 11:00am
Refreshment Break

11:00 – 11:50am
Mardi Dungey, University of Tasmania
“Observing the Crisis: Characterising the Spectrum of Markets with High Frequency Data, 2004-2008”
Co-authors: Jet Holloway and Abdullah Yalama

Robin Lumsdaine, American University
“What the Market Watched: Bloomberg News Stories and Bank Returns as the Financial Crisis Unfolded”

11:50 – 12:35pm
Invited Speaker: Nikolaus Hautsch, Humboldt University
"Forecasting Large-Dimensional Covariance Using a Mixed-Frequency Latent Factor Approach"

12:35– 2:20pm

Poster Session

Bertille Antoine
“Efficient Minimum Distance Estimation with Multiple Rates of Convergence”

Pierre Bajgrowicz
“Detecting Spurious Jumps in High Frequency Data”

Dominik Colangelo
“Option Trading Strategies Based on Semi-Parametric Implied Volatility Surface Prediction”

Marcelo Fernandes
“Tailing Tail Risk in the Hedge Fund Industry”

Kameliya Filipova
“Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach”

Constantinos Kourouyiannis
“Forecast Combinations in Volatility: An Application in Value at Risk and Expected Shortfall”

2:20 – 3:35pm
Heather M. Anderson, Australian National University
“Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps”
Co-authors: Yin Liao and Farshid Vahid

George Tauchen, Duke University
“Volatility in Equilibrium: Asymmetries and Dynamic Dependencies”
Co-authors: Tim Bollerslev and Natalia Sizova

Kevin Sheppard, University of Oxford
“Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility”
Co-author: Andrew Patton

3:35 - 4:05pm
Refreshment Break

4:05 – 4:55pm
Fangfang Wang, University of Illinois, Chicago
“The HYBRID GARCH Class of Models”
Co-authors: Xilong Chen and Eric Ghysels

Anna Cieslak, University of Lugano
“Understanding the Term Structure of Interest Rate Volatility”
Co-author: Pavol Povala

4:55 – 5:40pm
Invited Speaker: Andrew Patton, Duke University
"On the Dynamics of Hedge Fund Risk Exposures"
Co-author: Tarun Ramadorai

5:40 – 6:35pm
SoFiE Members Meeting

6:30 – 7:30pm
Wine and Cheese Reception

Friday, June 18th

9:30 – 10:45am
Christian Brownlees
"Volatility, Correlation and Tails for Systemic Risk Measurement"
Co-author: Robert Engle

Michael Rockinger, University of Lausanne
“The Economic Value of Distributional Timing”
Co-author: Eric Jondeau

Eric Ghysels, University of North Carolina, Chapel Hill
“Should Macroeconomic Forecasters Use Daily Financial Data and How?”
Co-authors: Elena Andreou and Andros Kourtellos

10:45 – 11:15am
Refreshment Break

11:15 – 12:00pm
Invited Speaker: Guofu Zhou, Washington University
"The State of the Art in Equity Premium Forecasting"

12:00 – 2:00pm

Poster Session

Claudio Morana
“The 2007-? Financial Crisis: A Money Market Perspective”

André A.P. Santos
“Optimal Portfolios with Minimum Capital Requirements”

Tao L. Wu
“Nonparametric Interest Rate Cap Pricing: Implications for the 'Unspanned Stochastic Volatility' Puzzle”

Yulia Veld-Merkoulova
“Investment Horizon and Portfolio Choice of Private Investors”

Hefei Wang
“Leverage Management in a Bull-Bear Switching Market”

Leo Krippner
"A theoretical foundation for the Nelson and Siegel class of yield curve models"