10th Annual SoFiE Conference

10th ANNUAL SoFiE CONFERENCE
Sponsored by: The Volatility Institute, Salomon Center, and Finance Department at NYU Stern and The Society for Financial Econometrics (SoFiE)
Date: June 21-23, 2017 and Pre-Conference June 20, 2017
Conference Location: New York, NY
Call for Papers: Information Below
Registration: TBD

Conference Website: TBD

Program: TBD

10th Annual Society for Financial Econometrics (SoFiE) Conference
June 21-23, 2017 and Pre-Conference for Young Scholars: June 20, 2017
Hosted by the Volatility Institute, the Salomon Center, and the Finance Department at New York University Stern School of Business

Information on the Financial Econometrics Pre-Conference for Young Scholars
Due to the great success of the previous pre-conferences (Aarhus 2015 and Hong Kong 2016), we are once again accepting submissions for 2017. Everybody planning to attend the Annual SoFiE conference is invited to register and attend this Pre-Conference to help raise the quality and recognition of the young scholars in our organization!
 
The pre-conference provides students, postdocs, and untenured professors (with up to three years in a tenure-track job) the opportunity to present their work prior to the regular conference. Joint work with senior co-authors is eligible for the pre-conference as long as the presenting co-author is eligible.

Papers eligible for the pre-conference are treated exactly as other submissions for the SoFiE conference.  However, if they do not make the program, they are automatically considered for the pre-conference. Finally, it is also possible to submit a paper for consideration for the pre-conference only, as long as this is indicated at the time of submission.
 
The pre-conference will last one full day and will feature only young scholars, apart from the invited address by Raffaella Giacomini from University College London. We aim to have a seasoned scholar paired up with each individual paper in the pre-conference to enhance informal information exchange and constructive feedback.

Submission Procedure
Papers must be submitted via the EasyChair submission system:
https://easychair.org/conferences/?conf=2017sofieconference

  • If you have never used EasyChair before you will have to create a new user account to submit.
  • Once logged on, click on "New Submission" on the top left menu bar to submit.
  • IMPORTANT: You must indicate which program you would like your paper to be considered for in the "Keywords" section of the submission form (each keyword must be on a separate line). YOU MUST WRITE ONE OF THE THREE FOLLOWING OPTIONS:
    • Please write “Main Only” if you are submitting a paper for consideration in the main program only, followed by any relevant keywords for your paper.
    • Please write “Main/Pre” if you wish to have your paper considered for both the main program and the pre-conference.
    • Please write “Pre Only” if you wish to have your paper considered for the pre-conference only.Please name your pdf file with author last names and the full title of your paper.

Submissions must be received by January 10, 2017
All submitted papers will be reviewed by the Program Committee.
Please contact sofie@stern.nyu.edu with any questions.

INVITED SPEAKERS and COMMENTATORS
Tobias Adrian, Federal Reserve Bank NY
Federico Bandi, Johns Hopkins Carey Business School
Robert F. Engle, NYU Stern School of Business
Wayne Ferson, USC Marshall School of Business
Eric Ghysels, UNC Kenan-Flagler Business School
Raffaella Giacomini, University College London
Lars Peter Hansen, University of Chicago
Campbell R. Harvey, Duke University Fuqua School of Business
Bryan Kelly, University of Chicago Booth School of Business
Robin L. Lumsdaine, American University
Andrew Patton, Duke University
Richard Sylla, NYU Stern School of Business
Viktor Todorov, Kellogg School of Management Northwestern University
Cynthia Wu, University of Chicago Booth School of Business

HALBERT WHITE JR. MEMORIAL JFEC INVITED LECTURE
Eric Renault, Brown University

SoFiE PRESIDENTIAL ADDRESS
Ravi Jagannathan, President of SoFiE 2015-2017
Chicago Mercantile Exchange/John F. Sandner Professor of Finance, Northwestern-Kellogg

LOCAL ORGANIZERS
Robert F. Engle, NYU Stern School of Business

PROGRAM CHAIR
George Tauchen, Duke University

PROGRAM COMMITTEE
Torben Andersen, Northwestern University
Heather Anderson, Monash University
Gurdip Bakshi, University of Maryland
Federico Bandi, Johns Hopkins University
Luca Benzoni, Federal Reserve Bank of Chicago
Tim Bollerslev, Duke University
Marine Carrasco, University of Montreal
Rong Chen, Rutgers University
Mikhail Chernov, London School of Economics & UCLA
Charlotte Christiansen, Aarhus University
Peter Christoffersen, University of Toronto
Riccardo Colacito, U of North Carolina, Chapel Hill
Pierre Collin-Dufresne, EPFL
Valentina Corradi, University of Surrey
Veronika Czellar, EDHEC Business School
Dobrislav Dobrev, Federal Reserve Board
Yanqin Fan, University of Washington, Seattle
Catherine S. Forbes, Monash University
Ana-Maria Fuertes, Case School of Business
Patrick Gagliardini, University of Lugano
Raffaella Giacomini, University College London
Eric Ghysels, University of North Carolina, Chapel Hill
Sílvia Gonçalves, University of Montreal
Roxana Halbleib, University of Konstanz
Anthony Hall, University of Technology Sydney
Peter Hansen, University of North Carolina
Wolfgang Hardle, Humboldt University
Nikolaus Hautsch, University of Vienna
Stan Hurn, Queensland University of Technology
Ravi Jagannathan, Northwestern University
Christopher S. Jones, U of Southern California
Ilze Kalnina, University of Montreal
Raymond Kan, University of Toronto
Kamhon Kan, Academia Sinica
Bryan Kelly,University of Chicago
Lutz Kilian, University of Michigan
Robert Kimmel, National University of Singapore
Frank Kleibergen, vUniversity of Amsterdam
David Lando, Copenhagen Business School
Yingying Li, Hong Kong U of Science and Technology
Haitao Li, Cheung Kong Graduate School of Business
Jia Li, Duke University
Robin L. Lumsdaine, American University
Chenghu Ma, Fudan University
Loriano Mancini, EPFL
Nour Meddahi, Toulouse School of Economics
Andrew Patton, Duke University
Eric Renault, Brown University
Michael Rockinger, University of Lausanne
Mathieu Rosenbaum, U Pierre et Marie Curie (Paris VI)
Olivier Scaillet, GFRI
Julia Schaumburg, Vrije Universiteit Amsterdam
Paul Schneider, U of Lugano & Swiss Finance Institute
Enrique Sentana, CEMFI
George Tauchen, Duke University
Allan Timmermann, University of California, San Diego
Viktor Todorov, Northwestern University
Fabio Trojani, U of Lugano & Swiss Finance Institute
Bas J.M. Werker, Tilburg University
Jing Cynthia Wu, Chicago Booth
Jun Yu, Singapore Management University
Zhengjun Zhang, University of Wisconsin
Lan Zhang, University of Illinois at Chicago
Harold H. Zhang, University of Texas at Dallas
Hao Zhou, PBC School of Finance