SoFiE Financial Econometrics Schools

The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015, a Spring School was also organized in Brussels. In 2016, Brussels will now host the Summer School instead.

The editorial board for these annual series is made up of Professors Luc Bauwens (Catholic University of Louvain), Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE and Editor of JFEC), Eric Renault (Brown University and SoFiE President), and Neil Shephard (Harvard University).

UPCOMING: SoFiE Financial Econometrics Summer School 2016

Location: Brussels, National Bank of Belgium
Room A, Rue Montagne aux Herbes Potagères/Warmoesberg 61, 1000 Brussels

Start date: Monday, July 11, 2016

End date: Friday, July 15, 2016

The 2016 confirmed lecturers are:

Professor Christian Gourieroux (University of Toronto & CREST)

Professor Jean-Michel Zakoian (University of Lille & CREST)

This year's topic is: "Noncausal Autoregressive Process and the Modelling of Speculative Bubbles"
A recent statistical and econometric literature highlights the importance of mixed causal/noncausal ARMA processes for the modeling of macroeconomic and financial time series. Indeed the nonlinear causal dynamic of such processes can capture unit roots, asymmetric cycles, and bubbles features.

The objective of the lectures is to present the notions and concepts of the literature on noncausal processes and to explain how they can be used for the modeling and analysis of speculative bubbles. The focus will be both on the modelling and statistical aspects.

A detailed outline of the lectures can be found in the announcement flyer linked below.

Applications should be sent to (including the words `SoFiE Summer School 2016’ in the subject line). The applications should include a full CV and motivation letter of half a page explaining why attending this course would be helpful to the applicant’s research work.
The application deadline has been extended to 23 April 2016.

Applicants are strongly encouraged to present some of their thesis work during the afternoon sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. Priority in admission to the school will be given firstly to applicants who submit an acceptable paper, secondly to those who submit an acceptable abstract, thirdly to other. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.

There will be three hours of lectures a day, starting at 14:00 on Monday after registration and finishing at 12:00 Friday. There will also be afternoon (Tuesday-Wednesday-Thursday) sessions for presentations by participants of their own work (see details below).

200 euros for Ph. D. students and faculty members attending this course.
500 euros for Ph.D. level colleagues from industry.

Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).

All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See on how to join the society (*a student membership option is available).

People attending will be required to pay their own travel and accommodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at the National Bank of Belgium, lunch, coffee and tea will be provided free of charge. A free social event based on beer tasting will be organized on one day of the teaching week, where students and faculty can meet informally. Evening meals will not be organized and will be at the expense of the participants.

Local Organizing Committee:
Luc Bauwens (UCL), Kris Boudt (VUB), Christophe Croux (KU Leuven), Geert Dhaene (KU Leuven), Leonardo Iania (UCL), David Veredas (Vlerick Business School), Raf Wouters (NBB)

Center for Operations Research and Econometrics (CORE), FINS@VUB, Fondation Louvain
KU Leuven, Louvain School of Management Research Institute (ILSM), National Bank of Belgium, TreeTop AM

Announcement: Click here 

*No separate Spring School planned for 2016 at this time.


2015 Spring School
Dates: June 1, 2015 – June 5, 2015
Host: National Bank of Belgium
Location: Brussels, Belgium
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
1. The role of stochastic volatility in option pricing. Options prices as expectations of a Black-Scholes price. The volatility smile and the VIX.
2. Non-linear State-Space models. Exponential affine models.
3. Extensions of the Generalized Method of Moments (GMM): Indirect Inference, Implied-States GMM, GMM with a continuum of moments, XMM.
4. Nonparametric methods to fit the implied volatility surface. Implied binomial trees and maximum entropy.
Website: Click here

2014 Summer School
Dates: July 28, 2014 – August 1, 2014
Host: Department of Statistics at Harvard University
Location: Cambridge, MA USA
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
Topic: "The Econometrics of Option Pricing"
Website: Click here

2013 Summer School
Dates: July 29, 2013 to August 2, 2013
Host: Oxford-Man Institute of Quantitative Finance at the University of Oxford
Location: Oxford, UK
Professor Andrew Patton (Duke)
Professor Allan Timmermann (UCSD)
Topic: "Financial Forecasting"
Website: Click here

2012 Summer School
Dates: July 30, 2012 to August 3, 2012
Host: Oxford-Man Institute of Quantitative Finance at the University of Oxford
Location: Oxford, UK
Professor Francis X. Diebold (University of Pennsylvania)
Professor Peter Christoffersen (University of Toronto)
Topic: "New Directions in the Financial Econometrics of Volatility, Correlation, and Option Price Dynamics"
Website: Click here