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 Schools 2017

Check back for more details in Fall 2016.

Location: TBD

Start date: TBD
End date: TBD

The 2017 confirmed lecturers are:TBD

This year's topic is:TBD

Applications:TBD

Schedule:TBD

Fees:TBD

Local Organizing Committee:TBD

Sponsors:TBD

Announcement: TBD 

 

PREVIOUS SCHOOLS:

2016 Summer School
Dates: July 11, 2016 – July 15, 2016
Host: National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Christian Gourieroux (University of Toronto & CREST)
Professor Jean-Michel Zakoian (University of Lille & CREST)
Theme: "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.
Website: Click here

2015 Spring School
Dates: June 1, 2015 – June 5, 2015
Host: National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Patrick Gagliardini (University of Lugano & Swiss Finance Institute)
Professor Eric Renault (Brown University)
Themes:
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
Lecturers:
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
Lecturers:
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
Lecturers:
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