The Society for Financial Econometrics Seminar Series features monthly presentations of cutting-edge research by leading scholars in financial econometrics. Presentations are followed by discussion and audience participation. The SoFiE Seminar series is organized and moderated by Eric Ghysels, Ekaterina Smetanina and Dacheng Xiu.

SoFiE Seminar Series events are held as Zoom webinars and are open to all. If you would like to receive updates about these events, please email sofie@stern.nyu.edu and request to join our mailing list. Otherwise, please continue check this website for the most up-to-date list of our events. Recordings of past events will be featured on SoFiE's youtube channel.

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UPCOMING SOFIE SEMINARS:

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PAST SOFIE SEMINARS:

Host:	Ekaterina Smetanina (The University of Chicago Booth School of Business)
Presenter:	Federico Bandi (Johns Hopkins University)
Paper:	"Discontinuous trading in continuous-time econometrics"
Discussant:	Nikolaus Hautsch (University of Vienna)
Date:	December 5, 2022
Recording:	https://youtu.be/4jk4Q-wPt0I

Host:	Dacheng Xiu (The University of Chicago Booth School of Business)
Presenter:	Stefan Nagel (The University of Chicago Booth School of Business)
Paper:	"When do cross-sectional asset pricing factors span the stochastic discount factor?"
Discussant:	Stefano Giglio (Yale School of Management)
Date:	November 14, 2022
Recording:	https://youtu.be/v4BhoSYRZhs

Host:	Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter:	Sydney Ludvigson (New York University)
Paper:	Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
Discussant:	Frank Schorfheide (U Penn)
Date:	October 3, 2022
Recording:	https://youtu.be/XjlZEHz4d6k

Host:	Ekaterina Smetanina (The University of Chicago Booth School of Business)
Presenter:	Emi Nakamura (University of California, Berkeley)
Paper:	"Learning about the Long Run"
Discussant:	Richard Crump (Federal Reserve Bank of New York)
Date:	June 6, 2022
Recording:	https://youtu.be/0eAUfN6sf1g

Host:	Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter:	Marcelo Medeiros (Pontifical Catholic University of Rio de Janeiro (PUC-Rio) )
Paper:	"Bridging Factor and Sparse Models"
Discussant:	Michele Lenza (European Central Bank)
Date:	May 16, 2022
Recording:	https://youtu.be/pUZI_bnUv7U

Host:	Ekaterina Smetanina (The University of Chicago Booth School of Business)
Presenter:	Toby Moskowitz (Yale University)
Paper:	"Trading Costs"
Discussant:	Albert "Pete" Kyle (University of Maryland)
Date:	April 18, 2022
Recording:	https://youtu.be/1nxKLXepAJc

Host:	Dacheng Xiu (The University of Chicago Booth School of Business)
Presenter:	Jia Li (Singapore Management University)
Paper:	"Reading the Candlesticks: An OK Estimator for Volatility"
Discussant:	Francis X. Diebold (University of Pennsylvania)
Date:	February 21, 2022
Recording:	https://youtu.be/eFYttcSZGuI

Host:	Ekaterina Smetanina (The University of Chicago Booth School of Business)
Graduate Student Presenter #1:	Gleb Gertsman
Paper #1:	Selective Learning and Price Over- and Under-reaction
Graduate Student Presenter #2:	Kristy A.E. Jansen
Paper #2:	Long-term Investors, Demand Shifts, and Yields
Graduate Student Presenter #3:	Chukwuma Dim
Paper #3:	Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs
Graduate Student Presenter #4:	Hao Ma
Paper #4:	Conditional Latent Factor Models Via Econometrics-Based Neural Networks
Date:	December 20, 2021
Recording:	https://youtu.be/JNycQb4s-ec

Host:	Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter:	Paolo Zaffaroni (Imperial College London)
Paper:	"Factor Models for Conditional Asset Pricing"
Discussant:	Patrick Gagliardini (USI, Lugano)
Date:	November 15 2021
Recording:	https://www.youtube.com/watch?v=U0yjc66JEBQ

Host:	Dacheng Xiu (Chicago Booth, The University of Chicago)
Presenter:	Jianqing Fan (Princeton University)
Paper:	"How and When are High-Frequency Prices Predictable?"
Discussant:	Torben Andersen (Kellogg School of Management Northwestern University)
Date:	October 18 2021
Recording:	https://youtu.be/thrGjWjetX0

Host:	Eric Ghysels (The University of North Carolina at Chapel Hill)
Presenter:	Andrew Patton (Duke University)
Paper:	"Better the Devil You Know: Improved Forecasts from Imperfect Models"
Discussant:	Allan Timmermann (UCSD Rady School of Business)
Date:	September 13 2021
Recording:	https://www.youtube.com/watch?v=xN6RbSdFIHQ

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PAST SOFIE SEMINARS (Organized and Hosted by Andrew Patton, Scientific Committee members: Yingying Li and Nour Meddahi):

Presenter:	Oliver Linton (University of Cambridge)
Paper:	"A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection"
Discussant:	Andreas Neuhierl (Washington University in St Louis)
Date:	June 7 2021
Recording:	https://www.youtube.com/watch?v=Psl_s4DTnLA

Presenter:	Fousseni Chabi-Yo (University of Massachusetts Amherst)
Paper:	"Multivariate Crash Risk"
Discussant:	Lai Xu (Syracuse University)
Date:	May 17 2021
Recording:	https://www.youtube.com/watch?v=mFL0Cmioq9Y

Presenter:	Serena Ng (Columbia University)
Paper:	Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions"
Discussant:	Markus Pelger (Stanford University)
Date:	May 3 2021
Recording:	https://www.youtube.com/watch?v=_VMe38sIbds

Presenter:	Christian Gourieroux (University of Toronto / ENSAE)
Paper:	"Inference for Noisy Long Run Component Processes"
Discussant:	Anders Rahbek (University of Copenhagen)
Date:	April 19 2021
Recording:	https://www.youtube.com/watch?v=Jb_uV6vmfFA

Presenter:	Rogier Quaedvlieg (Erasmus University Rotterdam)
Paper:	"Conditional Superior Predictive Ability"
Discussant:	Peter Reinhard Hansen (UNC Chapel Hill)
Date:	April 5 2021
Recording:	https://www.youtube.com/watch?v=2xLsm6CZ_2Q

Presenter:	Eric Ghysels (UNC Chapel Hill)
Paper:	"Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios"
Discussant:	Max Farrell (University of Chicago)
Date:	March 22 2021
Recording:	https://www.youtube.com/watch?v=m9VIs_hwuVo

Presenter:	Seth Pruitt (Arizona State University)
Paper:	"Modeling Corporate Bond Returns"
Discussant:	Jennie Bai (Georgetown University)
Date:	March 8 2021
Recording:	https://www.youtube.com/watch?v=ig5SXdkhf2c

Presenter:	Caio Almeida (Princeton University)
Paper:	"Pricing of Index Options in Incomplete Markets"
Discussant:	Torben Andersen (Northwestern University)
Date:	February 22 2021
Recording:	https://www.youtube.com/watch?v=zNcrvxtOQmQ

Presenter:	Claudia Moise (Duke University)
Paper:	"High-Frequency Arbitrage and Market Illiquidity"
Discussant:	Joel Hasbrouck (NYU Stern)
Date:	February 8 2021
Recording:	https://www.youtube.com/watch?v=_YDnXyELZFk

Presenter:	Nicola Fusari (Johns Hopkins University)
Paper:	"Structural Stochastic Volatility"
Discussant:	Elise Gourier (ESSEC Business School)
Date:	January 25 2021
Recording:	https://www.youtube.com/watch?v=X7_jUhm_oSw

Presenter:	René Garcia (Université de Montréal)
Paper:	"Intermediary Leverage Shocks and Funding Conditions"
Discussant:	Tyler Muir (UCLA)
Date:	January 11 2021
Recording:	https://www.youtube.com/watch?v=ZAXuNacHiiw

Presenter:	Rossen Valkanov (UC San Diego)
Paper:	“From Macroeconomic Shocks to Credit Spreads"
Discussant:	Egon Zakrajsek (Federal Reserve Board/BIS)
Date:	November 30 2020
Recording:	https://www.youtube.com/watch?v=FJYjPNyKyRk

Presenter:	Dacheng Xiu (University of Chicago)
Paper:	“Inference on Risk Premia in Continuous-Time Asset Pricing Models"
Discussant:	George Tauchen (Duke University)
Date:	November 16 2020
Recording:	https://www.youtube.com/watch?v=1h9sMNag1GA

Presenter:	Lars Peter Hansen (University of Chicago)
Paper:	“Robust Identification of Investor Beliefs”
Discussant:	Nour Meddahi (Toulouse School of Economics)
Date:	November 2 2020
Recording:	https://www.youtube.com/watch?v=QOzk7Tqt5Y4

Presenter:	Patrick Gagliardini (Università della Svizzera italiana)
Paper:	“Extracting Statistical Factors When Betas Are Time-Varying”
Discussant:	Seth Pruitt (Arizona State University)
Date:	October 19 2020
Recording:	https://www.youtube.com/watch?v=KGH-gIpJpHw

Presenter:	Merrick Li (Cambridge)
Paper:	“A ReMeDI for Microstructure Noise”
Date:	October 5 2020
Recording:	https://www.youtube.com/watch?v=knZXvuYguNI

Presenter:	Hyeyoon Jung (NYU)
Paper:	“The Real Consequences of Macroprudential Regulations: Evidence from an Emerging Market”
Date:	October 5 2020
Recording:	https://www.youtube.com/watch?v=k2d0zeu2a5U

Presenter:	Philippe Goulet Coulombe (Penn)
Paper:	“The Macroeconomy as a Random Forest”
Date:	October 5 2020
Recording:	https://www.youtube.com/watch?v=vkoL7v-SP8Q

Presenter:	Gianluca De Nard (Zurich)
Paper:	“Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data”
Date:	October 5 2020
Recording:	https://www.youtube.com/watch?v=tjE2uJxaYy0

Presenter:	Natalia Bailey (Monash University)
Paper:	“Measurement of Factor Strength: Theory and Practice”
Discussant:	Simon Freyaldenhoven (Federal Reserve Bank of Philadelphia)
Date:	September 21 2020
Recording:	https://www.youtube.com/watch?v=2oUCihOu0zI&feature=youtu.be

Presenter:	Gustavo Schwenkler (Santa Clara University)
Paper:	“Competition or Contagion? Evidence from Cryptocurrency Peers”
Discussant:	Daniele Bianchi (Queen Mary University of London)
Date:	September 7 2020
Recording:	https://www.youtube.com/watch?v=j67xUxt0MZc

Presenter:	Xavier Gabaix (Harvard University) and Ralph Koijen (Chicago Booth)
Paper:	“Granular Instrumental Variables”
Discussant:	Lutz Kilian (Federal Reserve Bank of Dallas)
Date:	August 24 2020
Recording:	https://www.youtube.com/watch?v=xuf99NvvyKM

Presenters:	Francis X. Diebold (University of Pennsylvania), Robert F. Engle (NYU Stern), Ravi Jagannathan (Northwestern University), Eric Renault (University of Warwick)
Paper:	Panel Discussion with SoFiE Past Presidents on “Financial Econometrics and the Pandemic”
Date:	August 10 2020
Recording:	https://www.youtube.com/watch?v=uNRCIb2Gkq8

Presenter:	Yingying Li (Hong Kong University of Science and Technology)
Paper:	“Estimating Large Efficient Portfolios with Heteroscedastic Returns”
Discussant:	Michael Wolf (University of Zurich)
Date:	July 27 2020
Recording:	https://www.youtube.com/watch?v=pMP7MPMWpFc

Presenter:	Robert F. Engle (NYU Stern)
Paper:	“Measuring and Hedging Geopolitical Risk”
Discussant:	Oliver Linton (University of Cambridge)
Date:	July 13 2020
Recording:	https://www.youtube.com/watch?v=dLTwGcL6oC0

Presenter:	Neil Shephard (Harvard University)
Paper:	“Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function”
Slides:	Link to slides.
Discussant:	Jean-Pierre Florens (Toulouse School of Economics)
Date:	June 29 2020
Recording:	https://www.youtube.com/watch?v=K-D-I834IbA

Presenter:	Svetlana Bryzgalova (London Business School)
Paper:	“Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models”
Discussant:	Raymond Kan (University of Toronto)
Date:	June 15 2020
Recording:	https://www.youtube.com/watch?v=fGgl9cHuE7A

Presenter:	Viktor Todorov (Northwestern University)
Paper:	“Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk and Expected Returns”
Discussant:	Walter Distaso (Imperial College London)
Date:	June 1 2020
Recording:	https://www.youtube.com/watch?v=fCog4qp2gl4

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SOFIE SEMINAR SUBMISSIONS
The SoFiE Seminar Series welcomes the submission of papers on any aspect of financial econometrics for possible inclusion in the series. Submissions will be reviewed by the Series’ scientific committee and will be considered on a rolling basis; there is no deadline for submissions.

- To submit a paper, email a PDF version of the paper to Sofie.Seminar.Submissions@gmail.com.

- Complete papers are preferred to incomplete papers or summaries.

- Submissions do not need to be blinded.

- Papers should not already be accepted for publication when submitted, though they can have been presented in other seminar series or conferences/workshops.

- Due to resource constraints, it is impossible to respond to everyone who submits a paper; you will be contacted only if your paper is selected for inclusion in the series.

- Submissions from junior authors and members of groups that are under-represented in the field are particularly encouraged.

- Seminars are held every other Monday at 11am New York time.