SoFiE Seminar Series

The Society for Financial Econometrics Seminar Series features bi-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 Andrew Patton from Duke University.

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.




UPCOMING SOFIE SEMINARS:
Title: SoFiE PhD job candidates seminar (4 talks, 20 minutes each)
Presenters: Gianluca De Nard (Zurich), Philippe Goulet Coulombe (Penn), Hyeyoon Jung (NYU), Merrick Li (Cambridge)
Paper 1: “Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data”
Paper 2: “The Macroeconomy as a Random Forest”
Paper 3: “The Real Consequences of Macroprudential Regulations: Evidence from an Emerging Market”
Paper 4: “A ReMeDI for Microstructure Noise”
Date: October 5 2020
Time: 11am New York / 8am San Diego / 4pm London / 5pm Paris / 11pm Beijing
Access: A Zoom Link will be made available shortly prior to the presentation
Recording: A link to a video recording will be available here soon after the event.
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
Time: 11am New York / 8am San Diego / 4pm London / 5pm Paris / 11pm Beijing
Access: A Zoom Link will be made available shortly prior to the presentation
Recording: A link to a video recording will be available here soon after the event.
Presenter: Lars Peter Hansen (University of Chicago)
Paper: “Robust Identification of Investor Beliefs”
Discussant: Nour Meddahi (Toulouse School of Economics)
Date: November 2 2020
Time: 11am New York / 8am San Diego / 4pm London / 5pm Paris / 11pm Beijing
Access: A Zoom Link will be made available shortly prior to the presentation
Recording: A link to a video recording will be available here soon after the event.




PAST SOFIE SEMINARS:
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




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.




SOFIE SEMINAR SCIENTIFIC COMMITTEE:
Yingying Li(Hong Kong University of Science and Technology)
Nour Meddahi(Toulouse School of Economics)
Andrew Patton(Duke University)