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 Eric Ghysels, Bryan Kelly, 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 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.


Details coming in August 2021 – please check back then!

PAST SOFIE SEMINARS (Organized and Hosted by Andrew Patton):
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
Presenter: Fousseni Chabi-Yo (University of Massachusetts Amherst)
Paper: "Multivariate Crash Risk"
Discussant: Lai Xu (Syracuse University)
Date: May 17 2021
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
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
Presenter: Rogier Quaedvlieg (Erasmus University Rotterdam)
Paper: "Conditional Superior Predictive Ability"
Discussant: Peter Reinhard Hansen (UNC Chapel Hill)
Date: April 5 2021
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
Presenter: Seth Pruitt (Arizona State University)
Paper: "Modeling Corporate Bond Returns"
Discussant: Jennie Bai (Georgetown University)
Date: March 8 2021
Presenter: Caio Almeida (Princeton University)
Paper: "Pricing of Index Options in Incomplete Markets"
Discussant: Torben Andersen (Northwestern University)
Date: February 22 2021
Presenter: Claudia Moise (Duke University)
Paper: "High-Frequency Arbitrage and Market Illiquidity"
Discussant: Joel Hasbrouck (NYU Stern)
Date: February 8 2021
Presenter: Nicola Fusari (Johns Hopkins University)
Paper: "Structural Stochastic Volatility"
Discussant: Elise Gourier (ESSEC Business School)
Date: January 25 2021
Presenter: René Garcia (Université de Montréal)
Paper: "Intermediary Leverage Shocks and Funding Conditions"
Discussant: Tyler Muir (UCLA)
Date: January 11 2021
Presenter: Rossen Valkanov (UC San Diego)
Paper: “From Macroeconomic Shocks to Credit Spreads"
Discussant: Egon Zakrajsek (Federal Reserve Board/BIS)
Date: November 30 2020
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
Presenter: Lars Peter Hansen (University of Chicago)
Paper: “Robust Identification of Investor Beliefs”
Discussant: Nour Meddahi (Toulouse School of Economics)
Date: November 2 2020
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
Presenter: Merrick Li (Cambridge)
Paper: “A ReMeDI for Microstructure Noise”
Date: October 5 2020
Presenter: Hyeyoon Jung (NYU)
Paper: “The Real Consequences of Macroprudential Regulations: Evidence from an Emerging Market”
Date: October 5 2020
Presenter: Philippe Goulet Coulombe (Penn)
Paper: “The Macroeconomy as a Random Forest”
Date: October 5 2020
Presenter: Gianluca De Nard (Zurich)
Paper: “Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data”
Date: October 5 2020
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
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
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
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
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
Presenter: Robert F. Engle (NYU Stern)
Paper: “Measuring and Hedging Geopolitical Risk”
Discussant: Oliver Linton (University of Cambridge)
Date: July 13 2020
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
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
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

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

- 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.