SoFiE Lectures
The Society for Financial Econometrics Lecture Series features bi-annual SoFiE-invited lectures by leading scholars in financial econometrics.
The Society for Financial Econometrics is pleased to announce the creation of a new Invited Lecture Series. The series was inaugurated at a conference in Montreal on May 10, 2024. The first two lectures were delivered by Robert Engle and Lars Peter Hansen. At most two lectures will be scheduled on an annual basis. The lectures will be recorded and posted on the SoFiE website, and members of the Society will be able to follow them via live streaming. The prestigious series will feature leading scholars in the field of financial econometrics.
The Society has earmarked a budget to cover the costs involved with the lectures. Organizers of financial econometrics themed conferences can submit proposals for future events under the condition that SoFiE is listed as a co-sponsor for the lectures and approves the speakers.
Upcoming SoFiE Lectures
Past SoFiE Lectures
Past SoFiE Seminars
The Society for Financial Econometrics Seminar Series was a Zoom Webinar series featuring monthly presentations of cutting-edge research by leading scholars in financial econometrics. Presentations were followed by discussion and audience participation. The SoFiE Seminar series was organized and moderated by Eric Ghysels, Ekaterina Smetanina and Dacheng Xiu. You may view past SoFiE Seminars on SoFiE's YouTube channel.
| Host: | Ekaterina Smetanina (The University of Chicago Booth School of Business) |
| Title: | A Bayesian Approach for Inference on Probabilistic Surveys |
| Speakers: | Marco Del Negro (Federal Reserve Bank of New York) Roberto Casarin (Ca’ Foscari University of Venice) Federico Bassetti (Polytechnic University of Milan) |
| Discussants: | Philippe Andrade (Federal Reserve Bank of Boston) |
| Title: | The Market for Inflation Risk |
| Speakers: | Saleem Bahaj (UCL Economics) Robert Czech (Bank of England) Sitong Ding (London School of Economics & Political Science (LSE)) Ricardo Reis (London School of Economics & Political Science (LSE); National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)) |
| Discussants: | Erik Loualiche (University of Minnesota) |
| Date: | October 16, 2023 |
| Recording: | https://youtu.be/5rQqhkLd34I |
| Host: | Ekaterina Smetanina (The University of Chicago Booth School of Business) |
| Speakers: | Francis X. Diebold (University of Pennsylvania) Lars Peter Hansen (University of Chicago) |
| Discussants: | Eric Hillebrand (Aarhus University) Eric Renault (University of Warwick) |
| Theme: | Climate Risk |
| Date: | April 17, 2023 |
| Recording: | https://youtu.be/E1ZC1M0GwyY |
| 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 |
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: | 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 |