SoFiE Schools

SoFiE Financial Econometrics Summer School 2023 at Northwestern University's Kellogg Global Hub
Dates: July 22-26 2024
Host: Northwestern University, Kellogg Global Hub
Location: the Kellogg School of Management, Northwestern University
Lecturers:
Professor Torben Andersen (Northwestern University)
Professor Viktor Todorov (Northwestern University)
Title: The Econometrics of Derivatives Markets
Program: Details

SoFiE Financial Econometrics Summer School 2023 at Volatility Institute NYU Shanghai
Dates: August 19-23 2024
Host: Volatility Institute NYU Shanghai
Location: NYU Shanghai Qiantan Campus, Shanghai, China
Lecturers:
Professor Bryan Kelly (Yale University)
Professor Dacheng Xiu (University of Chicago Booth School of Business)
Professor Semyon Malamud (Ecole Polytechnique Fédérale de Lausanne)
Title: Financial Machine Learning
Program: Details

SoFiE Financial Econometrics Summer School 2024 at Brussels
Dates: September 9 to September 13, 2024
Host: the National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Domenico Giannone (University of Washington) 
Francesco Furno (Amazon)
Title: Monitoring and Forecasting Macroeconomic
and Financial Risk
Program: Details 
Website: Details 

SoFiE Financial Econometrics Summer School 2023 at Brussels

Dates: June 20 to June 23, 2023
Host: the National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Michael D. Bauer (Universität Hamburg)
Professor Glenn Rudebusch (Brookings Institution)
Title: Monetary policy and the yield curve
Program: Details

SoFiE Financial Econometrics Summer School 2023 at NYU Shanghai
Dates: July 10-14 2023
Host: Volatility Institute, NYU Shanghai
Location: Shanghai, China (REMOTE, via ZOOM)
Lecturers:
Professor Stefano Giglio (Yale University)
Professor Johannes Stroebel (NYU Stern School of Business)
Title: Climate Finance
Program: Details

SoFiE Financial Econometrics Summer School 2022 at Brussels
Dates: June 20-23, 2022
Host: Université catholique de Louvain
Location: Brussels, Belgium
Lecturers:
Olivier Scaillet (University of Geneva and SFI)
Fabio Trojani (University of Geneva and SFI)
Title: Methods for Empirical Asset Pricing with Large Data Sets
Program: Details

SoFiE Financial Econometrics Summer School 2022 at NYU Shanghai
Dates: August 22-26, 2022
Host: Volatility Institute, NYU Shanghai
Location: Shanghai, China
Lecturers:
Professor Kewei Hou (The Ohio State University)
Professor Yan Liu (Purdue University)
Title: Anomalies and Factor Models
Program: Details

SoFiE Financial Econometrics Summer School 2021 at Kellogg
Dates: July 19-23, 2021
Host: Kellogg School of Management
Location: Northwestern University
Lecturers:
Torben G. Andersen (Northwestern University)
Viktor Todorov (Northwestern University)
Title: “The Econometrics of Derivatives Markets”
Program: Details

SoFiE Financial Econometrics Summer School 2021 at NYU Shanghai
Dates: August 2-6, 2021
Host: NYU Shanghai
Location: Shanghai, China
Lecturers:
Jianqing Fan (Princeton University)
Dacheng Xiu (The University of Chicago Booth School of Business)
Title: “Machine Learning in Finance”
Program: Details

SoFiE Financial Econometrics Summer School 2020 at NYU Shanghai
Dates: August 24 - 28, 2020
Host: New York University Shanghai
Location: Shanghai, China
Lecturers:
Andrii Babii (University of North Carolina at Chapel Hill)
Eric Ghysels (University of North Carolina at Chapel Hill)
Title: The Econometrics of Mixed Frequency (Big) Data
Website: SoFiE Financial Econometrics Summer School 2020 at NYU Shanghai

SoFiE Financial Econometrics Summer School 2020 at the University of Chicago
Dates: July 20 - July 24, 2020
Host: The Stevanovich Center, University of Chicago
Location: Chicago, Illinois
Lecturers:
Andrii Babii (University of North Carolina at Chapel Hill)
Eric Ghysels (University of North Carolina at Chapel Hill)
Title: The Econometrics of Mixed Frequency (Big) Data
Website: Details

SoFiE Financial Econometrics Summer School 2019 at Brussels
Dates: September 16 - 20, 2019
Host: Université catholique de Louvain
Location: Brussels, Belgium
Lecturers:
Alain Monfort (CREST)
Jean-Paul Renne (HEC Lausanne)
Title: Dynamic Pricing with Discrete Time Affine Processes
Program: SoFiE Financial Econometrics Summer School 2019 at Brussels

SoFiE Financial Econometrics Summer School 2019 at NYU Shanghai
Dates: August 12 - 16, 2019
Host: New York University Shanghai
Location: Shanghai, China
Lecturers:
Torben G. Andersen (Kellogg School, Northwestern University)
Viktor Todorov (Kellogg School, Northwestern University)
Title: The Econometrics of Derivatives Markets
Website: SoFiE Financial Econometrics Summer School 2019 at NYU Shanghai

SoFiE Financial Econometrics Summer School 2019 at Kellogg
Dates: July 15 - 19, 2019
Host: Kellogg School of Management, Northwestern University
Location: Evanston, IL
Lecturers:
Torben G. Andersen (Kellogg School, Northwestern University)
Gurdip Bakshi (Fox School of Business, Temple University)
Riccardo Colacito (UNC Kenan-Flagler Business School)
Pasquale Della Corte (Imperial College Business School)
Viktor Todorov (Kellogg School, Northwestern University)
Title: The Econometrics and Asset Pricing of Foreign Exchange Markets
Website: SoFiE Financial Econometrics Summer School 2019 at the Kellogg School of Management, Northwestern University

SoFiE Financial Econometrics Summer School 2018 at NYU Shanghai
Dates: August 13 - 17, 2018
Host: New York University Shanghai
Location: Shanghai, China
Lecturers:
Yacine Ait-Sahalia (Bendheim Center for Finance, Princeton University)
Per Mykland (University of Chicago)
Title: Introduction to High Frequency Financial Econometrics and Statistics
Website: SoFiE Financial Econometrics Summer School 2018 at NYU Shanghai

SoFiE Financial Econometrics Summer School 2018 at the University of Chicago,
Stevanovich Center
Dates: July 23 - July 27, 2018
Host: The University of Chicago, Stevanovich Center
Location: Chicago, IL
Lecturers:
Bryan T. Kelly (Booth School of Business at the University of Chicago)
Dacheng Xiu (Booth School of Business at the University of Chicago)
Title: Machine Learning and Finance: The New Empirical Asset Pricing
Website: SoFiE Financial Econometrics Summer School 2017 at the University of Chicago, Stevanovich Center

SoFiE Financial Econometrics Summer School 2018 at Brussels
Dates: June 4 - June 8, 2018
Host: Université catholique de Louvain
Location: Brussels, Belgium
Lecturers:
Giorgio Primiceri (Northwestern University)
Domenico Giannone (NY Fed)
Title: Big Data in Finance and Economics
Website: SoFiE Financial Econometrics Summer School 2018 at Brussels

SoFiE Financial Econometrics Summer School 2017 at Kellogg
Dates: July 24, 2017 – July 28, 2017
Host: Kellogg School of Management, Northwestern University
Location: Evanston, IL
Lecturers:
Professor Torben G. Andersen (Kellogg School, Northwestern University)
Professor Viktor Todorov (Kellogg School, Northwestern University)
Title: The Econometrics of Derivatives Markets
Website: SoFiE Financial Econometrics Summer School 2017 at Kellogg

Brussels SoFiE Summer School 2017
Dates: June 26, 2017 – June 30, 2017
Host: National Bank of Belgium
Location: Brussels, Belgium
Lecturers:
Professor Anh Le, Penn State University
Professor Kenneth Singleton, Stanford University
Title: Modelling the Term Structure of Interest Rates
Website: SoFiE Summer School Brussels

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.
Program: 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