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Virtual event: QRFE Workshop on Financial Econometrics

Monday, 14 June 2021
16:25 to 19:00
Various speakers
Virtual event

Seminar organised by Quantitative Research in Financial Economics (QRFE).

Event Details

June 14, 2021

16:25 - 16:30 : Opening remarks

16:30 - 17:15 : On Measurement Errors and Inference for Option-Based Volatility Indices (Torben Andersen (Kellogg School of Management))

17:15 - 17:20 : Break

17:20 - 18:05 : Test Assets and Weak Factors (Dacheng Xiu (Booth School of Business, University of Chicago))

18:05 - 18:10 : Break

18:10 - 18:55 : Bootstrap Inference for Hawkes and General Point Processes (Giuseppe Cavaliere (University of Bologna and University of Exeter Business School))

18:55 - 19:00 : Closing remarks

Event continues on June 15

Click here to register

List of Speakers

Torben Andersen: Nathan S. and Mary P. Sharp Professor of Finance at Kellogg School of Management (Northwestern University) and Editor of Journal of Econometrics

Christiane Baumeister: Robert and Irene Bozzone College Professor of Economics, University of Notre Dame

Giuseppe Cavaliere: Professor of Econometrics at the University of Bologna, Distinguished Research Professor of Economics, University of Exeter Business School, and Co-Editor of Econometric Theory and STAT

Domenico Giannone: Senior Principal Economist at

Jesus Gonzalo: Professor of Econometrics, University Carlos III de Madrid

Dacheng Xiu: Professor of Econometrics and Statistics, Booth School of Business, University of Chicago, Co-Editor of Journal of Financial Econometrics