QRFE Seminar Series

Speaker: Dr Matteo Barigozzi from London School of Economics

A QRFE workshop on Big Data Analysis with some applications in Finance and Macroeconomics.

Title: Interdisciplinary Investigations

Speakers

• Vernon L. Smith, winner of the Nobel Prize 2002 and author of “Humanomics”
• Peter Bossaerts, pioneer in Neuroeconomics and the Economics of Complexity

Title: FX Returns Around the Clock

QRFE Seminar series: Lunch served at 12:30 in the Business School lounge.

Title: Fixed-effect regressions on Network data

QRFE seminar series: Lunch served in MHL 418 at 12:30

Our speaker is Dr Koen Jockmans from University of Cambridge.

Lunch: 12:30pm in room 418.

Title: Identification and Estimation of a Search Model: A Procurement Auction Approach

Lunch 12:30pm in MHL 418

Guest speaker Dr Christian Brownlees from Universitat Pompeu Fabra will present: Community Detection in Partial Correlation Network Models

Lunch: MHL 418: 12.30pm

Dr. Mingli Chen will present: Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk

Lunch is 12:30 in MHL 418

Dr. Adam Golinski from York University will present:

Title: Estimating the shadow term structure model by factor rotation

Lunch is at 12:30pm in MHL 418

Nuclear Norm Regularized Estimation of Panel Regression Model

Dr. Martin Weidner, from the University College London, will be present: Nuclear Norm Regularized Estimation of Panel Regression Model

Lunch: 12:30PM inMHL 418.

Prof. Takashi Yamagata, from York University, is the guest speaker. To find out more information on Prof. Takashi Yamagata, click here.

Lunch: 12:30PM inMHL 418.

For the first QRFE seminar of the year, We have Ilaria Piatti, from Oxford Business School, Associate Professor of Finance, talking about Rationality and Subjective Bond Risk Premia.

For further information on Ilaria Piatti here.

Professor Cochrane will talk about recent developments in the fiscal theory of the price level, with a focus on how the theory describes monetary policy.

A Quantitative Research in Financial Economics Seminar.

A Quantitative Research in Financial Economics Seminar.

The complex tail dependency structure in a dynamic network with a large number of nodes is an important object to study. Here we propose a network quantile autoregression model (NQAR), which characterizes the dynamic quantile behavior.

While a large literature on return predictability has shown a link between valuation levels and expected rates of returns, we document a robust link between valuation levels and the shape of the distribution of cumulative (up to 24 months) total returns.

One of the main objectives of empirical analysis of experiments and quasi-experiments is to inform policy decisions that determine the allocation of treatments to individuals with different observable covariates.

Recessions are often accompanied by spikes of corporate default and prolonged declines of business credit.

Empirical evidence suggests that investor protection affects asset prices. We develop a dynamic asset pricing model to shed light on the empirical regularities and underlying mechanisms at play.

DeMiguel, Garlappi, and Uppal (2009) document the dominance of the naive 1=N rule over various optimal portfolio rules in the presence of estimation risk and question the value of portfolio optimization.

Speakers: Dacheng Xiu (University of Chicago); Howard Kung (London Business School); Xiaojun Song (Peking University).

A QRFE research seminar.

A QRFE research seminar.

We extract novel measures of ECB target rate announcement and communications shocks using high frequency data on money market rates and study their impact on yields of Eurozone countries.

We identify a global risk factor that drives the cross-section of volatility excess returns in the foreign exchange market.

Speakers include leading academics from the universities of Harvard, Yale, Cambridge and California.

This talk is based on two papers. In the first paper ("Inference on distribution under measurement error”) we develop inference methods for density and distribution functions of data under measurement errors.

A QRFE research seminar.

Speakers include: Yacine Ait-Sahalia from Princeton and Viktor Todorov from Kellogg School of Management.

Abstract: We propose a method to explore the causal transmission of a catalyst variable through two endogenous variables of interest. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables given the catalyst.

An Asset Pricing workshop hosted by the QRFE research cluster.

Econometric analysis is a well established tool in almost all aspects of economics and finance. Econometrics serves as a bridge between theoretical models and statistical analysis of recorded data.

Jesús Gonzalo will look at new approaches to forecasting whereby the distribution of futureoutcomes exhibits trend-like behaviour.

A QRFE research seminar.

A QRFE research seminar.

A QRFE research seminar.

This paper studies the impact higher public disclosure in the shorting market has on informational efficiency.

We examine how the familiar spurious regression problem can manifest itself in the context of recently proposed predictability tests.

We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. 

A QRFE research seminar.

This paper studies empirically the relation between macro uncertainty shocks and the cross-section of currency excess returns. 

This paper examines Wald-type tests in the presence of a possibly singular asymptotic covariance matrix.

The bootstrap is typically much less reliable in the context of time-series models with serial correlation of unknown form than it is when regularity conditions for the conventional IID bootstrap, based on resampling, apply.

This paper introduces a model with regime switching, which is driven by an autoregressive latent factor correlated with the innovation to the observed time series. 

The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first order local identification).

Models with multiple discrete breaks in parameters are usually estimated via least squares.

Cross-validation is the most common data-driven procedure for choosing the bandwidth sequence in nonparametric regression.

We present a dynamic agency model of investment, borrowing and payout decisions by a mature corporation operating in perfect financial markets. Risk-averse managers implement an inter-temporal strategy that maximizes their lifetime utility of managerial rents.