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QRFE Seminar Series

Forthcoming Events

24 Oct 2019

Quasi Maximum Likelihood Estimation and...

Speaker: Dr Matteo Barigozzi from London School of Economics



Previous Events

28 Jun 2019

Quantitative Research in Financial Economics...

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

06 Jun 2019

Second Workshop on Algorithmic Trading...

Title: Interdisciplinary Investigations

05 Jun 2019

The Human Factor in Economics: From Adam Smith...

Speakers

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

14 Mar 2019

QRFE Seminar - Professor Philippe Mueller,...

Title: FX Returns Around the Clock

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

28 Feb 2019

QRFE Seminar - Dr Koen Jochmans from Cambridge...

Title: Fixed-effect regressions on Network data

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

28 Feb 2019

Fixed-effect regressions on Network data: Dr...

Our speaker is Dr Koen Jockmans from University of Cambridge.

Lunch: 12:30pm in room 418.

14 Feb 2019

QRFE Seminar - Dr Sorawoot Srisuma from the...

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

Lunch 12:30pm in MHL 418

17 Jan 2019

QRFE Seminar - Dr Christian Brownlees

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

Lunch: MHL 418: 12.30pm

06 Dec 2018

QRFE Seminar - Dr Mingli Chen University of...

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

Lunch is 12:30 in MHL 418

22 Nov 2018

QRFE Seminar - Dr Adam Golinski from York...

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

08 Nov 2018

QRFE seminar

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.

25 Oct 2018

QRFE Seminar: Testing for Alpha in Linear...

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.

11 Oct 2018

QRFE Seminar: Rationality and Subjective Bond...

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.

11 Jul 2018

QRFE Seminar - The Fiscal Theory of Monetary...

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.

10 May 2018

The price of regulation: regulatory costs and...

A Quantitative Research in Financial Economics Seminar.

26 Apr 2018

Extremiles: A new perspective on asymmetric...

A Quantitative Research in Financial Economics Seminar.

28 Nov 2017

Dr Weining Wang (Humboldt-Universitat zu Berlin...

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.

16 Nov 2017

Dr Michael Halling (Stockholm School of...

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.

02 Nov 2017

Dr Toru Kitagawa (University College London):...

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.

17 Oct 2017

Dr Wei Cui (University College London): Default...

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

03 Oct 2017

Dr Georgy Chabakauri (LSE): Investor Protection...

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.

18 May 2017

Raymond Kan (Rotman School, University of...

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.

30 Mar 2017

QRFE Workshop on Financial Econometrics

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

09 Mar 2017
02 Mar 2017
02 Feb 2017

Andrea Vedolin (London School of Economics):...

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.

19 Jan 2017

Roman Kozhan (Warwick Business School): The...

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

19 Nov 2016

QRFE Workshop on New developments in...

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

10 Nov 2016

Taisuke Otsu (LSE): Inference on Measurement...

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.

13 Oct 2016
18 Jul 2016

QRFE workshop

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

02 Jun 2016

Professor Bent Nielsen (Nuffield College,...

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.

19 May 2016

Jean-Pierre Zigrand (LSE, Systemic Risk Centre)

An Asset Pricing workshop hosted by the QRFE research cluster.

19 May 2016

Novel Applications of Econometrics and Asset...

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.

19 May 2016

Jesús Gonzalo (Universidad Carlos III de...

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

12 May 2016
10 Mar 2016

Francesco Bravo (York University)

A QRFE research seminar.

25 Feb 2016
21 Jan 2016

Bige Kahraman (Said Business School, Oxford):...

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

10 Dec 2015

Professor David Harvey (Nottingham): A...

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

12 Nov 2015

Dennis Kristensen (UCL): Modeling corporate...

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

15 Oct 2015
01 Oct 2015

Pasquale Della Corte (Imperial College Business...

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

02 Jun 2015

Jean Marie Dufour (University of McGill):...

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

23 Apr 2015

Russell Davidson: Diagnostics for the Bootstrap...

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.

26 Mar 2015

Yoosoon Chang (Indiana): Regime Switching Model...

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. 

24 Mar 2015

Dr Prosper Dovonon (University of Concordia):...

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).

12 Mar 2015

Professor Alastair Hall (Manchester): The...

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

12 Feb 2015

Valentina Corradi (Surrey): Nonstationary...

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

29 Jan 2015

Bart Lambrechts (Cambridge): The Dynamics of...

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.