Programme

Tuesday 23 June 2015

8:00 Registration
9:00 Opening Remarks
9:10 SESSION 1 VOLATILITY AND RISK PREMIUMS
10:40 Refreshment Break
11:00 SESSION 2 INFERENCE VIA MOMENT CONDITIONS
11:30 Invited Lecture
A. Ronald Gallant, Penn State University
12:15 Lunch & Poster Session
14:15 SESSION 3 ENERGY, NEWS AND JUMPS
15:45 Refreshment Break
16:00 SESSION 4 LEARNING FROM AN INTERNATIONAL CROSS-SECTION
17:00 End of programme
19:00 Pre-Conference Barbecue Dinner

Pre-Conference Barbecue Dinner

23 June 2015
19:00-21:00

Cafeteria in building 1320
Bartholins Allé 8
8000 Aarhus C

The Pre-Conference Barbecue Dinner begins at 19:00 and takes place in the cafeteria in building 1320.

  • Outside in the courtyard, there will be a barbecue with a selection of sausages, chicken, and pork.
  • Inside in the cafetaria, you will find a buffet with a selection of potatoes, pasta, and salads including a variety of delicious garnish and home made bread.
  • Drinks included are draft beer, juice and water.

After the dinner, we walk through the beautiful University Park where there will be a bonfire and celebration of the Danish midsummer called Sankt Hans.

Wednesday 24 June 2015

8:00 Registration
9:00 Opening Remarks
9:10 SESSION 1 (Pleanary)
Halbert White Jr. Memorial JFEC Invited Lecture:
Oliver Linton, University of Cambridge
9.55 Robert Engle
10.25 Lei Jiang
10:55 Refreshment Break
11:15 SESSION 2
Invited Lecture:
Albert S. (Pete) Kyle, University of Maryland
12.00 Lan Zhang
12:30 Lunch
14:00-16:00 PARALLEL SESSIONS
3A: Asset Pricing
3B: Copulas and Risk Measures
3C: Market Microstructure
16:00 Refreshment Break
16.15 SESSION 4
Invited Lecture
Serena Ng, Columbia University
17:00 End of programme
18:30 Gala Dinner

Gala Dinner

24 June 2015
18:30-22:30

Centralværkstedet
Værkmestergade 9
8000 Aarhus C

Thursday 25 June 2015

8:30 Registration
9:00-11:00 PARALLEL SESSIONS 5
5A: Monetary Policy and Markets
5B: Covariance Estimation, Portfolio Choice
5C: Forecast Techniques for Realized Volatility
11:00 Refreshment Break
11:15 SESSION 6
Invited lecture
Jean Jacod, Université Paris 6
12:00–14:00 Lunch and Poster Session
14:00 SESSION 7
Invited Lecture
Pierre Collin-Dufresne, École Polytechnique Fédérale de Lausanne & Swiss Finance Institute
14:45 Refreshment Break
15:00-17:00 PARALLEL SESSIONS 8
8A: Variance Risk Premiums
8B: Bond Markets
8C: Discreteness
17:05 SoFiE Members Meeting

Friday 26 June 2015

8:30 Registration
9:00-11:00 PARALLEL SESSIONS 9
9A: Testing Asset Price Models
9B: Networks
9C: Jumps
11:00 Refreshment Break
11:15 SESSION 10
Invited Lecture
Nour Meddahi, Toulouse School of Economics
12:00–14:00 Lunch and Poster Session
14:00-15:00 PARALLEL SESSIONS 11
11A: Moment-Based Estimation
11B: Applications of GARCH
11C: Volatility Inference with Noise and Dependence
15:00 Refreshment Break
15:15 SESSION 12
Invited Lecture
Ralph Koijen, London Business School
16:00 Presidential Address
Eric Renault, Brown University
16:45 Closing Remarks & Announcement of 2016 Meeting Location
17:00 End of Conference

The Lakeside Lecture Theatres

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Cafeteria

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