Joint Econometrics and Finance Seminar: Torben Andersen, Northwestern University (Kellogg) and CREATES
Title: Volatility Measurement with Pockets of Extreme Return Persistence
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via Zoom
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Presenter: Torben Andersen, Northwestern University (Kellogg) and CREATES
Paper: "Volatility Measurement with Pockets of Extreme Return Persistence", co-authored with Yingying Li, Hong Kong UST; Viktor Todorov, Northwestern University; and Bo Zhou, Durham University.
Torben's work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management.
Host: Mikkel Bennedsen
Organisers: Mikkel Bennedsen and Jesper Wulff