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