Event item

Econometrics and Business Statistics Seminar Series CREATES Accounting and Finance Seminar Series

Joint Econometrics and Finance Seminar: Torben Andersen, Northwestern University (Kellogg) and CREATES

Title: Volatility Measurement with Pockets of Extreme Return Persistence

Info about event

Time

Wednesday 17 February 2021,  at 15:15 - 16:15

Location

via Zoom

Contact

Mikkel Bennedsen and Jesper Wulff

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