Program

Friday (November 15th)

12:30-2:00: Arrival and Lunch

2:00-3:30: Session 1

Ronald Gallant

Discussant: Han Hong

John Geweke

Discussant: Yingying Li

3:30-4:00: Break

4:00-5:30: Session 2

Francis X. Diebold (with Glenn D. Rudebusch)

Discussant: Denis Pelletier

“Hedging geopolitical risk based on a multiplicative volatility factor model”

Robert F. Engle (with Susana Martins)

Discussant: Eric Ghysels

Cocktails at

Washington Duke Inn

6:00-7:00

Dinner at

Washington Duke Inn

7:00-10:00

Saturday (November 16th)

8:30-9:00: Breakfast

9:00-10:30: Session 3

“Variance risk premiums in emerging markets: Global integration and economic uncertainty”

Hao Zhou (with Fang Qiao, Lai Xu and Xiaoyan Zhang)

Discussant: Bjorn Eraker

“Aggregate asymmetry in idiosyncratic jump risk"

Viktor Todorov (with Huidi Lin)

Discussant: Congshan Zhang

10:30-11:00: Break

11:00-12:30: Session 4

“Forecast comparison tests under fat-tails”

Nour Meddahi (with Jihyuan Kim and Mamiko Yamashita)

Discussant: Silvia Goncalves

“Cross-sectional dispersion of risk in trading time”

Torben G. Andersen (with Martin Thyrsgaard and Viktor Todorov):

Discussant: Federico Bandi

12:30-1:30: Lunch

1:30-3:00: Session 5

Neil Shephard (with Ashesh Rambachan)

Discussant: Peter Hansen

“Demand estimation with many prices”

Whitney Newey (with Jerry Hausman and Viktor Chernozhukov)

Discussant: Shakeeb Kahn

3:00-3:30: Break

3:30-4:25: Session 6 and closing remarks

“Identifying the role of credit expansion in business cycles using variation in volatility”

Chris Sims

Discussant: Francesco Bianchi