The Fifth International Workshop in Financial Econometrics will be held on the 21st-24th of October 2023, at the Vila Angatu Eco Resort, Santo André, Bahia, Brazil. The workshop is being organized by Marcelo C. Medeiros (Department of Economics, The University of Illinois at Urbana-Chamapaign), Caio Almeida (Princeton University), and Marcelo Fernandes (São Paulo School of Economics, Getulio Vargas Foundation São Paulo). 

The final program of the conference is available here.

Information about the previous editions can be found below:

Confirmed Keynote Speakers

Caio Almeida (Princeton University)

Which (Nonlinear) Factor Models?

Torben Andersen (Northwestern University)

FX Futures Invariance

Svetlana Bryzgalova (London Business School)

(Almost) 200 Years of News-Based Economic Sentiment

Christian Brownlees (Pompeu Fabra)

Performance of Empirical Risk Minimization for Principal Component Regression

Matias Cattaneo (Princeton University)

New Theoretical Results for Regression Trees*

* Based on the papers:

On the Pointwise Behavior of Recursive Partitioning and Its Implications for Heterogeneous Causal Effect Estimation

Convergence Rates of Oblique Regression Trees for Flexible Function Libraries

Giuseppe Cavaliere (University of Bologna)

The Econometrics of Financial Duration Modeling

Veronika Czellar (Skema Business School)

Multifractal Cryptocurrencies

Bjørn Eraker (University of Wisconsin)

VIX Factors

Elise Gourier (ESSEC Business School)

A Greenwashing Index

Ilze Kalnina (North Carolina State University)

Improved Estimation by Simulated Maximum Likelihood

Anders B. Kock (Oxford University)

Testing many moments by combining many norms

Michael Wolf (University of Zurich)

A Novel Estimator of Earth’s Curvature (Allowing For Inference As Well)

Dacheng Xiu (Chicago Booth)

Can Machines Learn Weak Signals?

Confirmed Discussants

Federico Bandi (Johns Hopkins University)

Christian Dorion (HEC Montreal)

Marcelo Fernandes (São Paulo School of Economics)

Gustavo Freire (Erasmus University)

Alan de Genaro (Getulio Vargas Foundation)

Peter R. Hansen (The University of North Carolina at Chapel Hill)

Jingyu He (City University of Hong Kong)

Kris Jacobs (University of Houston)

Christian Julliard (London School of Economics)

Asger Lunde (Copenhaguen Economics)

Marcelo C. Medeiros (University of Illinois at Urbana-Champaign)

Eduardo F. Mendes (São Paulo School of Economics)

Paola Pederzoli (University of Houston)

Alberto Quaini (Erasmus University)

Anders Rahbek (University of Copenhagen)

Marcel Rindisbacher (Boston University)

Olivier Scaillet (Université de Genève)

Yuri Saporito (Getulio Vargas Fondation)

Joshua Shea (University of Illinois at Urbana-Champaign)

Paul Schneider (The University of Lugano and Swiss Finance Institute)

Gustavo Schwenkler (Santa Clara University)

Jantje Sönksen (Tübingen University)

Rodrigo Targino (Getulio Vargas Foundation)

George Tauchen (Duke University)

Aurelio Vasquez (ITAM)

Invited Poster Presenters

Eun Yi Chung (University of Illinois at Urbana-Champaign)

Permutation Inference under Dependence

Gustavo Freire (Erasmus University)

Demand in the Option Market and the Pricing Kernel

Rodrigo Hizmeri (University of Liverpool)

Tail Risk and Asset Prices in the Short Term

Soohun Kim (KAIST)

Segmentation Premia

Susana Martins (UBS and Oxford University)

A Two-Factor Model of Sovereign Bond Volatilities and Geopolitical Risk 

Alessandro Melone (Ohio State University)

Anomaly Predictability with the Mean-Variance Portfolio

Bradley Paye (Virginia Tech)

Time-Varying Anomaly Premia: Stable Fact or Disappearing Act?

Alberto Quaini (Erasmus University)

Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models

Ruy M. Ribeiro (Insper)

Factor Volatility Factors

Evgenii Vladimirov (Erasmus University)

iCOS: Option-Implied COS Method

Etiënne Wijler (Free University of Amsterdam)

High-dimensional Dynamic Partial Correlation Modelling

Flavio Ziegelmann (Federal University of Rio Grande do Sul)

Multivariate Functional Time Series: Dimension Reduction and Risk Forecasting

Contributed Posters

Omar Abbara (Canvas Capital S.A.)

On the Estimation of Asymmetric Long Memory Stochastic Volatility Models

Mariia Artemova (Vrije Universiteit Amsterdam) 

An order-invariant score-driven dynamic factor model

Mattia Bevilacqua (Liverpool Management School)

Uncovering the Asymmetric Information Content of High-Frequency Options

Murilo Sepulvida Cardoso (São Paulo School of Economics)

Debiased forecast combination using synthetic controls

Renan Cardoso (Pontifical Catholic University of Rio de Janeiro)

Bonds and Stocks Returns Comovements in Brazil: Are they Different from the USA? 

Fernando Chague (São Paulo School of Economics)

Information Leakage from Short Sellers

Samuel Efraim (Pontifical Catholic University of Rio de Janeiro)

Cyclically Sensitive Inflation from Regional Data

Maurício Ferraresi (São Paulo School of Economics)

High-Dimensional Bayesian Model of Flow-Based Portfolio Choice

João Pedro M. Franco (Federal University of Santa Catarina)

Revisiting Volatility Tail Codependency in Cryptocurrency Markets

Caio Garzeri (Pontifical Catholic University of Rio de Janeiro)

FX Interventions

Jingyu He (City University of Hong Kong)

Local Sparsity and Grouped Heterogeneity: An Application to Asset Pricing

Rosalia Kjaer (Pontifical Catholic University of Rio de Janeiro)

The Properties of Realized Measures of Volatility

Onno Kleen (Erasmus University)

Equity Options and Firm Characteristics

Marcio Laurini (University of São Paulo)

Climate Risk: The Impacts of Temperature Shocks in Brazilian Market

André Maranhão (São Paulo School of Economics)

Estimating Impacts of Common and Specific Factors in Convertible Perpetual Bond Spreads

Leonardo L. Martins (SPX Capital)

Nowcasting with Unstructured Data

Guilherme Masuko (Pontifical Catholic University of Rio de Janeiro)

Predictive Power of Idiosyncratic Components

Thiago Milagres (Vox Radar)

What do news and social media tell us about future inflation?

Murilo Pereira (São Paulo School of Economics)

Improving Realized Volatility Forecasts Using News Flow

Andrea de Polis (Warwick/Fulcrum Asset Management)

Taming Momentum Crashes

Carolina M. Roma (São Paulo School of Economics)

Disconnection between uncertainty and volatility around the world

Raul Riva (Northwestern  University)

Asymmetric Violations of the Spanning Hypothesis

Rafaela Rocha (University of São Paulo)

Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market

André Portela Santos (CUNEF Universidad)

Let the machines speak: A comparison of variable selection methods for portfolio choice problems

Hugo Finizola Stellet (Pontifical Catholic University of Rio de Janeiro)

Sparsity-driven factor selection: A time-varying framework for factor zoo screening

Bernardo Scarpelli (São Paulo School of Economics)

Forest through the Trees: Building Cross-Sections of Stock Applications to the Brazilian Market

Anastasija Tetereva (Erasmus University)

Tracking Trees for Macroeconomic Risk Using Individual Stocks

Pedro Valls-Pereira (São Paulo School of Economics)

Exploring time-varying efficient price from cryptocurrencies

Álvaro Veiga (Pontifical Catholic University of Rio de Janeiro)

The Anatomy of Fund Returns in Brazil: Factors, Breaks, and Outliers 

The conference will have the following format:

• • 40 minutes keynote presentations with 16 minutes for two discussants (8 minutes each) plus 4 minutes for questions from the audience. 

  • Invited poster session.

  • Contributed poster session.

The conference will start on Saturday, October 21, at 6 p.m. with the first invited poster highlight session, where each author will have 10 minutes to present the paper's main results. After the session, there will be a welcome dinner. On Sunday, October 22, the conference will begin at 6 p.m. with the keynote address by Professor Torben Andersen from Northwestern University. After the talk, there will be the second session of invited poster highlights.   A welcome cocktail will follow immediately after the presentations. All posters (invited and contributed) will be displayed during the cocktail. The posters will also be displayed during the coffee breaks. The keynote talks will start on Monday and Tuesday at 1 p.m. and finish at 8:10 p.m.

Submissions are not allowed anymore.

Early bird registrations are now closed! 

For students and academics, the registration fee is R$500,00. Click here to pay and here to fill out the registration form.

The registration fee is R$2.500,00. Click here to pay and here to fill out the registration form.

The registration includes the welcome dinner and cocktail, lunches on Monday and Tuesday, coffee breaks, and conference dinners. 

The conference will be held in Santo André at the Vila Angatu Eco Resort. Special rates have been negotiated with the hotel, such that participants willing to stay at the Vila Agantu  Eco Resort must mention this in the submission email. Payment arrangements should be made directly with the hotel via the email eventos@vilaangatu.com

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