Program

Plenary Speaker

Chair: Torben Andersen

Maryan Farboodi (MIT)

(Re-)emergence of Big Data in Finance and Economics: Modeling and Measurement

Coffee-Break: 10:00 - 10:30

Session I: Markets, Return Predictability

Chair: Roberto Renò

Exchange rate uncertainty and interest rate parity

Julian Fernandez-Mejia

Discussant:  Paolo Santucci de Magistris

The value of economic regularization for stock return predictability

Eric Wilson, Yoontae Jeon and Laleh Samarbakhsh

Discussant:  Svetlana Bryzgalova

Risk premiums in the Bitcoin market

Caio Almeida, Maria Grith, Ratmir Miftachov and Zijin Wang

Discussant:  Roberto Renò

Lunch: 12:30 - 14:00

Kitchen Café

Session II: Options and Firm Level Risk

Chair: Bjorn Eraker  

 The Growth Effect of Uncertainty about Globalization: Evidence from the Option Market

     Mobina Shafaati and Mengying Wang

Discussant:  Kris Jacobs

Risk from the Inside Out: Understanding Firm Risk through Employee News Consumption

Fotis Grigoris, Preetesh Kantak, Fahiz Baba-Yara and Carter Davis

Discussant:  Rene Garcia

Common Firm-Level Investor Fears: Evidence from Equity Options

Mykola Babiak, Jozef Barunik, Mattia Bevilacqua and Mike Ellington

Discussant:  Bjorn Eraker 

Coffee-Break: 16:00 - 16:30

Closing Remarks

Marcelo C. Medeiros

Reception

Venue: Terraço do Decanato do CTC - 12th Floor of the Cardeal Leme Building

Music presentation by Alvaro Veiga & Caio Almeida

Welcome and Opening Remarks

Venue: Salão da Pastoral

Juliano Assunção, Andrew Patton, Torben Andersen and Yingying Li

Coffee-Break: 10:00 - 10:30

Parallel Session I

Session A:  Factor Models I

Venue: Salão da Pastoral

Chair: Erik Kole

Targeted Financial Conditions Indices and Growth-at-Risk

       Fernando Eguren-Martin, Sevim Kosem, Guido Maia and Andrej Sokol

Misspecification and Weak Identification in the Nontraded Factor Zoo

    Amedeo Andriollo, Cesare Robotti and Xinyi Zhang

Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation

   Svetlana Bryzgalova, Jiantao Huang and Christian Julliard

High-Dimensional Dynamic Factor Models with Markov-switching

    Erik Kole and Christian Brownlees

Session B:  Term Structure, Inflation

Venue: Auditório Padre Anchieta

Chair: Robin Lumsdaine

Asymmetric Violations of the Spanning Hypothesis

   Raul Riva and Gustavo Freire

Mind Your Language: Market Responses to Central Bank Speeches

       Maximilian Ahrens, Deniz Erdemlioglu, Michael McMahon, Christopher Neely and Xiye Yang

The U.S. Monetary Policy Transmission in Global Equity Markets

   Andrey Ermolov, Lina Lu and Shaowen Luo

The Impact of the ECB's Extended Asset Purchase Programme on Euro-Area Inflation: A Synthetic Control Assessment

   Robin Lumsdaine and Andreea Dedea

Session C: Macro Asset Pricing

Venue: Auditório Del Castilho (RDC)

Chair: Rene Garcia

Markup Shocks and Asset Prices

   Alexandre Corhay, Jincheng Tong and Jun Li

Time Series Reversal: A Payment Cycle Friction

   Giuliano Graziani

The Relative Price Premium

   Fotis Grigoris, Preetesh Kantak, Christian Heyerdahl-Larsen and Yun Joo An

 Intermediary Leverage Shocks and Funding Conditions

   Jean-Sebastien Fontaine, Rene Garcia and Sermin Gungor 

Session D:  Moment Estimation, Computational Techniques

Venue: L206 (Second Floor of Cardeal Leme Building)

Chair: Eric Ghysels

An L-Moment Approach for Portfolio Choice under Non-Expected Utility

       Hasan Fallahgoul, Loriano Mancini and Stoyan Stoyanov

Time-Varying Factor Selection: A Sparse-Fused GMM Approach

   Liyuan Cui, Guanhao Feng, Yongmiao Hong and Jiangshan Yang

 Generalized ESP Estimators

   Ali Atabaigi, Benjamin Holcblat and Fallaw Sowell

On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models

   Eric Ghysels and Jack Morgan

Lunch and poster display: 12:30 - 14:00

Kitchen Café

Parallel Session II

Session A:  Momentum, Lead-Lag Patterns

Venue: Salão da Pastoral

Chair: Simon Trimborn

Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies

   Qi Jin, Álvaro Cartea and Mihai Cucuringu

Influential Assets in Large-Scale Vector AutoRegressive Models

   Kexin Zhang and Simon Trimborn

Session B:  Portfolio Choice with Transaction Costs

Venue: Auditório Padre Anchieta

Chair: Michael Wolf

A comprehensive machine learning framework for dynamic portfolio choice with transaction costs

   Fabio Trojani, Simon Scheidegger and Luca Gaegauf

 Markowitz Portfolios under Transaction Costs

   Olivier Ledoit and Michael Wolf

Session C:  Modeling Features of High-Dimensional Data

Venue: Auditório Del Castilho (RDC)

Chair: Daniele Massacci

High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2+ε’th Moment

   Yi Ding and Xinghua Zheng

Modelling Large-Dimensional Datasets with Markov Switching Factor Models

      Matteo Barigozzi and Daniele Massacci

Session D:  Option Pricing Models

Venue: L206 (Second Floor of Cardeal Leme Building)

Chair: Kris Jacobs

The Risk and Return of Equity and Credit Index Options

      Hitesh Doshi, Jan Ericsson, Mathieu Fournier and Sang Byung Seo  

A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility

   Kris Jacobs, Steven Heston and Hyungjoo Kim

Poster Display: 15:00 - 15:20

Parallel  Session III

Session A:  Stochastic Discount Factor

Venue: Salão da Pastoral

Chair: Yingying Li

Universal Portfolio Shrinkage

   Mohammad Pourmohammadi, Bryan Kelly, Semyon Malamud and Fabio Trojani

Learning the Stochastic Discount Factor 

   Zhanhui Chen, Yi Ding, Yingying Li and Xinghua Zheng

Session B:  Nonlinear Dynamic Factor Models

Venue: Auditório Padre Anchieta

Chair: Bernd Schwaab

Improving the robustness of Markov-switching dynamic factor models with time-varying volatility

   Romain Aumond and Julien Royer

Nonlinear dynamic factor models with interacting location and scale factors

   Bernd Schwaab, Geert Mesters and Siem Jan Koopman

Session C:  Point and Integer Processes

Venue: Auditório Del Castilho (RDC)

Chair: Paolo Santucci de Magistris

An unbounded intensity model for point processes

   Aleksey Kolokolov and Kim Christensen

Switching Regime Integer Autoregressions

   Paolo Santucci de Magistris, Leopoldo Catania and Eduardo Rossi

Session D:  Option Pricing

Venue: L206 (Second Floor of Cardeal Leme Building)

Chair: Oleg Bondarenko

What can you really tell from option prices?

   Oleg Bondarenko, Yannick Dillschneider, Paul Schneider and Fabio Trojani

Cross-Over Options 

   Oleg Bondarenko

Coffee-Break: 16:20 - 16:50

Rapid Fire Poster Presentation

Venue: Salão da Pastoral

Chair: Marcelo Fernandes

Mutually exciting point processes with latency

Yoann Potiron and Vladimir Volkov

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Juan Carlos Arismendi-Zambrano, Massimo Guidolin and Martin Lozano

The effect of stock splits on liquidity in a dynamic model

Christian Hafner, Oliver Linton and Linqi Wang

Biased Signals? Evaluating the Effectiveness of Major Stock Indices as Leading Economic Indicators

Anne Lundgaard Hansen

Directional Information in Equity Returns

Andre B.M. Souza, Luca Del Viva and Carlo Sala

Decomposing Asymmetric Information in Equity Options

Alejandro Bernales, Thanos Verousis and Richard Holowczak

Informational Economic Transmission between Countries: Learning, Common Factors and Category Thinking

Alejandro Bernales and Paula Margaretic

Inflation Volatility and the Directional Volatility Ratio

Alfredo Garcia-Hiernaux, Maria T Gonzalez-Perez and David E Guerrero

Forecasting the yield curve: The role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic factors

João Caldeira, Werley Cordeiro, Esther Ruiz and André Santos

Do Robust Predictors Improve the Accuracy of Inflation Forecasts in Moments of Structural Break?

Emerson Fernandes Marçal and Rodrigo Ashikawa

Mitigating the choice of the duration in DDMS models through a parametric link

Fernando Mendes, Douglas Turatti and Guilherme Pumi

Systemic Risk Measures and Optimized Capital Requirement

Wesley Borges

When Crowds Aren’t Wise: Biased Social Networks and its Price Impact

Edna Lopez Avila, Charles Martineau and Jordi Mondria

Assessing Multivariate Tail Risk Forecasting Using a Vector Autoregressive Tail Index Model for Extremes

Claudio Candia, Rodrigo Herrera and Adam Clements

Forecasting The Yield Curves Using Macroeconomics Expectations and Time-Varying Volatility

Werley Cordeiro, João Caldeira and Guilherme Valle Moura

Gala Dinner Plenary Session and Conference Dinner

Venue: Maguje Restaurant

Chair: Caio Almeida

Armínio Fraga (Gávea Investimentos)

Traps and Crossroads

Coffee-Break: 10:30 - 11:00

Parallel Sessions IV

Session A:  Continuous-Time Methodology

Venue: Salão da Pastoral

Chair: Paul Schneider

Local Edgeworth expansions

   Roberto Renò and Federico Bandi

Kernel Density Machines

   Damir Filipovic and Paul Schneider

Session B:  Trees and Forests

Venue: Auditório Padre Anchieta

Chair: Andrew Patton

Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?

   Guanhao Feng, Jingyu He, Junye Li, Lucio Sarno and Qianshu Zhang

Generalized Autoregressive Score Trees and Forests

   Andrew Patton and Yasin Simsek 

Session C:  Correlation Matrices

Venue: Auditório Del Castilho (RDC)

Chair: Ilya Archakov

Parsimonious Spectral-Based Modelling of Dynamic High-Dimensional Correlation Matrices

   Stan Thijssen, André Lucas and Anne Opschoor

Amazing Properties of a New Parametrization of Correlation Matrices

   Ilya Archakov and Peter R. Hansen

Session D:  Implied Volatility, Volatility Risk Premia

Venue: L428 (Fourth Floor of Cardeal Leme Building)

Chair: Michael Ellington

Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

   Maria Grith, Hannah Lan Huong Lai and Ying Chen

The Common Factor in Volatility Risk Premia

   Mattia Bevilacqua, Mykola Babiak, Jozef Barunik and Michael Ellington

Lunch and poster display: 12:00 - 13:30

Kitchen Café

Parallel Sessions V

Session A:  Asset Pricing with Frictions

Venue: Salão da Pastoral

Chair: Bradley Paye

From Extinction to Resurrection: Unveiling the Role of Short-Selling Frictions in Cross-Sectional Momentum

   Andrea Buraschi and Filippo Pellegrino

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

   Niels Groenborg, Chun-Wei Lin, Bradley Paye and Allan Timmermann

Session B:  Tree Models and Forecasting

Venue: Auditório Padre Anchieta

Chair: Serge Nyawa

Mosaics of Predictability

   Guanhao Feng, Jingyu He and Yuanzhi Wang

On the Connection Between Threshold Models and Trees’ Regressions: Application to Volatility’s Forecasting

      Christian Gouriéroux, Nour Meddahi and Serge Nyawa

Session C:  Option and the Characteristic Function

Venue: Auditório Del Castilho (RDC)

Chair: Carsten Chong

Characteristic function-based factor modelling of affine jump diffusions using options

   Peter Boswijk, Roger Laeven, Niels Marijnen and Evgenii Vladimirov

The Fine Structure of Volatility Dynamics

   Carsten Chong and Viktor Todorov

Session D:  Impactful Events

Venue: L428 (Fourth Floor of Cardeal Leme Building)

Chair: Yujing Gong

What events matter for exchange rate volatility?

   Igor Martins and Hedibert Lopes

Risk-Corrected Probabilities of a Binary Event

   Yujing Gong, Arie Gozluklu and Alex Ferreira

Coffee-Break: 15:30 - 16:00

Parallel Sessions VI

Session A:  Stock Risk Premia

Venue: Salão da Pastoral

Chair: Frank Kleibergen

How to Dominate the Historical Average

   Kai Li, Yingying Li, Changlei Lyu and Jialin Yu

Risk Premia from the Cross-Section of Individual Assets

   Frank Kleibergen and Zhaoguo Zhan

Session B:  Exploiting Option Information

Venue: Auditório Padre Anchieta

Chair: Artem Prokhorov

Local multiplicative correction of market-implied densities using net demand curves

   Jeroen Dalderop and Oliver Linton

Bi-Objective Cost-Sensitive Machine Learning: Predicting Stock Return Direction Using Option Prices

      Robert James, Jessica Leung and Artem Prokhorov

Session C:  Realized Variation Measures

Venue: Auditório Del Castilho (RDC)

Chair: Shifan Yu

Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models

   Jasper Rennspies, Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka, Sina Streicher and Axel Wolter

Realized Candlestick Wicks 

   Yifan Li, Ingmar Nolte, Sandra Nolte and Shifan Yu

Session D:  Risk Management

Venue: L428 (Fourth Floor of Cardeal Leme Building)

Chair: Yannick Hoga

Managing Hedge Fund Liquidity Risks

   Serge Darolles and Guillaume Roussellet

Dynamic CoVaR Modeling

   Timo Dimitriadis and Yannick Hoga

Coffee-Break: 10:00 - 10:30

Parallel Session VII

Session A:  Factor Models II

Venue: Salão da Pastoral

Chair: Cisil Sarisoy

Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models

       Alberto Quaini, Fabio Trojani and Ming Yuan

Tests for the Number of Common Latent Factors Between Two Short Panels

    Alain-Philippe Fortin

 Linear Factor Models and the Estimation of Expected Returns

   Cisil Sarisoy, Peter de Goeij and Bas Werker

Session B:  Macro-Finance, Prudence, and Externalities

Venue: Auditório Padre Anchieta

Chair: Susana Campos Martins

Do ESG investors care about carbon emissions? Evidence from securitized auto loans

   Christian Kontz

Stormy Investments: Navigating Preferences and Barriers in Weather Disasters

   Flavio De Carolis, Rob Bauer and Dirk Broeders

The risk management approach to macro-prudential policy

   Simone Manganelli, Sulkhan Chavleishvili, Robert Engle, Stephan Fahr, Manfred Kremer, Frederik Ole Lund Thomsen and Bernd Schwaab

Novel global and regional risk factors

   Susana Campos Martins

Session C:  Market Microstructure

Venue: Auditório Del Castilho (RDC)

Chair: Claudia Moise

A non-Normal framework for price discovery: The independent component based information shares measure

   Sebastiano Michele Zema and Francesco Cordoni

Intraday Variation in Systematic Risks and Information Flows

   Yasin Simsek and Andrew Patton

FX Futures Invariance

   Torben G. Andersen, Oleg Bondarenko, Eleni Gousgounis and Esen Onur

Circuit Breakers, Illiquidity, and the COVID-19 Crisis

   Claudia Moise

Session D:  Fund and Portfolio Management

Venue: L206 (Second Floor of Cardeal Leme Building)

Chair: Enrique Sentana

Mutual Fund Strategy Changes and Performance

       Hao Ding

Adaptive Strategies: Robust Large Portfolio Optimization with Heteroscedastic and Heavy-Tailed Returns

   Mengmeng Ao, Leheng Chen, Yingying Li and Xinghua Zheng

Dynamic Parametric Portfolio Policies

   Rasmus Lönn, Bram van Os and Dick van Dijk

Sieve Managed Portfolios   

   Xiaohong Chen, Francisco Penaranda, Demian Pouzo and Enrique Sentana

Lunch and poster display: 12:30 - 14:00

Kitchen Café

Coffee-Break: 15:30 - 16:00

Closing Remarks and Bates-White Prize

Venue: Salão da Pastoral

Torben Andersen, Yingying Li, Caio Almeida and Marcelo Fernandes