The Third International Workshop in Financial Econometrics will be held on the 8th, 9th, and 10th of October, 2017, at the Arraial d'Ajuda Ecoresort, Arraial d'Ajuda, Bahia, Brazil. The workshop is being organized by Marcelo C. Medeiros (Department of Economics, PUC-Rio) , Caio K. Almeida (Graduate School of Economics, Getulio Vargas Foundation Rio de Janeiro), Marcelo Fernandes (São Paulo School of Economics, Getulio Vargas Foundation São Paulo) and Asger Lunde (CREATES and Department of Economics, Aarhus University).

We have the pleasure to announce the following confirmed speakers

Torben Andersen (Northwestern University)

Federico M. Bandi (John Hopkins University)

Christian Brownlees (Pompeu Fabra)

René Garcia (University of Montreal)

Marcelo Fernandes (São Paulo School of Economics)

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

Bradley Paye (Virginia Tech)

Marcel Rindisbacher (Boston University)

Olivier Scaillet (Université de Genève)

George Tauchen (Duke University)

Viktor Todorov (Northwestern)

Michael Wolf (University o Zurich)

Registration in now CLOSED!

The conference will be held in Arraial d'Ajuda at the Arraial d'Ajuda Ecoresort.

Special rates have been negotiated with the hotel, such that participants willing to stay at the Arraial d'Ajuda Ecoresort must clearly mention this in the submission email such that we can book the room. However, payment arrangements should be made directly with the hotel.

The conference will have the following format

• • 40 min. keynote presentations with 15 min. for a discussant plus 5 min. for questions from the audience.

  • A poster session fully integrated to the conference.

The conference will start on Sunday, October 08, at 7p.m. with a welcome cocktail and the poster session. The posters will be also displayed during the coffee-breaks. The keynote talks will start on Monday at 1p.m. and finish at 19:30 with two coffee-breaks of 30 minutes. We are going to have six presentations per day and a total of 12 presentations.

Anyone interested in presenting a poster during the conference must send a full paper by email to Marcelo C. Medeiros (mcm@econ.puc-rio.br) before April 30. Authors will be notified of the decision by email no later than May 30.

The deadline for registration is August 1.

For students and academics the registration fee is R$300,00.

For practitioners/non-academics the registration fee is R$1.500,00.

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

Suggestions or questions about the webpage, registration or article submission should be sent to Marcelo C. Medeiros (mcm@econ.puc-rio.br).

Keynote Presentations

Bradley Paye (Virginia Tech)

Title: What Drives Jumps in Stock Prices? Evidence from a Long History of Intraday Prices

Discussant: Marcelo C. Medeiros (Pontifical Catholic University of Rio de Janeiro)

Olivier Scaillet (Université de Genève)

Title: A Diagnostic Criterium for Approximate Factor Structure

Discussant: Svetlana Bryzgalova (Stanford University)

Viktor Todorov (Northwestern University)

Title: Nonparametric Option-based Volatility Estimation

Discussant: Caio Almeida (Getúlio Vargas Foundation)

Federico Bandi (John Hopkins University)

Title: Zeroes

Discussant: Jantje Sönksen (Tuebinguen University)

Marcelo Fernandes (São Paulo School of Economics)

Title: Testing for Jump Spillovers without Testing for Jumps

Discussant: Bradley Paye (VirginiaTech)

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

Title: Mind the Gap: An Early Empirical Analysis of SEC’s “Tick Size Pilot Program”

Discussant: Ruy Ribeiro (Pontifical Catholic University of Rio de Janeiro)

Torben Andersen (Northwestern University)

Title: Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Spam

Discussant: Marcelo Fernandes (São Paulo School of Economics - FGV) and Eduardo F. Mendes (Getúlio Vargas Foudation)

Michael Wolf (University of Zurich)

Title: Large Dynamic Covariance Matrices

Discussant: Anders B. Kock (Aarhus University)

Marcel Rindisbacher (Boston University)

Title: Information and Derivatives

Discussant: Alejandro Bernales (Universidad de Chile)

Rene Garcia (Université de Montreal)

Title: A Macro-Finance Model of the Term Structure with Time-Varying Market Process of Risk

Discussant: Eduardo Zilberman (Pontifical Catholic University of Rio de Janeiro)

Christian Brownless (Universitat Pompeu Fabra)

Title: Community Detection in Partial Correlation Network Models

Discussant: Pedro C.L. Souza (Pontifical Catholic University of Rio de Janeiro)

George Tauchen (Duke University)

Title: Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Itô Semimartingale

Discussant: Gustavo Schwenkler (Boston University)

Posters

Álvaro Veiga (Pontifical Catholic University of Rio de Janeiro)

Title: Forecasting US Inflation: The Benefits of Machine Learning Methods in Large Dimensions

André A.P. Santos (Federal University of Santa Catarina)

Title: Disentangling the Role of Variance and Covariance Information in Portfolio Selection Problems

Carolina Roma (Federal University of Minas Gerais)

Title: An Empirical Study of Idiosyncratic Risk and Market Returns

Cristiano Fernandes (Pontifical Catholic University of Rio de Janeiro)

Title: Forecasting Hourly Wind Power Generation Using a Mixed GAS Beta-Bernouilli Model

Diego S. Brito (Pontifical Catholic University of Rio de Janeiro)

Title: Portfolio Choice and Realized Covariance Matrix Forecasting for a Large Number of Assets

Eduardo Mendes (Getúlio Vargas Foundation)

Title: Regularized Estimation of Sparse Vector Autoregressive Models with Non-Gaussian and Conditionally Heteroskedastic Errors

Eduardo Zilberman (Pontifical Catholic University of Rio de Janeiro)

Title: Sentiment, Electoral Uncertainty and Stock Prices

Fernanda F. Perobelli (Federal University of Juíz de Fora)

Title: On the Role of Private and Public Credit in the Brazilian Technical Efficiency: Some Evidence

Fernando Chague (São Paulo School of Economics, Getúlio Vargas Foundation)

Title: Uncovering Unskilled Short-Sellers

Flavio Ziegelmann (Federal University of Rio Grande do Sul)

Title: Dynamics of Financial Returns Densities: A Functional Approach Applied to the Bovespa Intraday Index

Gabriel Vasconcelos (Pontifical Catholic University of Rio de Janeiro)

Title: Modeling and Forecasting Large Panel of Time Series: The Benefits of Factor Models and Shrinkage

Henrique Hoetglbaum (Pontifical Catholic University of Rio de Janeiro)

Title: Forecasting Retail Sales with GAS Models

Jantje Soenksen (Tuebingen University)

Title: Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults

João Marco Cunha (BNDES)

Title: A Note on the Robustness of Diebold and Li Forecasting Results

Kym Ardison (Getúlio Vargas Foundation)

Title: High Frequency Tail Risk

Pedro Valls (São Paulo School of Economics, Getúlio Vargas Foundation)

Title: On the Robustness of the Principal Volatility Components

Peter Exterkarte (University of Sydney)

Title: A Regime-Switching Stochastic Volatility Model for Forecasting Electricity Prices

Pompeu Hoffmann (Pontifical Catholic University of Rio de Janeiro)

Title: Investment Bank-Affiliated Mutual Funds Underperformance: Evidence from Brazil

Rafael Moura Azevedo (Federal University of Pernambuco)

Title: Semi-Parametric Entropic Estimation of State Price Densities Implicit in Interest Rate Derivatives

Ricardo Masini (São Paulo School of Economics, Getúlio Vargas Foundation)

Title: The Perils of Counterfactual Analysis with Integrated Data

Rodrigo Targino (Getulio Vargas Foundation)

Title: Constructing Risk Budgeting Portfolios Using an Efficient Monte Carlo Algorithm

Ruy Ribeiro (Pontifical Catholic University of Rio de Janeiro)

Title: Gambling and Asset Pricing

Thiago Souza (University of Southern Denmark)

Title: The Size Premium is not a Puzzle but its Predictability is

Victor Martello (Pontifical Catholic University of Rio de Janeiro)

Title: Equity Premium, FOMC Announcements and Uncertainty

Yuri Saporito (Getulio Vargas Foundation)

Title: Heston Model and Fourier Estimation of the Volatility: Parameter Estimation and Beyond

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