Econometrics and Statistics Workshop


Lexy Coleman (


Thursday, 1:20-2:50 p.m.


Harper Center HC3B

When possible, links to the workshop papers are posted to this page.

Autumn 2012

Date Topic Speaker, Institution
September 27 "Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets" Olivier Scaillet, Geneva Finance Research Institute
October 4 "Modelling Dependence in High Dimensions with Factor Copulas" Andrew Patton, Duke University
October 11 "Risk Premia in Crude Oil Futures Prices" James Hamilton, University of California- San Diego
October 18 "The Economics of Options-Implied Inflation Probability Density Functions" Jonathan Wright, Johns Hopkins University
October 25 "Physical Experimental Design in Support of Computer Model Development" Max Morris, Iowa State University
November 1 "Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks" James Nason, Federal Reserve Bank
November 8 "Valid inference from non-ignorable network sampling designs and the estimation of causal peer-influence effects on social media platforms" Edoardo Airoldi, Harvard University
December 6 "Spot Variance Regression" Jia Li, Duke University

Spring 2012

Date Topic Speaker, Institution
April 5 "Dynamic Conditional Beta with Applications to Systemic Risk Measurement" Rob Engle, NYU
April 12 "Identification and Estimation of Nonseparable Models with General Instruments" based on the paper "Identification of Nonseparable Models with General Instruments"
Alex Torgovitsky, Northwestern University
April 19 Talk is based on the following papers... "A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and VIX Option Prices" and "Delving into Risk Premia: Reconciling Evidence from the S&P 500 and VIX Derivative" Dacheng Xiu, Chicago Booth
April 26 "The Allocation of Interest Rate Risk and the Financial Sector" Monika Piazzesi, Stanford University
May 3 The Hidden Role of the Propensity Score Abstract" Ben Hansen, University of Michigan
May 17 "On the Testability of Identification in Some Nonparametric Models with Endogeneity" Azeem Shaikh, University of Chicago
May 24 "Nearly Optimal Tests when a Nuisance Parameter is Present Under the Null Hypothesis" Mark Watson, Princeton University
May 31 "How Beneficial is International Stock Market Information in Domestic Stock Market Trading?" Janusz Brzeszczynski, Heriot-Watt University, Edinburgh

Winter 2012

Date Topic Speaker, Institution
January 19 "Convex Regularization Algorithms for Learning Large Incomplete Matrices"
paper talk is based on - "Spectral Regularization Algorithms for Learning Large Incomplete Matrices"
Rahul Mazumder, Stanford University
January 26 "Nonparametric Triangular Simultaneous Equations Models with Weak Instruments" Sukjin Han, Yale University
February 2 "Asymptotically Exact Inference in Conditional Moment Inequality Models" Timothy Armstrong, Stanford University
February 9 "Estimation of Hazard Models with Dependence Across Observations: Correlation, Frailty and Contagion" James Wolter, Yale University
February 16 "On the Long Run Volatility of Stocks" Carlos Carvalho, University of Texas at Austin, Visiting Chicago Booth
February 23 "On a Class of Shrinkage Priors for Covariance Matrix Estimation" Hao Wang, University of South Carolina
March 1 "Bayesian Modeling of Joint and Conditional Distributions" Andriy Norets, Princeton University
March 8 "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models" Dante Armengual, Center for Monetary & Financial Studies, Madrid, Spain

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