Lexy Coleman (lexy.coleman@ChicagoBooth.edu)
Thursday, 1:20-2:50 p.m.
Harper Center HC3B
When possible, links to the workshop papers are posted to this page.
|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|
|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|
|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|