Duke Financial Econometrics Lunch Group, Spring 2012

Meeting Room: Classroom 5, The Link (in the basement of Perkins Library)

Meeting Time: Mondays, 11:40 a.m. - 12:55 p.m. (subject to adjustment)

Class number: Econ 385F

Links:

· Interested students should consult expectations and requirements

· Link to Description of the Thesis Prospectus to be defended in third year (prospectus)

· Link to Triangle Econometrics Workshop and Duke University Econometrics Workshop

· Link to the Society for Financial Econometrics

· Link to the Zellner Award awarded by the American Statistical Association for the best Ph.D. thesis dealing with an applied problem in Business and Economic Statistics: The Zellner award is intended to recognize outstanding work by promising young researchers in the field.

- Duke PhD students who have been winners or honourable mentions for this prestigious award include Viktor Todorov (2008, a former member of this group) now on the faculty at Northwestern University, and Stephen Ryan (2006), now on the faculty at MIT.

- Current and former Duke faculty members who have been winners or honourable mentions for this award include Francesco Bianchi (2010), Andrew Patton (2004), Arie Beresteanu (2002, now at Pittsburgh), Han Hong (2000, now at Stanford), and Pat Bajari (1998, now at Minnesota).

· Link to the Engle Prize in Financial Econometrics awarded by the Journal of Financial Econometrics every two years to the young scholar who has published the best article in the Journal over the preceding period.

- The 2010 Engle prize was awarded to Fulvio Corsi (a former member of this group) now on the faculty at the University of Lugano. The 2008 Engle prize was awarded to Andrew Patton.

· Link to 12+ years of Previous Schedules: Summer 1998 to Fall 2011

Presenters in Spring 2012:

Jan 9: Ben Carlston

Jan 16: Lai Xu

Jan 23: Lily Liu

Jan 30: Kai Li

Feb 6: Viktor Todorov (ERID visitor from Northwestern University)

Feb 13: Erik Vogt

Feb 20: Francisco Peñaranda (visitor from Universitat Pompeu Fabra): "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models" (PDF)

Feb 27: Wenjing Wang / Iaryna Grynkiv

Mar 5: SPRING BREAK

Mar 12: Philippe Mueller (London School of Economics): "Bond Variance Risk Premia"

Mar 19: Roberto Marfe (visiting PhD student from St Gallen)

Mar 26: Dong Hwan Oh

Apr 2: Sophia Li

Apr 9: Ben Carlston / Kai Li

Apr 16: Lily Liu / Erik Vogt

Apr 23: Lai Xu

Apr 30: Jiakou Wang (visiting PhD student from U. Wisconsin - Madison)

May 7: Wenjing Wang

May 14: Roberto Marfe

May 21: Erik Vogt

May 28: Jia Li

June 4: Lai Xu

Financial support for the Duke Financial Econometrics lunch group is provided by:

Last updated: 28 February 2012.