SoFiE Financial Econometrics Summer School 2017

The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels.

The editorial board for these annual series is made up of Professors Torben Andersen (Northwestern), Luc Bauwens (Catholic University of Louvain), Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE), Ravi Jagannathan (Northwestern and President SoFiE), Per Mykland (University of Chicago and Pr esident-Elect SoFiE), Eric Renault (Brown University and past SoFiE President), Neil Shephard (Harvard University) and Viktor Todorov (Northwestern).

Brussels SoFiE Summer School 2017

Location: Brussels, National Bank of Belgium, Room A,
Rue Montagne aux Herbes Potagères/Warmoesberg 61, 1000 Brussels

Start date: Monday June 26, 2017 at 12:00

End date: Friday, June 30, 2017 at 12:00

There will be three hours of lectures a day, starting at 14:00 on Monday after registration and finishing at 12:00 Friday.
There will also be afternoon (Tuesday-Wednesday-Thursday) sessions for presentations by participants of their own work

Confirmed lecturers

• Professor Anh Le, Penn State University
• Professor Kenneth Singleton, Stanford University

Title: Modelling the Term Structure of Interest Rates

Applications: Should be sent to leonardo.iania@uclouvain.be (with the words `SoFiE School 2017’ in the subject box). The applications should include a full CV and motivation letter (half-page length) explaining why attending this course would be helpful to the applicant’s research work. The application deadline is 2 April 2017. Decisions will be emailed out by 24 April 2017.

Paper Presentations: Applicants are strongly encouraged to present some of their thesis work during the afternoon sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. Priority in admission to the school will be given firstly to applicants who submit an acceptable paper, secondly to those who submit an acceptable abstract, thirdly to other. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.

Schedule

I) Introduction

• (i) Review the salient empirical properties of bond yields (conditional moments, factor structure, etc.) and several of the empirical puzzles related to the distributions of bond yields;
• (ii) Review non-arbitrage pricing of default-free bonds; and
• (iii) Introduce alternative parametric models for pricing bonds, including affine and linear-rational models.

II) Reduced-Form, Affine Term Structure Models

• (i) Alternative normalizations for achieving identification;
• (ii) Estimation strategies for dynamic term structure models; and
• (iii) Goodness-of-fit of affine models of bond yields.

III) Equilibrium Models of the Term Structure

• (i) Pricing bonds in models with long-run risk;
• (ii) Habit formation and risk premiums in bond markets; and
• (iii) Empirical challenges in matching distributions of yields in equilibrium models.

IV) Spanning Restrictions in Dynamic Term Structure Models

• (i) Economic motivations for spanning restrictions;
• (ii) Evidence of unspanned factors and their implications for modeling risk premiums in bond markets; and
• (iii) Learning in bond markets.

V) Time-Varying Volatility in Bond Markets

• (i) Unspanned volatility in bond markets;
• (ii) Potential resolutions of the tension between fitting conditional means and variances of yields; and
• (iii) Using options data to infer volatilities in bond markets.

Fees

200 euros for Ph. D. students and faculty members attending this course.
500 euros for Ph.D. level colleagues from other institutions.
Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).

All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See http://sofie.stern.nyu.edu/membership on how to join the society (where a student membership option is available).

Travel Accommodation Costs: Attendees will be required to pay their own travel and accommodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at the National Bank of Belgium, lunch, coffee and tea will be provided free of charge. A free social event based on beer tasting will be organized during the week after teaching on one day where students and faculty can meet informally. Evening meals will not be organized and will be at the expense of the participants.

Local Organizing Committee

Luc Bauwens (UCL), Kris Boudt (VUB), Geert Dhaene (KU Leuven), Christophe Croux (KU Leuven), Leonardo Iania (UCL), Raf Wouters (NBB).

Sponsors

Center for Operations Research and Econometrics (CORE), FINS@VUB, Fondation Louvain, KU Leuven, Louvain Finance, National Bank of Belgium, TreeTop AM.