SoFiE Financial Econometrics Summer School in North America 2019 - Society for Financial Econometrics
Summer School Theme: "The Econometrics and Asset Pricing of Foreign Exchange Markets" Topics : - Overview of Empirical FX Market Microstructure literature on Price Discovery, Order Flow, Liquidity, and Volume; - Description and Discussion of Rationale for the Breakdown of the Covered Interest Rate Parity Condition; - Exchange Rate Predictability: Review Empirical Evidence, Examine Theory-motivated Predictors; - Risk Premia in FX - Uncovered interest Rate Parity and Traditional Fama Decomposition; - Cross-Sectional FX Asset Pricing: dollar, carry, global imbalance, trade costs, network centrality, momentum, and value; - FX Options: Risk-Neutral Moments, Volatility Risk Premia, Crash Risk, and Term Structure of Implied Volatility; - Long Run Risk for International Bond Portfolios; - International Finance Models with Recursive Preferences; - Market (in)completeness and pricing kernels in the context of the FX literature; - Term Structures and Interest Rate Option in Incomplete Markets.
|Event dates:||2019-07-15 – 2019-07-19|
|Organizer:||Society for Financial Econometrics SoFiE Kellogg School of Management, Northwestern University|
|Conference venue:||Evanston, IL, Kellogg School of Management|
For Applications: email@example.com
|Classification:||C5 - Econometric Modeling ; F3 - International Finance ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|