July 6-9, 2021, Online and Onsite in Shanghai, China

Session Details

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Advances in Financial Econometrics

Time:Wednesday, July 7, 2021 13:30 - 15:15Location:Stream 1Session Chair:Rossen Valkanov, University of California, San Diego Zoom:

Realized Regression with Asynchronous and Noisy High Frequency Data

Dachuan Chen; Nankai University

Per Mykland; University of Chicago

Lan Zhang; University of Illinois at Chicago

  Presenter: Dachuan Chen, Nankai University

  Discussant:  Aleksey Kolokolov, University of Manchester

A penalized two-pass regression to predict stock returns with time-varying risk premia

Gaetan Bakalli; University of Geneva

Stéphane Guerrier; University of Geneva

Olivier Scaillet; University of Geneva and Swiss Finance Institute

  Presenter: Gaetan Bakalli, University of Geneva

  Discussant: Seth Pruitt, Arizona State University

Finite Sample Analysis of Predictive Regressions with Long-Horizon Returns

Raymond Kan; University of Toronto

Jiening Pan; Nankai University

  Presenter: Jiening Pan, Nankai University

  Discussant: Alexandros Kostakis, University of Liverpool

Currency Puzzles and the Oil Connection

George Panayotov; Hong Kong University of Science and Technology

  Presenter: George Panayotov, Hong Kong University of Science and Technology

  Discussant: Shu Yan, Oklahoma State University

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