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Finance Research Seminars supported by Unigestion

The Swiss Finance Institute at EPFL and the University of Lausanne organize joint research seminars in finance. The seminars attract speakers from academic institutions around the world and cover a variety of topics of interest to both academics and research-oriented professionals.

Unigestion, an independent asset manager, is pleased to support this series of seminars. By encouraging academic research, the firm's aim is to foster innovation in the financial industry.

Information on the seminars is sent regularly via our mailing-list. Do not hesitate subscribe to our mailing-list if you would like to be informed about future seminars.

The seminars usually take place on Fridays from 10:30 am to 12:00 pm in room 126 at Extranef on the campus of the University of Lausanne. Please visit planete.unil.ch/plan for directions

 

How Crashes Develop: Intradaily Volatility and Crash Evolution

David BATES (University of Iowa, Henry B. Tippie College of Business)

June 2, 2017  -  10:30-12:00, room Extranef 126

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983-2008 can capture major daily outliers such as the 1987 stock market crash.  I find that intradaily jumps in futures prices are typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better.  Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out-of-sample over 2009-16.  The models capture reasonably well the conditional distributions of daily returns and of realized variance outliers, but underpredict realized variance inliers.

List of next sessions

September 8, 2017 Stefan NAGEL (University of Chicago, Booth School of Business)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
September 22, 2017 Ashwini AGRAWAL (London School of Economics)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
September 29, 2017 Christopher HENNESSY (London Business School)
10:30-12:00, room Extranef 126

click here [↓] to go to the attached pdf
October 6, 2017 Lu ZHANG (The Ohio State University, Fisher College of Business)
10:30-12:00, room Extranef 126

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October 27, 2017 Francesca CORNELLI (London Business School)
10:30-12:00, room Extranef 126

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November 10, 2017 Jessica JEFFERS (University of Pennsylvania, The Wharton School)
10:30-12:00, room Extranef 126

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November 17, 2017 Gerard HOBERG (University of Southern California, Marshall School of Business)
10:30-12:00, room Extranef 126

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January 12, 2018 Benjamin HEBERT (Stanford University, Graduate School of Business)
10:30-12:00, room Extranef 126

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March 2, 2018 Michael SCHWERT (The Ohio State University, Fisher College of Business)
10:30-12:00, room Extranef 126

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March 16, 2018 Amiyatosh PURNANANDA (University of Michigan, Ross School of Business)
10:30-12:00, room Extranef 126

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April 20, 2018 Igor MAKAROV (London School of Economics)
10:30-12:00, room Extranef 126

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April 27, 2018 Nadya MALENKO (Boston College, Carroll School of Management)
10:30-12:00, room Extranef 126

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May 18, 2018 Frederico BELO (University of Minnesota, Carlson School of Management)
10:30-12:00, room Extranef 126

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May 25, 2018 Andrew ABEL (University of Pennsylvania, The Wharton School)
10:30-12:00, room Extranef 126

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June 1er, 2018 Monika PIAZZESI (Stanford University, Department of Economics)
10:30-12:00, room Extranef 126

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Extranef - CH-1015 Lausanne - Suisse - Tél. +41 21 692 33 84 - Fax +41 21 692 34 35