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NATIONAL
BUREAU OF ECONOMIC RESEARCH, INC. |
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SUMMER
INSTITUTE 2010 |
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Methods
Lectures: Financial Econometrics |
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Presenters:
Sydney Ludvigson, Yacine Ait-Sahalia, Michael Brandt, & Andrew Lo |
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July
15 & 16, 2010 |
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Royal
Sonesta Hotel |
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40
Edwin H. Land Boulevard |
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Cambridge,
Massachusetts |
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PROGRAM |
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Thursday, July 15: |
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8:15 am |
Coffee and Pastries |
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8:45 am |
Sydney Ludvigson, New York University and NBER |
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GMM
and Consumption-Based Asset Pricing Models |
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10:15 am |
Break |
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10:45 am |
Sydney Ludvigson, New York University and NBER |
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GMM
and Consumption-Based Asset Pricing Models (continued) |
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12:15 pm |
Lunch |
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1:30 pm |
Yacine Ait-Sahalia,
Princeton University and NBER |
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Asymptotic Theory and Continuous-Time Methods
in Financial Econometrics |
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3:00 pm |
Break |
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3:30 pm |
Yacine Ait-Sahalia,
Princeton University and NBER |
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Asymptotic Theory and Continuous-Time Methods
in Financial Econometrics (continued) |
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5:00 pm |
Adjourn |
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Friday, July 16: |
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8:15 am |
Coffee and Pastries |
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8:45 am |
Michael Brandt, Duke
University and NBER |
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Linear
Factor Models and Event Studies |
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10:15 am |
Break |
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10:45 am |
Michael Brandt, Duke
University and NBER |
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Linear
Factor Models and Event Studies (continued) |
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12:15 pm |
Lunch |
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1:30 pm |
Andrew Lo, MIT and
NBER |
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Financial Econometrics in Action: Analyzing
Hedge Funds and Systemic Risk |
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3:00 pm |
Break |
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3:30 pm |
Andrew Lo, MIT and
NBER |
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Financial Econometrics in Action: Analyzing
Hedge Funds and Systemic Risk (continued) |
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5:00 pm |
Adjourn |