COVID-19 Research From Penn Economics

Here's a  gallery of cutting-edge COVID-19 research from Penn Econ faculty.  I just bumped into it randomly on the Department site.  The round "medals" are cute.  Congrats to the medalists for helping us navigate the new and rough terrain.   https://economics.sas.upenn.edu/pier/covid-19-research

New SoFiE Online Seminar Series

From Tim Bollerslev (SoFiE president) and Andrew Patton (seminar organizer):

The series will feature bi-monthly virtual presentations of cutting-edge research in financial econometrics. Presentations will be followed by discussion and audience participation. Seminars will be held on Mondays, from 11am-noon EDT. Recognizing that this time slot may not work for everyone around the globe, the seminars will be recorded and available on SoFiE’s YouTube channel a few days after each event.

SoFiE Seminars will be held as Zoom webinars and are open to anyone with an appetite for research in financial econometrics: professors, students, academics, and non-academics. To receive updates about these events, email sofie@stern.nyu.edu and join our mailing list.

Our first seminar will be on June 1st, with a presentation by Professor Viktor Todorov of Northwestern University, and discussion from Professor Walter Distaso of Imperial College London. The seminar series website contains details on future seminars.

Peter Christoffersen JFEC Issue in Press

Actually it's two issues of JFEC (Journal of Financial Econometrics). The first, Part I, is in press.  Editors' intro below.

Predictive Modeling, Volatility, and Risk Management in Financial Markets

In Memory of Peter F. Christoffersen

Peter F. Christoffersen left us in 2018, much too soon, at the age of 51. He was a world-renowned financial econometrics researcher, educator, lecturer, administrator (including hosting the 2014 SoFiE conference at the University of Toronto), and public servant (including the U.S. Federal Reserve System's Model Validation Committee, charged with reviewing the models used for bank supervision and regulation). If Peter was an esteemed colleague, he was equally a dear friend. His unbridled optimism, relaxed personality, and remarkable humility endeared him to all who knew him.

We honor Peter's path-breaking research in this special issue. Its style is marked by a masterful blend of intuition, theoretical rigor, and always, empirical relevance. It influenced and inspired countless others in academics and industry, world-wide. It has four basic, and highly-intertwined, organizational themes:

1. Predictive models and their evaluation (e.g., his classic early work on evaluating the conditional calibration of interval forecasts, Christoffersen (1998), one of the International Economic Review's ten most-cited papers since its founding in 1960)

2. Financial market risk measurement and management (e.g., his celebrated text, Christofffersen (2003))

3. Asset return volatility modeling and forecasting (e.g., his survey, Andersen et al. (2013))

4. Financial derivative markets with emphasis on options (e.g., Christoffersen et al. (2009), one of his many widely-cited papers).

We humbly offer this two-part special issue as a tribute to Peter. The included papers reflect his style and interests, not only methodologically as characterized above, but also in their wide variety of substantive applications, clearly testifying to the depth and breadth of the Christoffersen legacy.

Francis X. Diebold
University of Pennsylvania

Rene Garcia
University of Montreal

Kris Jacobs
University of Houston

References
Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold (2013), "Financial Risk
Measurement for Financial Risk Management," In G. Constantinedes, M. Harris, and R.
Stulz (eds.), Handbook of the Economics of Finance, Elsevier, 1127-1220.

Christoffersen, P. (1998), "Evaluating Interval Forecasts," International Economic Review,
39, 841-862.

Christoffersen, P.F. (2003), Elements of Financial Risk Management, Academic Press.

Christoffersen, P.F., S. Heston, and K. Jacobs (2009), "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," Management Science, 55, 1914-1932.

No Hesitations Returns

It's been a long enough break -- No Hesitations is back.  I'm going to keep posts very short, Twitter style.  By the way, they get automatically posted to Twitter, so an easy way to follow the blog is simply to follow me on Twitter.  Meanwhile some humor for these crazy times:  Check out this letter, which we've all received ten times in the last month.
https://www.mcsweeneys.net/articles/a-note-from-your-university-about-its-plans-for-next-semester