Saturday, June 6, 2020

SoFiE YouTube Channel & Conditional CAPM

The conditional CAPM is alive and well; now at ultra-high (intra-day) frequencies.  Witness, for example, the first SoFiE YouTube "show" (seminar), last week: "Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk and Expected Returns," by Torben G. Andersen, Martin Thyrsgaard, and Viktor Todorov,

Things have come a long way since early GARCH work like

and early realized vol work like

For the full SoFie seminar schedule see

The seminar leader, Andrew Patton, runs a nice tight ship:  40 min presentation, 10 min discussant, 10 min Q&A keeps everyone focused and engaged.  And all seminars are recorded for later viewing.

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