Starts in a few hours! Program looks great. Hard to script a better day.
Registration and program at :
2021 SoFiE Machine Learning Virtual Conference
Eric Ghysels, UNC Chapel Hill
Bryan Kelly, Yale University
Dacheng Xiu, University of Chicago
March 5, 2021
10:00 AM: Introduction
Session 1: Chair Eric Ghysels
10:10 – 10:55 Mispricing and uncertainty in international markets, Mirela Sandulescu and Paul Schneider
Discussant: Rohit Allena
11:00 – 11:45 A penalized two-pass regression to predict stock returns with time-varying risk premia, Gaetan Bakalli, Stephane Guerrier and Olivier Scaillet
Discussant: Paolo Zaffaroni
Session 2: Chair Bryan Kelly
1:00 – 1:45 The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data, Yucheng Yang, Yue Pang, Guanhua Huang and Weinan E
Discussant: Phillipe Goulet Coulombe
1:50 – 2:35 On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates, Francis X. Diebold, Minchul Shin, Boyuan Zhang
Discussant: Allan Timmermann
Session 3: Chair Dacheng Xiu
2:45 – 3:30 High-Frequency Expectations from Asset Prices: A Machine Learning Approach, Aditya Chaudhry and Sangmin S. Oh
Discussant: Jonathan Wright
3:35 – 4:20 High-Dimensional Granger Causality Tests with an Application to VIX and News, Andrii Babii, Eric Ghysels and Jonas Striaukas
Discussant: Markus Pelger
4:20 – 4:30 Conclusion
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