Brussels SoFiE Summer School 2018

June 04, 2018

June 08, 2018

4 days


National Bank of Belgium

The 2018 SoFiE Financial Econometrics School will be held in Brussels on June 4-8, 2018. This year's topic is Big Data in Macroeconomics and Finance.

SoFiE Financial Econometrics School

The SoFiE Financial Econometrics School is an annual week-long research-based course for Ph.D. students and new faculty in financial econometrics. For the first two years it was held at Oxford University’s Oxford-Man Institute and in 2014 it has moved to Harvard University. In 2015 and 2016, it was held in Brussels. In 2017 it was held in Bruxelles and at Northwestern University.

The editorial board for these annual series is made up of Professors Torben Andersen (Northwestern), Luc Bauwens (Catholic University of Louvain), Francis X. Diebold (University of Pennsylvania, past President of SoFiE), Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE), Ravi Jagannathan (Northwestern and President SoFiE), Per Mykland (University of Chicago and President-Elect SoFiE), Eric Renault (Brown University and past SoFiE President), Neil Shephard (Harvard University) and Viktor Todorov (Northwestern).

Confirmed lecturers

  • Domenico Giannone (Federal Reserve of New York)
  • Professor Giorgio Primiceri (Northwestern University)


  • Curse of dimensionality: the symptoms
    • parameter uncertainty,
    • overfitting,
    • poor forecasting accuracy.
  • Curse of dimensionality: the cures
    • principal components,
    • ridge and lasso regressions, and other regularization techniques
  • Dynamic factor models and their connection with principal components
  • Introduction to Bayesian inference
  • Priors and their connection with regularization techniques
  • Multivariate models and Bayesian Vector Autoregressions
  • Applications in macroeconomics and finance:
    • Macroeconomic Nowcasting
    • Forecasting in Macroeconomic and Finance
    • Portfolio Selection
    • Term Structure models
    • Scenario Analysis
    • Monetary Policy Transmission
    • Long Horizon Forecasts

Practical Information


There will be three hours of lectures a day, starting after registration at 2:00 p.m. on Monday, June 4, and finishing at 12:00 p.m. on Friday, June 8. There will also be afternoon sessions for presentations by participants of their own work on Tuesday-Wednesday-Thursday. The speakers will participate to these afternoon sessions.


National Bank of Belgium (Room A)
Rue Montagne aux Herbes Potagères/Warmoesberg 61
1000 Brussels

Call for Applicants

Applications should be sent to (with the words "SoFiE School 2018" in the subject box). The applications should include a full CV and motivation letter of half a page explaining why attending this course would be helpful to the applicant’s research work. The application deadline is 15 April 2018. Decisions will be emailed out by 24 April 2018.

Paper Presentations

Applicants are strongly encouraged to present some of their thesis work during the afternoon sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. Priority in admission to the school will be given firstly to applicants who submit an acceptable paper, secondly to those who submit an acceptable abstract, thirdly to other. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.


250 euros for Ph. D. students and faculty members attending this course.

800 euros for Ph.D. level colleagues from other institutions.

Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).

All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See on how to join the society (where a student membership option is available).

Travel accommodation costs

People attending will be required to pay their own travel and accommodation. No assistance will be offered in this respect. During the teaching schedule (Monday-Friday) at the National Bank of Belgium, lunch, coffee and tea will be provided free of charge. A free social event based on beer tasting will be organized during the week after teaching on one day where students and faculty can meet informally. Evening meals will not be organized and will be at the expense of the participants.

Organizing Committee

Luc Bauwens (UCL), Kris Boudt (VUB), Geert Dhaene (KU Leuven), Christophe Croux (KU Leuven), Leonardo Iania (UCL), Raf Wouters (NBB).


Center for Operations Research and Econometrics (CORE), FINS@VUB, Fondation Louvain, KU Leuven, Louvain Finance, National Bank of Belgium, TreeTop AM.

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