June 04, 2018
June 08, 2018
4 days
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)
Topics
- Big data and the curse of dimensionality in macroeconomics and finance: Sympthoms and cures.
- Principal components, ridge and lasso regressions, and other regularization techniques.
- Multivariate models: Dynamic factor models and their connection with principal components.
- A brief introduction to Bayesian inference.
- Priors and their connection with regularization techniques.
- Selection of regularization parameter/prior tightness: Model comparison and model choice.
- Multivariate models: VARs and Bayesian VARs.
- Unconditional, conditional forecasts and scenario analysis
Program
- Click here to download the program (last updated on May 25, 2018)
- Click here to download the syllabus
Practical Information
Format
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.
Venue
National Bank of Belgium (Room A)
Rue Montagne aux Herbes Potagères/Warmoesberg 61
1000 Brussels
Call for Applicants
Applications should be sent to leonardo.iania@uclouvain.be (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. Upon acceptance, you will need to fill the registration form.
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.
Registration Fees
- Free for members of the organizing institutions.
- €250 for Ph. D. students and faculty members attending this course.
- €800 for Ph.D. level colleagues from other institutions.
All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed. See http://sofie.stern.nyu.edu/membership on how to join the society (where a student membership option is available).
Fees can either be paid by:
- Paypal (please refer to the bottom of the page for the payment form) or
- Bank transfer:
- Please send an email to Anne-Marie Pessleux with mentioning your name, invoicing address and the amount you need to pay so that we can send you an invoice.
- Proof of payment need to be sent in due time to Anne-Marie Pessleux
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).
Sponsors
Center for Operations Research and Econometrics (CORE), FINS@VUB, Fondation Louvain, KU Leuven, Louvain Finance, National Bank of Belgium, TreeTop AM.