Event Details

6th KoLaMaFr ‐ Workshop on Financial Econometrics

Format: 25 min presentations followed by 5-10 mins for questions and discussion

21st June 2021 ‐ Monday

Time - 09:00-09:15 hrs - Arrival on gather town

09:15-11:00 hrs - Session 1: Chair: Ingmar Nolte

1. David Happersberger (Lancaster): Combining expected shortfall and value‐at‐risk forecasts using machine learning techniques
2. Michael Grebe (Manchester): Forecasting Realized Variance with Echo State Networks
3. Gerhard Fechteler (Konstanz): Nonlinear dynamic factor modeling and estimation via autoencoding neural networks

11:00-11:15 hrs - short break ‐ drinks ‐ self‐service

11:15‐13:00 hrs - Session 2: Chair: Roxana Halbleib

1. Shifan Yu (Lancaster): Testing for Jumps in a Discretely Observed Process: An Increment Censoring Approach with Price Duration Sampling
2. Filip Basic (Lancaster): Do not fall short: estimating implementation shortfall risk
3. Jiayu Jin (Manchester): Estimating and Forecasting Long‐Horizon Dollar Return Skewness

22nd June 2021 ‐ Tuesday

Time - 09:00-09:15 hrs - Arrival on gather town

09:15 ‐ 11:00 hrs - Session 1: Chair: Winfried Pohlmeier

1. Nikos Vasilas (Lancaster): Enhanced Factor Timing
2. Christian Muecher (Freiburg): Predicting Volatility using High‐Frequency Returns and Artificial Neural Networks
3. Alexander Swade (Lancaster): When do equally weighted portfolios beat the value‐weighted

11:00-11:15 hrs - short break ‐ drinks ‐ self‐service

11:15-12:35 hrs - Session 2: Chair: Yifan Li

1. Ananthalakshmi Pallasena Ranganathan (Lancaster): Theme Identification for Thematic Investing
2. Livia Shkoza (Konstanz): Heterogeneity in Network Peer Effects

Participants & Email

• Filip Basic - f.basic@lancaster.ac.uk
• Berke Erdis - b.erdis@lancaster.ac.uk
• Gerhard Fechteler - Gerhard.Fechteler@uni‐konstanz.de
• Michael Grebe - Michael.Grebe@manchester.ac.uk
• David Happersberger - d.happersberger@lancaster.ac.uk
• Jiayu Jin - Jiayu.Jin@manchester.ac.uk
• Yifan Li - yifan.li@manchester.ac.uk
• Harald Lohre - Harald.Lohre@invesco.com
• Ekaterina Kazak - ekaterina.kazak@manchester.ac.uk
• Anastasios Kagkadis - a.kagkadis@lancaster.ac.uk
• Christian Muecher - christian.muecher@vwl.uni‐freiburg.de
• Ingmar Nolte - i.nolte@lancaster.ac.uk
• Sandra Nolte - s.nolte@lancaster.ac.uk
• Winfried Pohlmeier - winfried.pohlmeier@uni‐konstanz.de
• Nikos Vasilas - n.vasilas@lancaster.ac.uk
• Lakshmi P. Ranganathan - a.pallasenaranganathan@lancaster.ac.uk
• Mark Shackleton - m.shackleton@lancaster.ac.uk
• Livia Shkoza - livia.shkoza@hotmail.com
• Alexander Swade - a.swade@lancaster.ac.uk
• George Wang - george.wang@lancaster.ac.uk
• Shifan Yu - s.yu7@lancaster.ac.uk
• Amiran Gelantia - amiran.gelantia@vwl.uni‐freiburg.de
• Katharina Baur - katharina.baur@vwl.uni‐freiburg.de