Full program (Short version of our program can be found below)  

Identyfikacja wizualna SGHECONOMETRIC RESEARCH IN FINANCE WORKSHOP 2020
SGH WARSAW SCHOOL OF ECONOMICS, SEPTEMBER 18, 2020

TIME

SESSIONS

CET 10:00

Opening session

CET 10:15-11:00

Chicago
 03:15-04:00

Beijing
16:15-17:00

PART ONE

 

Session 1: Modelling uncertainty, Chair: Paweł Miłobędzki (University of Gdańsk)

Presentation: Lost in translation? Country-specific uncertainty, sentiments and machine learning, Wojciech Charemza (Vistula University), Svetlana Makarova (University College London), Krzysztof Rybiński (Vistula University)

Discussion: Paweł Baranowski (University of Lodz)

 

CET 11:00-11:15

Coffee break

CET 11:15-12:45

Chicago
 04:15-05:45

Beijing
17:15-18:45

Session 2a: Asset Pricing,

Chair: Andreas Stephan

Session 2b: Modelling volatility,

Chair: Anna Zamojska

Session 2c: Monetary policy,

Chair: Mariusz Górajski

Session 2d: Macro-financial links,
Chair: Janusz Brzeszczyński

Presentation: Arseny Gorbenko (University of New South Wales), “Segmented short sellers and predictable market returns”

Discussion: Maziar Sahakhadam

 

Presentation: Jianxin Wang (University of Technology Sydney), “Volatility Persistence as a New Channel for Global Impact on Local Volatility”

Discussion: Dmitry Malakhov

Presentation: Ivan Hajdukovic (University of Barcelona), “Transmission Mechanisms of Conventional and Unconventional Monetary Policies in Open Economies”

Discussion: Zbigniew Kuchta

Presentation: Michał Rubaszek (Warsaw School of Economics) “Forecasting crude oil prices with DSGE models”

Discussion: Amat Adarov

Presentation: Pawel Fiedor

(Central Bank of Ireland), “Information and liquidity linkages in ETFs and underlying markets”

Discussion: Arseny Gorbenko

 

Presentation: Dmitry Malakhov (National Research University Higher School of Economics), Andrei Kostyrka (University of Luxembourg) “The good, the bad, and the asymmetric: Evidence from a new conditional density model”

Discussion: Anna Zamojska

 

Presentation: Jakub Rybacki (SGH Warsaw School of Economics), “Are Central Banks Research Teams Fragile Because of Groupthink?”

Discussion: Ivan Hajdukovic

Presentation: Amat Adarov (Vienna Institute for International Economic Studies) “Financial Cycles in Europe: Dynamics, Synchronicity and Implications for Business Cycles and Macroeconomic Imbalances”

Discussion: Janusz Brzeszczyński

Presentation: Maziar Sahakhadam (Linnaeus University), Andreas Stephan (Jönköping University), Ralf Ostermark (Åbo Akademi Turku) “Copula-based Black-Litterman Portfolio Optimization”

Discussion: Pawel Fiedor

 

Presentation: Anna Zamojska (University of Gdansk) “Green bonds: Co-movement and risk premium spillover effects in selected financial markets”

Discussion: Jianxin Wang

Presentation: Mariusz Górajski, Zbigniew Kuchta, Agnieszka Leszczyńska-Paczesna (University of Lodz) “Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of the Polish economy”

Discussion: Jakub Rybacki

 

Presentation: Janusz Brzeszczyński (Northumbria University), Jerzy Gajdka, (University of Lodz), Tomasz Schabek (University of Lodz), Ali Kutan (Southern Illinois University) “Central Bank's Communication and Markets Reactions: Polish Evidence”

Discussion: Michał Rubaszek

 

CET 12:45-13:25

Lunch break

CET 13:25-14:15

Chicago
 06:25-07:15

Beijing
19:25-20:15

Session 3A: Asset pricing

Chair: Maziar Sahamkhadam

Session 3B: Modeling volatility

Chair: Marius Matei

Session 3C: Monetary policy and credit risk

Chair: Pavel Gertler

Session 3D: Macro-financial links

Chair: Camilla Jensen

Presentation: Jamilu Said Babangida (Ahmadu Bello University) “Nonlinearity in Stock Exchange Markets: The Case of Emerging Markets Indices”

Presentation: Luca Bagato (Catholic University of S.H, Piacenza) “Reflexivity and Interactions in Modern Financial Markets: The case of Volatility Indices”

Presentation: Marek Kwas (SGH), Karol Szafranek (SGH), Grzegorz Szafrański (Koźmiński University), Zuzanna Wośko (SGH Warsaw School of Economics) “Credit risk of shale companies”

 

Presentation: Piotr Wdowiński (University of Łódź) "Optimal capital requirements in the Polish banking sector"

Presentation: Monday Osagie Adenomon (Nasarawa State University), Ngozi G. Emenogu (Federal Polytechnic Bida) “Double-Edged sword of global financial crisis and covid-19 pandemic on crude oil futures returns”

 

Presentation: Marius Matei (National Bank of Romania) “Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach”

 

Presentation: Marek Bojko (Uni Cambridge), Pavel Gertler

 (National Bank of Slovakia) “Letting the cat out of the bag: Mining ECB’s ad-hoc communication”

 

Presentation: Camilla Jensen (Roskilde University) "How valid are common indicators of political risk used in IB research and practice?"

Presentation: Maziar Sahamkhadam (Linnaeus University) “Dynamic Copula-based Expectile Portfolios”

 

Presentation: Olga Kutera (Cracow University of Economics) “Fine wine in risk minimizing portfolios”

 

 

 

CET 14:15-14:30

Coffee break

CET 14:30-15:15

Chicago
 07:30-08:15

Beijing
20:30-21:15

PART TWO

 

Session 4: Predicting stock returns,  Chair: Krzysztof Jajuga (Wroclaw University of Economics)

Presentation: Zheng Tracy Ke (Harvard University), Bryan Kelly (Yale University), Dacheng Xiu (University of Chicago), “Predicting Returns with Text Data”

Discussion: Wojciech Charemza (Vistula University)

 

CET 15:15-16:45

Chicago
 08:15-09:45

Beijing
21:15-22:45

Session 5a: Return predictability

Chair: Victor Troster

Session 5b: Machine learning

Chair: Andrea Flori

Session 5c: Monetary policy

Chair: Marfatia Hardik

Session 5d: Systemic risk

Chair: Gazi Salah Uddin

Presentation: Cleiton G. Taufemback (Universidade Federal do Rio Grande do Sul), Victor Troster (Universitat de les Illes Balears),  Muhammad Shahbaz (Beijing Institute of Technology) “A Robust Test for Monotonicity in Asset Returns”

Discussion: David Rakowski

 

Presentation: Piotr Zegadło (Kozminski University), “Predictive modelling of the log range volatility estimator for an exchange rate”

Discussion: Jiří Kukačka

 

Presentation: Mercedesz Meszaros (University of Szeged),

Dóra Sallai (University of Szeged), Gábor Dávid Kiss (University of Szeged) “Can market making of last resort calm the European stock markets? The result of quantile regressions on a sample of six European countries.”

Discussion: Pavel Gertler

 

Presentation: Axel Hedström (Linkoping University), Md Lutfur Rahman (Newcastle Business School), Gazi Salah Uddin (Linkoping University), Victor Troster (Universitat de les Illes Balears), “Systemic risk network in the European banking sector”

Discussion: Ophélie Couperier

 

Presentation: Jie Ying (Southern Illinois University) “Institutional Trading on Information Diffusion across Fundamentally Related Firms”

Discussion: Victor Troster

Presentation: Andrea Flori (Politecnico di Milano), Daniele Regoli (Intesa Sanpaolo) “Revealing Pairs-Trading Opportunities with Long Short-Term Memory Networks”

Discussion: Piotr Zegadło

 

Presentation: Paweł Baranowski (University of Lodz), Wirginia Doryń (University of Lodz),  Tomasz Łyziak (Narodowy Bank Polski), Ewa Stanisławska (Narodowy Bank Polski) “Words and deeds in managing expectations: empirical evidence on an inflation targeting economy”

Discussion: Marfatia Hardik

 

Presentation: Federico Daniel Forte (BBVA Research Argentina) “Network Topology of the Argentine Interbank Money Market”

Discussion: Gazi Salah Uddin

 

Presentation: David Rakowski (University of Texas), Ehab Yamani (Chicago State University) “Revisiting the relationship between mutual fund flow and performance: An instrumental variable approach”

Discussion: Jie Ying

Presentation: Jiří Kukačka (UTIA AV CR) “Machine learning extension of the simulated method of moments for estimation of agent-based models”

 

Presentation: Marfatia Hardik

 (Northeastern Illinois University) “Is the future really observable? A practical approach to model monetary policy rules”

Discussion: Gábor Dávid Kiss

 

Presentation: Sylvain Benoit, (Paris Dauphine University), Ophélie Couperier (ENSAE-CREST), Jérémy Leymarie (University of Vienna), Olivier Scaillet (University of Geneva) “Comparing and Evaluating Systemic Risk Models”

Discussion: Federico Daniel Forte

 

CET 16:45-17:00

Coffee break

CET 17:00-19:00

Chicago
 10:00-12:00

Beijing
23:00-01:00+1

Session 6a: Asset pricing

Chair: Robert Korajczyk

Session 6b: Modeling volatility

Chair: Arpita Mukherjee

Session 6c: Microeconomic analyses

Chair: Oleksandr Talavera

Session 6d: Macro-financial links

Chair: Michał Rubaszek

Presentation: Torben G. Andersen (Northwestern University), Martin Thyrsgaard (Northwestern University), Viktor Todorov (Northwestern University) “Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk and Expected Returns”

Presentation: Arpita Mukherjee

 (Rutgers University) “How Relevant is Volatility Density Forecasting? Evidence from Empirical Finance”

Discussion: Piotr Dybka

 

Presentation: Oleksandr Faryna (National Bank of Ukraine), Tho Pham (University of Reading), Oleksandr Talavera (University of Birmingham), Andriy Tsapin (National Bank of Ukraine) “Wage Setting and Unemployment: Evidence from Online Job Vacancy Data”

Discussion: Nora Marija Laurinaityte

 

Presentation: Carlos Madeira (Central Bank of Chile) “The impact of the Social Explosion of 2019 and the Covid 2020 pandemic on firms and households in Chile”

Discussion: Sylwester Kozak

 

Presentation: Bartosz Gebka (Newcastle University), Sze-Nie Ung (Newcastle University), Robert D. J. Anderson (Newcastle University) “Bad Beta and Good Beta Revisited: Rational and Irrational Expectations”

Discussion: Torben G. Andersen

 

Presentation: Viktor Todorov (Northwestern University), Yang Zhang (The Options Clearing Corporation, Chicago) “Information Gains from using Short-Dated Options for Volatility Measurement, Forecasting and Management”

Discussion: Arpita Mukherjee

 

Presentation: Bruce Carlin (Rice University), Tarik Umar (Rice University), Hanyi Yi (Rice University) “Deputizing Wall Street to Fight Elder Abuse”

Discussion: Ivan Stetsyuk

 

Presentation: Sylwester Kozak, (Warsaw University of Life Sciences), Agata Wierzbowska (Kobe University) “Does the banking market concentration drive bank efficiency?”

Discussion: Karol Szafranek

 

Presentation: Rajeev R. Bhattacharya (Johns Hopkins University) “Market Efficiency, Short Sales Costs & Constraints, and Trading Volume”

Discussion: Robert A Korajczyk

 

Presentation: Marcin Fałdziński (Nicolaus Copernicus University), Piotr Fiszeder, (Nicolaus Copernicus University) Peter Molnár (University of Stavanger) “Improving volatility forecasts: Evidence from Range-Based models”

Discussion: Viktor Todorov

 

Presentation: Nora Marija Laurinaityte (Bank of Lithuania) “Understanding Differences in Stock Market Participation: Networks Matter”

Discussion: Hanyi Yi

 

Presentation: Maximillian Littlejohn (University of California, Irvine) “Effects of Sector-Specific Credit Supply Shocks on the U.S. Economy”

Discussion: Carlos Madeira

 

Presentation: Gregory Connor (Maynooth University), Robert A Korajczyk (Northwestern University) “Semi-strong factors in asset returns”

Discussion: Bartosz Gebka

 

Presentation: Piotr Dybka (Warsaw School of Economics) “One model or many? Exchange rates determinants and their predictive capabilities.”

Discussion: Piotr Fiszeder

Presentation:

Maher Kooli, Ivan Stetsyuk (University of Quebec in Montreal), “Are Hedge Fund Managers Skilled?”

Discussion: Oleksandr Faryna

Presentation: Michał Rubaszek (Warsaw School of Economics) Karol Szafranek (Warsaw School of Economics), Gazi Salah Uddin (Linköping University) “The dynamics and elasticities on the U.S. natural gas market. A Bayesian Structural VAR analysis.”

Discussion: Maximillian Littlejohn

 

CET 19:00-19:15

Coffee break

CET 19:15-20:00

Chicago
 12:15-13:00

Beijing
01:15+1-02:00+1

Session 7: Modeling stock returns

Chair: Piotr Wdowiński (University of Łódź)

Presentation: Shumiao Ouyang (Princeton University), Jiaheng Yu (MIT Sloan), Ravi Jagannathan (Northwestern University), “Life Cycle Cash Flows of Ventures”

Discussion: Dacheng Xiu (University of Chicago)

 

CET 20:00

Closing session

 

* presenting person denoted in bold

 

Short program (full version of our program can be found above)

 

Room A

Room B

Room C

Room D

CET 10:15-11:00

Chicago
 03:15-04:00

Beijing
16:15-17:00

Session 1: Modelling uncertainty,

Chair: Paweł Miłobędzki

 

 

 

CET 11:15-12:45

Chicago
 04:15-05:45

Beijing
17:15-18:45

Session 2a:
Asset Pricing
,

Chair: Andreas Stephan

Session 2b:
Modelling volatility
,

Chair: Anna Zamojska

Session 2c:
Monetary policy
,

Chair: Mariusz Górajski

Session 2d:
Macro-financial links
,

Chair: Janusz Brzeszczyński

CET 13:25-14:15

Chicago
 06:25-07:15

Beijing
19:25-20:15

Session 3A:
Asset pricing

Chair: Maziar Sahamkhadam

Session 3B:
Modeling volatility

Chair: Marius Matei

Session 3C:
Monetary policy and credit risk

Chair: Pavel Gertler

Session 3D:
Macro-financial links

Chair: Camilla Jensen

CET 14:30-15:15

Chicago
 07:30-08:15

Beijing
20:30-21:15

Session 4:
Predicting stock returns
,  

Chair: Krzysztof Jajuga

 

 

 

CET 15:15-16:45

Chicago
 08:15-09:45

Beijing
21:15-22:45

Session 5a:
Return predictability

Chair: Victor Troster

Session 5b:
Machine learning

Chair: Andrea Flori

Session 5c:
Monetary policy

Chair: Marfatia Hardik

Session 5d:
Systemic risk

Chair: Gazi Salah Uddin

CET 17:00-19:00

Chicago
 10:00-12:00

Beijing
23:00-01:00+1

Session 6a:
Asset pricing

Chair: Robert Korajczyk

Session 6b:
Modeling volatility

Chair: Arpita Mukherjee

Session 6c: Microeconomic analyses

Chair: Oleksandr Talavera

Session 6d:
Macro-financial links

Chair: Michał Rubaszek

CET 19:15-20:00

Chicago
 12:15-13:00

Beijing
01:15+1-02:00+1

Session 7:
Modeling stock returns

Chair: Piotr Wdowiński