Day 1: May 28, 2020

  • Data and realized moments
    Diego Amaya, Wilfrid Laurier University
  • Modelling the volatility
    Geneviève Gauthier, HEC Montréal
  • Estimation of stochastic volatility models
    Jean-François Bégin, Simon Fraser University

Day 2: May 29, 2020

  • Risk-neutral moment-based estimation of affine option pricing models
    Bruno Feunou, Bank of Canada
  • Estimation and filtering with big option data: Implications for asset pricing
    Kris Jacobs, Bauer College of Business, University of Houston
  • High-frequency factor models and regressions
    Ilze Kalnina, Poole College of Management, NC State University
  • Multiple testing and jump detection in high frequency data
    Olivier Scaillet, GFRI GSEM Université de Genève and Swiss Finance Institute
  • Panel discussion with participants from the industry