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Risk Management Stock Return Predictability and Variance Risk Premia 14 June, 2012 - Singapore
At a special presentation in Singapore on 14 June, 2012, Tim Bollerslev, Professor of Economics and Professor of Finance at Duke University, and Affiliate Faculty Member of the EDHEC-Risk Institute PhD in Finance, will present his ongoing work on the predictability of stock returns in relation to the variance risk premium. Professor Bollerslev will explain why the relationship is not a statistical artefact, present international empirical evidence on return predictability, and introduce a “global” variance risk premium that results in strong predictability and can be related to time-varying economic uncertainty.

  • 5:45pm

  • 6:00pm
    Presentation: Stock Return Predictability and Variance Risk Premia - Statistical Inference and International Evidence
    Tim Bollerslev, Juanita and Clifton Kreps Professor of Economics and Professor of Finance at the Fuqua School of Business, Duke University and Affiliate Faculty Member of the PhD in Finance Programme, EDHEC-Risk Institute
    • The variance risk premium in relation to stock return predictability
    • Why sample biases cannot explain the phenomenon
    • New evidence from the recent financial crises and international markets
    • Introducing a “global” variance risk premium and relating it to worldwide economic uncertainty

  • 7:30pm
    Question & Answer Session

  • 8:00pm
About the Speaker

A time series econometrician of global repute, Professor Bollerslev is especially respected for his expertise in financial econometrics and empirical finance. His GARCH model has revolutionised the way academics and practitioners measure and forecast volatility. He has published widely in leading journals, including American Economic Review, Econometrica, Journal of Finance, Journal of Political Economy, and Review of Economic Studies. He is an Elected Fellow of the Econometric Society and the American Statistical Association, and he currently serves as co-editor for the Journal of Applied Econometrics.

Professor Bollerslev is the Juanita and Clifton Kreps Professor of Economics at Duke University where he also holds an appointment as Professor of Finance at the Fuqua School of Business. He has been involved with the EDHEC-Risk Institute PhD in Finance since inception, teaching elective courses on volatility modelling in the programme’s European and Asian chapters.
Event Details
  When   Between 14/06/2012 05:30 PM and 14/06/2012 09:00 PM
Where   EDHEC Risk Institute—Asia, 1 George Street, #07-02, Singapore 049145
Contact Details
  Name   Syh Jiuan NG
E-mail   syhjiuan.ng@edhec-risk.com
Phone   +65 6438 0030