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Risk Management Stock Return Predictability and Tail Risk Premia 23 January, 2014 - London, United Kingdom
At a special presentation in London on 23 January, 2014, 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, i.e. the difference between the actual and risk-neutralised expectations of the market variance.

Professor Bollerslev will introduce a decomposition of the variance risk premium into diffusive and jump risk components to investigate the sources of predictability. He will present empirical evidence based on model-free estimation procedures and underline predictability patterns for common portfolio sorts. Finally, he will relate his findings to notions of time-varying risk and risk aversion, or market fears.

Programme
  • 6:00pm
    Registration

  • 6:15pm
    Presentation: Stock Return Predictability and Tail Risk Premia
    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
    • Variance premium, equity premium and return predictability
    • Decomposing the variance risk premium into diffusive and jump components
    • Estimating the time-varying shape of the jump tail distribution
    • Uncovering strong predictability patterns in common portfolio sorts
    • Relating results to time-varying risk and risk aversion

  • 7:30pm
    Question & Answer Session

  • 8.00pm
    Reception
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 Distinguished 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 23/01/2014 06:00 PM and 23/01/2014 08:30 PM
Where   EDHEC Risk Institute—Europe, 10 Fleet Place, Ludgate, London EC4M 7RB, United Kingdom
 
Contact Details
  Name   Brigitte Bogaerts
E-mail   brigitte.bogaerts@edhec.edu
Phone  
 
Attachments
  Programme