2016 Triangle Econometrics Conference

Sponsored by Economic Research Initiatives @ Duke (ERID).

Location: Social Sciences Building, Duke University, Durham, N.C.
Dates: December 2, 2016
Organizers: Federico Bugni and Valentin Verdier

Questions? Please contact Federico Bugni.

Event Program

9:30-10:00: Breakfast

10:00-11:00: Keynote speaker: Yacine Ait-Sahalia (Princeton), “Principal Component Analysis of High Frequency Data" (joint with D. Xiu)

11:00-11:20: Break

11:20-12:20: Session #1

  • Jia Li (Duke): “Volume, Volatility and Public News Announcements” (joint with T. Bollerslev and Y. Xue)
  • Peter R. Hansen (UNC): "Parameter Estimation with Out-of-Sample Objective" (joint with I. Dumitrescu)

12:20-1:10: Lunch: Near SS 113

1:10-2:40: Session #2

  • Denis Pelletier (NCSU): “A Stochastic Price Duration Model for Estimating High-Frequency Volatility” (joint with W. Wei).
  • Bingzhi Zhao (Duke): “An Efficient Factor from Basis Anomalies”
  • Robert Davies (Duke): “Volatility Jump Regressions”

2:40-3:00: Break

3:00-4:30: Session #3

  • Eric Ghysels (UNC): “Is Industrial Production Still the Dominant Factor for the US Economy?” (joint with E. Andreou, P. Gagliardini, and M. Rubin)
  • Fu Ouyang (Duke): “Semiparametric Estimation of Multinomial Choice Models with Rank-Order Property”
  • Luis E. Candelaria (Duke): “A Semiparametric Network Formation Model with Multiple Linear Fixed Effects"

5:30: Dinner at Rue Cler, 401 E. Chapel Hill St., Durham


Participant List

To be announced.



Conference Location: Duke Economics Department 
Social Sciences Building
419 Chapel Drive
Durham, NC 27708-0097

Interactive Duke Campus Map