Factors identification of stochastic volatility models in a high-frequency framework
Simona Sanfelici (University of Parma, Italy)
- TI Finance Research Seminars
Simona Sanfelici (University of Parma, Italy)
Amit Goyal (University of Lausanne, Switzerland)
Henrik Cronqvist (University of Miami, United States)
Per Mykland (The University of Chicago, United States)
Nicola Gennaioli (Bocconi University, Italy)
Oguzhan Ozbas (University of Southern California, United States)
Jules van Binsbergen (University of Pennsylvania, United States)
Marco Pagano (University of Napels, Italy)
Albert (""Pete"") Kyle (University of Maryland, United States0
Martijn Cremers (University of Notre Dame, United States)
Richard Sias (The University of Arizona, United States)
Dimitri Vayanos (London School of Economics, United Kingdom)
Leonid Kogan (MIT, United States)
Kai Li (University of British Columbia, Canada)
Dong Lou (London School of Economics, United Kingdom)
Lasse Pedersen (Copenhagen Business School, Denmark)
Ralph de Haas (European Bank for Reconstruction and Development, United Kingdom)
Artashes Karapetyan (Norges Bank, Norway)
Per Stromberg (Stockholm School of Economics, Sweden)
Andrew Patton (Duke University, United States)