Financial Econometrics

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Ingmar Nolte Jeroen Dalderop Anastasija Tetereva Michel van der Wel	Contributed Sessions	24/08	16:00 CEST	90 mins	Michel van der Wel	E2.08	Add to Calendar `2022-08-24 16:00:00 2022-08-24 17:30:00 EEA-ESEM 2022: Financial Econometrics. Room: E2.08 EEA-ESEM 2022 congress@eeassoc.org Europe/Rome public`

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Papers

(Listed in order of presenters above)

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

Semiparametric Estimation of Latent Variable Asset Pricing Models

A forest full of HAR models

Presentations

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

Semiparametric Estimation of Latent Variable Asset Pricing Models

A forest full of HAR models

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