Factor Models and Financial Econometrics II

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Peter Boswijk Cisil Sarisoy Juan Carlos Arismendi-Zambrano Dennis Umlandt	Contributed Sessions	27/08	16:00 CEST	90 mins	Dennis Umlandt	Zaal Franeker (M1-07)	Add to Calendar `2024-08-27 16:00:00 2024-10-18 10:54:54 EEA-ESEM 2024: Factor Models and Financial Econometrics II. Room: Zaal Franeker (M1-07) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public`

Presenter(s)	Peter Boswijk Cisil Sarisoy Juan Carlos Arismendi-Zambrano Dennis Umlandt
Type	Contributed Sessions
Date	27/08
Time	16:00 CEST
Length	90 mins
Chair	Dennis Umlandt
Room Number	Zaal Franeker (M1-07)
Add to calendar	Add to Calendar `2024-08-27 16:00:00 2024-10-18 10:54:54 EEA-ESEM 2024: Factor Models and Financial Econometrics II. Room: Zaal Franeker (M1-07) EEA-ESEM 2024 congress@eeassoc.org Europe/Rome public`

Papers

(Listed in order of presenters above)

Characteristic function-based factor modelling of affine jump diffusions using options

Linear Factor Models and the Estimation of Expected Returns

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Moment Conditions and Time-Varying Risk Premia

Characteristic function-based factor modelling of affine jump diffusions using options

Linear Factor Models and the Estimation of Expected Returns

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Moment Conditions and Time-Varying Risk Premia