Date: Aug.17^th, 2019

Time: 9:00-10:30

Speaker: Torben Andersen

Venue: Room 236, School of Economics, Yuquan Campus

[Speaker Intro]

Torben Andersen is the Nathan S. and Mary P. Sharp Professor of Finance. He was elected Fellow of the Econometric Society in 2008, and Fellow of the Society for Financial Econometrics, SoFiE, in 2013, and Fellow of the Society for Economic Measurement (SEM) in 2018. He served as Chair of the Finance Department for the period 2015-2017. Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management. He served as the editor-in-chief for the Journal of Business and Economic Statisticsin 2004-2006, Co-Editor for the Journal of Financial Econometricsin 2009-2014, and has served on the editorial board of leading journals, including the Journal of Finance, Review of Financial Studies, Econometric Theory, and Management Science.