OMI-SoFiE Financial Econometrics Summer School, 30 July – 3 August 2012

The OMI-SoFiE Financial Econometrics Summer School is an annual week long research based course for Ph.D. students and new faculty in financial econometrics.  Each year it takes place at Oxford University’s Oxford-Man Institute in partnership with the Society for Financial Econometrics. The editorial board for this annual series is made up of Professors Francis X. Diebold (President of SoFiE), Eric Ghysels (Secretary of SoFiE and past President), Eric Renault (editor of the Journal of Financial Econometrics) and Neil Shephard (founding director of OMI, 2007-2011). 

The inaugural 2012 lecturers were:

Professor Francis X. Diebold (University of Pennsylvania) and Professor Peter Christoffersen (University of Toronto) on

"New Directions in the Financial Econometrics of Volatility, Correlation, and Option Price Dynamics."

Electronic copies of the lecture slides can be found below.

Start date:
Monday, July 30, 2012 - 12:00
End date:
Friday, August 3, 2012 - 13:00