In this session, chaired by Bruno Dupire, Nobel Prize winner Robert F. Engle will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics. 

NOTE: This event will take place at our 120 Park Avenue location.

Geopolitical events may impact volatilities of all asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and asset classes and therefore can be used to forecast or hedge geopolitical risks. The paper develops a statistical model of a Geopolitical Volatility Factor or GPVF, based on the standardized residuals from a factor model with GARCH style residuals. A test for GPVF is developed with estimation algorithms. These are applied to 9 ETFs of sectors of the US and to 45 MSCI country ETFs. The model has asset pricing implications for hedging geopolitical risks.

• 5:00pm – Check-in
• 5:30pm – Keynote:
  Robert F. Engle, New York University Stern School of Business
• 6:15pm – Lightning talks:
  A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
• 7:00pm – Cocktail reception

Bloomberg L.P.
120 Park Avenue
22 MPR
New York, NY 10017
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