This conference aims at presenting and discussing recent theoretical and empirical developments in large-scale factor models and their applications in Finance and Macroeconomics. In the last decade, empirical research in these areas has benefited from increasing availability of disaggregated data sets at the level of individual companies, financial assets, industrial sectors, etc. Factor models provide a convenient methodology to capture the dynamics of co-movements and systematic risks in such data sets with large cross-sectional and time-series dimensions.

When: October 11-12, 2013

Where: Università della Svizzera Italiana, Via Buffi 13, CH-6900 Lugano, Switzerland

Hosted by: The Faculty of Economics of the Università della Svizzera Italiana in Lugano, Switzerland

Sponsored by: The Society for Financial Econometrics (SoFiE), the Swiss Finance Institute (SFI), and Labex Louis Bachelier