ANDREW SIEGEL, University of Washington, discusses Laurent Calvet, Adlai J. Fisher and Liuren Wu's paper - Dimension-Invariant Dynamic Term Structures - during the 2nd Finance and Statistics Conference. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

ANDREW SIEGEL, University of Washington, discusses Laurent Calvet, Adlai J. Fisher and Liuren Wu's paper - Dimension-Invariant Dynamic Term Structures - during the 2nd Finance and Statistics Conference. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

Dimension-Invariant Dynamic Term Structures - LAURENT CALVET, HEC Paris, presents his paper (coauthored with Adlai J. Fisher and Liuren Wu). We develop a class of dynamic term structure models that accommodates arbitrarily many interest-rate factors with very few parameters. The model builds on a short-rate cascade, a parsimonious recursive structure that naturally ranks the latent state variables by their rates of mean reversion, each revolving around the next lowest-frequency factor. With...

Dimension-Invariant Dynamic Term Structures - LAURENT CALVET, HEC Paris, presents his paper (coauthored with Adlai J. Fisher and Liuren Wu). We develop a class of dynamic term structure models that accommodates arbitrarily many interest-rate factors with very few parameters. The model builds on a short-rate cascade, a parsimonious recursive structure that naturally ranks the latent state variables by their rates of mean reversion, each revolving around the next lowest-frequency factor. With...

AMIL DASGUPTA, London School of Economics, discusses Lubos Pastor and Robert F. Stambaugh's paper - On the Size of the Active Management Industry - during the 2nd Finance and Statistics Conference. Lubos Pastor answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

AMIL DASGUPTA, London School of Economics, discusses Lubos Pastor and Robert F. Stambaugh's paper - On the Size of the Active Management Industry - during the 2nd Finance and Statistics Conference. Lubos Pastor answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

On the Size of the Active Management Industry - LUBOS PASTOR, University of Chicago, presents his paper (coauthored with Robert F. Stambaugh). We argue that the popularity of active management is not puzzling despite the industry�s poor track record. Our model features decreasing returns to scale: as the industry's size increases, every manager's ability to outperform passive benchmarks declines. We find that the active management industry can remain large even after significantly negative...

On the Size of the Active Management Industry - LUBOS PASTOR, University of Chicago, presents his paper (coauthored with Robert F. Stambaugh). We argue that the popularity of active management is not puzzling despite the industry�s poor track record. Our model features decreasing returns to scale: as the industry's size increases, every manager's ability to outperform passive benchmarks declines. We find that the active management industry can remain large even after significantly negative...

BERNARD RAMANANTSOA, Dean of HEC Paris, addresses the audience at the 2nd HEC Finance and Statistics Conference, which was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

ALFRED GALICHON, Ecole Polytechnique, discusses Yacine Ait-Sahalia, Julio Cacho-Diaz and Roget J.A. Laeven's paper - Modeling Financial Contagion Using Mutually Exciting Jump Processes - during the 2nd Finance and Statistics Conference. Yacine Ait-Sahalia answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at...

ALFRED GALICHON, Ecole Polytechnique, discusses Yacine Ait-Sahalia, Julio Cacho-Diaz and Roget J.A. Laeven's paper - Modeling Financial Contagion Using Mutually Exciting Jump Processes - during the 2nd Finance and Statistics Conference. Yacine Ait-Sahalia answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at...

Modeling Financial Contagion Using Mutually Exciting Jump Processes - YACINE AIT-SAHALIA, Princeton University, presents his paper (coauthored with Julio Cacho-Diaz and Roget J.A. Laeven). Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a drift component,...

Modeling Financial Contagion Using Mutually Exciting Jump Processes - YACINE AIT-SAHALIA, Princeton University, presents his paper (coauthored with Julio Cacho-Diaz and Roget J.A. Laeven). Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a drift component,...

JEAN JACOD, Université Paris 6, discusses Jianqing Fan, Yingying Li and Ke Yu's paper - Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - during the 2nd Finance and Statistics Conference. Jianqing Fan answers the discussant's questions. The 2nd HEC Finance and Statistics Conference has been held on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at...

JEAN JACOD, Université Paris 6, discusses Jianqing Fan, Yingying Li and Ke Yu's paper - Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - during the 2nd Finance and Statistics Conference. Jianqing Fan answers the discussant's questions. The 2nd HEC Finance and Statistics Conference has been held on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at...

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - JIANQING FAN, Princeton University, presents his paper (coauthored with Yingying Li and Ke Yu). Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al. (2008b). The required high-dimensional volatility matrix can be estimated by using high frequency financial data....

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - JIANQING FAN, Princeton University, presents his paper (coauthored with Yingying Li and Ke Yu). Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al. (2008b). The required high-dimensional volatility matrix can be estimated by using high frequency financial data....

PAOLO ZAFFARONI, Imperial College London, discusses Veronika Czellar and Laurent Calvet's paper -Efficient Estimation of Learning Models - during the 2nd Finance and Statistics Conference. Veronika Czellar answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

PAOLO ZAFFARONI, Imperial College London, discusses Veronika Czellar and Laurent Calvet's paper -Efficient Estimation of Learning Models - during the 2nd Finance and Statistics Conference. Veronika Czellar answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.

Efficient Estimation of Learning Models - VERONIKA CZELLAR (with Laurent Calvet). This paper develops a toolkit of inference and forecasting methods for a large class of nonlinear incomplete-information models. The techniques readily apply to representative agent economies in which the state of fundamentals is latent and follows a Markov chain. Three main tools are introduced. First, we provide a convenient and efficient estimation method based on indirect inference (Gourieroux, Monfort and...

Efficient Estimation of Learning Models - VERONIKA CZELLAR (with Laurent Calvet). This paper develops a toolkit of inference and forecasting methods for a large class of nonlinear incomplete-information models. The techniques readily apply to representative agent economies in which the state of fundamentals is latent and follows a Markov chain. Three main tools are introduced. First, we provide a convenient and efficient estimation method based on indirect inference (Gourieroux, Monfort and...

Introduction of the 2nd Finance and Statistics Conference by VERONIQUE MALLERET, Deputy Dean of Faculty and Research. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.