{"id":5665,"date":"2023-10-27T13:29:16","date_gmt":"2023-10-27T11:29:16","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/?post_type=events&#038;p=5665"},"modified":"2024-02-22T09:26:20","modified_gmt":"2024-02-22T08:26:20","slug":"df-lunch-seminar-with-prof-peter-g-hansen-purdue-university","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-with-prof-peter-g-hansen-purdue-university\/","title":{"rendered":"DF Lunch Seminar with Prof. Peter G. Hansen, Purdue University"},"content":{"rendered":"\n<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\">\n<p><strong>Identification of Factor Risk Premia<\/strong><\/p>\n\n\n\n<p><strong>Language:<\/strong> English<\/p>\n\n\n\n<p><a href=\"https:\/\/www.eventbrite.fr\/e\/df-lunch-seminar-prof-peter-g-hansen-purdue-university-registration-731724446517?aff=oddtdtcreator\" target=\"_blank\" rel=\"noreferrer noopener\">Registration<\/a><\/p>\n\n\n\n<p><strong>Abstract:<\/strong><\/p>\n\n\n\n<p>This paper a develops novel statistical test of whether individual factor risk premia are identified from return data in multi-factor models. We give a necessary and sufficient condition for population identification of individual risk premia, which we call the kernel-orthogonality condition. This condition is weaker than the standard rank condition commonly assumed for linear factor models. Under misspecification, our condition ensures point identification of the risk premium with minimal pricing error. We show how to test this restriction directly in reduced-rank models. Finally, we apply our test methodology to assess identification of risk premia associated with consumption growth and intermediary leverage.<\/p>\n\n\n\n<p>The seminar will be held in place.<\/p>\n\n\n<div class=\"wp-block-unilux-blocks-spacer is-spacer-size-sm\"><\/div>\n\n\n<div class=\"wp-block-columns is-layout-flex wp-block-columns-is-layout-flex\">\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:66.66%\"><figure class=\"wp-block-dev4-reusable-blocks-image  object-fit--contain\">\n    \n<img decoding=\"async\" class=\"wp-block-image unilux-custom-image-block\"\n                alt=\"\"\n            src=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg.png\"\n                srcset=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-300x50.png 300w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-1024x172.png 1024w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-768x129.png 768w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-1536x258.png 1536w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg.png 1920w\"\n                style=\"object-position: 0.00% 0.00%; font-family: &quot;object-fit: contain; object-position: 0.00% 0.00%;&quot;; aspect-ratio: 16\/9; object-fit: contain; width: 75%;\"\n        loading=\"lazy\"\n\/>    <\/figure><\/div>\n\n\n\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:33.33%\"><div class=\"wp-block-unilux-blocks-spacer is-spacer-size-sm\"><\/div>\n\n\n<p><em><strong>Supported by the Luxembourg National Research Fund (FNR) (<em>2022\/17573036<\/em><\/strong><\/em>)<\/p>\n<\/div>\n<\/div>\n<\/div><\/section>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":47,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2023-11-09 12:15:00","event_end_date":"2023-11-09 13:30:00","event_speaker_name":"Prof. Peter G. Hansen, Purdue University","event_speaker_link":"","event_is_online":false,"event_location":"University of Luxembourg, JFK Building, Room Nancy, 29, avenue J.F. Kennedy\n","event_street":"","event_location_link":"","event_zip_code":"1855 ","event_city":"Luxembourg","event_country":"Luxembourg"},"events-topic":[],"events-type":[],"organisation":[101],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>DF Lunch Seminar with Prof. Peter G. 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