› Forecasting the Realized Variance in the Presence of Intraday Periodicity - Ana-Maria Dumitru, Deutsche Bundesbank, University of Surrey
14:30-15:00 (30min)
› Testing for intensity jumps conditional on information arrivals - Deniz Erdemlioglu, IÉSEG School Of Management
15:00-15:30 (30min)
› Realized Variance Models: estimation, selection, evaluation and the long memory argument - Alessandro Palandri, Dublin City University Business School
15:30-16:00 (30min)
14:30 - 16:00 (1h30)
VaR and ES
Room 21
Ophélie Couperier
› Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles - Yannick Hoga, University of Duisburg-Essen
14:30-15:00 (30min)
› Encompassing Tests for Higher-Order Elicitable Functionals - Timo Dimitriadis, Universität Konstanz
15:00-15:30 (30min)
› Multi-period and higher-order moment downside risk-attribution of data-driven portfolio strategies - Nabil Bouamara, KU Leuven, Vrije Universiteit Brussel
14:30-15:00 (30min)
› Is it Worth Investing in Hedge funds? Optimal portfolios with Regime-Switching - Alfonso Valdesogo, THEMA, Université de Cergy-Pontoise
15:00-15:30 (30min)
› Diversifying Trends - Charles Chevalier, University Paris-Dauphine
15:30-16:00 (30min)
› Deep Hedging for Non-linear Affine Processes - Ernst Emanuel Rapsch, Freiburg Institute for Advanced Studies, Humboldt Universität zu Berlin
16:30-17:00 (30min)
› SMART-SDFs - Alberto Quaini, University of Geneva
17:00-17:30 (30min)
16:30 - 17:30 (1h)
Copulas
Room 21
Sangwon Lee
› Contagion in Subprime Mortgage Defaults: A Composite Likelihood Copula Approach - mi Lim Kim, University of Cergy Pontoise
16:30-17:00 (30min)
› Measuring Systemic Risk with Non-Exchangeable Copulas - Sangwon LEE, Théorie économique, modélisation et applications
17:00-17:30 (30min)
16:30 - 17:30 (1h)
Modelling
Amphithéâtre
Genaro Sucarrat
› Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems - Gilles de Truchis, EconomiX
16:30-17:00 (30min)
› Volatility Estimation of Thinly Traded Assets - Sucarrat Genaro, BI Norwegian Business School
17:00-17:30 (30min)
› Productivity and Finance: The Intangible Assets Channel - axelle arquie, Centre d\'études prospectives et d'informations internationales
09:00-09:30 (30min)
› Banks and Sovereigns: Did adversity bring them closer? - Lisa Sheenan, Queens University Belfast
09:30-10:00 (30min)
› Compound Returns - Erik Hjalmarsson, University of Gothenburg
10:00-10:30 (30min)
9:00 - 10:30 (1h30)
Liquidity
Amphithéâtre
Serge Darolles
› Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies - Amine RABOUN, Université Paris-Dauphine, PSL Research University
09:00-09:30 (30min)
› Is Liquidity Risk Priced in Partially Segmented Markets? - Hugues Langlois, Ecole des Hautes Etudes Commerciales
09:30-10:00 (30min)
› Bivariate INAR Processes with Application to Mutual Fund Flows - serge darolles, Dauphine Recherches en Management
10:00-10:30 (30min)
9:00 - 10:30 (1h30)
Factors
Room 24
Pedro Valls Pereira
› Sequential Estimation of Multivariate Factor Stochastic Volatility Models - Christian Mücher, University of Konstanz
09:00-09:30 (30min)
› A regularized structural factor-augmented vector autoregressive model - Julie Schnaitmann, University of Konstanz
09:30-10:00 (30min)
› Forecasting conditional covariance matrices in high-dimensional data using the general dynamic factor model - Pedro Valls Pereira, Sao Paulo School of Economics - FGV
10:00-10:30 (30min)
› Estimating Realized Variance: An Intrinsic Time Approach - Sina Streicher, Swiss Economic Institute KOF, ETH Zürich
11:00-11:30 (30min)
› Variation and Efficiency of High-Frequency Betas - George Tauchen, Duke University
11:30-12:00 (30min)
› Does the Random Walk Assumption Hold in High Frequency Prices? - Shuping Shi, Macquarie University
12:00-12:30 (30min)
11:00 - 12:30 (1h30)
Options
Room 24
Lars Stentoft
› Common Factors in Equity Option Returns - Xiao Xiao, Erasmus University Rotterdam
11:00-11:30 (30min)
› Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures - Christophe Chorro, Centre d\'économie de la Sorbonne
11:30-12:00 (30min)
› Option Pricing with Conditional GARCH Models - Lars Stentoft, University of Western Ontario
12:00-12:30 (30min)
› When are wavelets useful forecasters? - Ege Yazgan, Isatnbul Bilgi University - Ramazan Gencay, Simon Fraser University
14:00-14:30 (30min)
› Generic Conditions for Forecast Dominance - Fabian Krueger, Heidelberg University
14:30-15:00 (30min)
› The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons. - Guillaume Chevillon, ESSEC Business School
15:00-15:30 (30min)
14:00 - 15:30 (1h30)
News and Macroeconomic shocks
Room 21
Marcello Pericoli
› Application of Multivariate Hawkes Graphs to Uncover Granger Causality of Financial News - Anastasija Tetereva, University of St. Gallen
14:00-14:30 (30min)
› Standing at attention: The impact of FOMC press conferences on asset prices - Jonas Nygaard Eriksen, Aarhus University
14:30-15:00 (30min)
› On risk factors of the stock-bond correlation - Marcello Pericoli, Banca d'Italia
15:00-15:30 (30min)
14:00 - 15:30 (1h30)
Bubbles and Non-causal models
Room 24
Frédérique Bec
› Forecasting bubbles with mixed causal-noncausal autoregressive models. - Elisa Voisin, Maastricht University
14:00-14:30 (30min)
› Trouble with the bubble? Risk management in an explosive environment - Christoph Wegener, Leuphana Universität Lüneburg, IPAG Business School
14:30-15:00 (30min)
› Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing - Frédérique Bec, Centre de Recherche en Économie et Statistique, Théorie économique, modélisation et applications
15:00-15:30 (30min)
› A Meta-analysis of Systemic Risk Measures for gauging Financial Stability - Jean-Charles Garibal, Laboratoire d'économie d'Orleans
09:30-10:00 (30min)
› Competition, Fast Growth and Commercialization: Systemic Credit Risk in Microcredit Markets - Didier Juste, THEMA, Université de Cergy-Pontoise
10:00-10:30 (30min)
› Systemic Risk and Centrality Revisited: The Role of Interactions - Hossein Asgharian, Lund University
10:30-11:00 (30min)
9:30 - 10:30 (1h)
Options and Commodities
Room 21
Florian Ielpo
› Predictive regressions in commodity markets - Jean-baptiste Bonnier, Institut d\'Économie et de Management de Nantes - Institut dÁdministration des Entreprises - Nantes
09:30-10:00 (30min)
› Gold as an Implied Dividend - florian ielpo, Université Paris 1
10:00-10:30 (30min)
9:30 - 11:00 (1h30)
Volatility and Jumps
Amphithéâtre
Yves Robinson Kruse
› Variance swap payoff, risk premia and extreme market conditions - Francesco Violante, Centre de Recherche en Économie et Statistique
09:30-10:00 (30min)
› Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure - Luca Margaritella, Maastricht University
10:00-10:30 (30min)
› Testing the marginal distribution in time-varying location-scale models - Yves Robinson Kruse, University of Bonn, University of Cologne, Center for Research in Econometric Analysis of Time Series - Matei Demetrescu, University of Kiel
10:30-11:00 (30min)
Monica Billio (Università Ca' Foscari Venezia) "Markov Switching Tensor Regression for Time-varying Networks" Roberto Reno (Università degli Studi di Verona) "Flash Crashes" Chair: Jean-Michel Zakoian
Lobby
