Preliminary program
| Time |
Event |
|
|
08:45 - 09:00
|
Welcoming coffee and Registration for Spring School (Lobby) |
|
|
09:00 - 10:20
|
Olivier Scaillet (Room 24) |
|
|
10:20 - 10:40
|
Coffee break (Lobby) |
|
|
10:40 - 12:00
|
Olivier Scaillet (Room 24) |
|
|
12:00 - 13:30
|
Lunch |
|
|
13:30 - 15:00
|
Olivier Scaillet (Room 24) |
|
|
15:00 - 15:20
|
Coffee break (Lobby) |
|
|
15:20 - 17:00
|
Olivier Scaillet (Room 24) |
|
|
20:00 - 22:00
|
Gala dinner - school - Gala dinner - school |
|
| Time |
Event |
|
|
09:00 - 10:20
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
|
10:20 - 10:40
|
Coffee break (Lobby) |
|
|
10:40 - 12:00
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
|
12:00 - 13:30
|
Lunch |
|
|
13:30 - 15:00
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
|
15:00 - 15:20
|
Coffee break (Lobby) |
|
|
15:20 - 17:00
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
| Time |
Event |
|
|
09:00 - 10:20
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
|
10:20 - 10:40
|
Coffee break (Lobby) |
|
|
10:40 - 12:00
|
Christian Francq and Jean-Michel Zakoian (Room 24) |
|
|
12:00 - 13:20
|
Welcoming lunch and Registration for Conference |
|
|
13:20 - 13:35
|
Forewords - Forewords |
|
|
13:35 - 14:20
|
Siem Jan Koopman (Vrije Universiteit Amsterdam)
"A High-Dimensional Realized Covariance Dynamic Factor Model: analysis, estimation and forecasting"
Chair: Sébastien Laurent
(Amphithéâtre) - Keynote Lecture #1 |
|
|
14:30 - 16:00
|
Realized Variance (Amphithéâtre) - Alessandro Palandri |
|
| 14:30 - 15:00 |
› Forecasting the Realized Variance in the Presence of Intraday Periodicity - Ana-Maria Dumitru, Deutsche Bundesbank, University of Surrey |
|
| 15:00 - 15:30 |
› Testing for intensity jumps conditional on information arrivals - Deniz Erdemlioglu, IÉSEG School Of Management |
|
| 15:30 - 16:00 |
› Realized Variance Models: estimation, selection, evaluation and the long memory argument - Alessandro Palandri, Dublin City University Business School |
|
|
14:30 - 16:00
|
VaR and ES (Room 21) - Ophélie Couperier |
|
| 14:30 - 15:00 |
› Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles - Yannick Hoga, University of Duisburg-Essen |
|
| 15:00 - 15:30 |
› Encompassing Tests for Higher-Order Elicitable Functionals - Timo Dimitriadis, Universität Konstanz |
|
| 15:30 - 16:00 |
› Backtesting Expected Shortfall via Multi-Quantile Regression - Ophélie Couperier, CREST - ENSAE |
|
|
14:30 - 16:00
|
Portfolios (Room 24) - Charles Chevalier |
|
| 14:30 - 15:00 |
› Multi-period and higher-order moment downside risk-attribution of data-driven portfolio strategies - Nabil Bouamara, KU Leuven, Vrije Universiteit Brussel |
|
| 15:00 - 15:30 |
› Is it Worth Investing in Hedge funds? Optimal portfolios with Regime-Switching - Alfonso Valdesogo, THEMA, Université de Cergy-Pontoise |
|
| 15:30 - 16:00 |
› Diversifying Trends - Charles Chevalier, University Paris-Dauphine |
|
|
16:00 - 16:30
|
Coffee break (Lobby) |
|
|
16:30 - 17:30
|
Advanced Topics in Finance (Room 24) - Alberto Quaini |
|
| 16:30 - 17:00 |
› Deep Hedging for Non-linear Affine Processes - Ernst Emanuel Rapsch, Freiburg Institute for Advanced Studies, Humboldt Universität zu Berlin |
|
| 17:00 - 17:30 |
› SMART-SDFs - Alberto Quaini, University of Geneva |
|
|
16:30 - 17:30
|
Copulas (Room 21) - Sangwon Lee |
|
| 16:30 - 17:00 |
› Contagion in Subprime Mortgage Defaults: A Composite Likelihood Copula Approach - mi Lim Kim, University of Cergy Pontoise |
|
| 17:00 - 17:30 |
› Measuring Systemic Risk with Non-Exchangeable Copulas - Sangwon LEE, Théorie économique, modélisation et applications |
|
|
16:30 - 17:30
|
Modelling (Amphithéâtre) - Genaro Sucarrat |
|
| 16:30 - 17:00 |
› Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems - Gilles de Truchis, EconomiX |
|
| 17:00 - 17:30 |
› Volatility Estimation of Thinly Traded Assets - Sucarrat Genaro, BI Norwegian Business School |
|
| Time |
Event |
|
|
08:30 - 09:00
|
Welcoming Coffee (Lobby) |
|
|
09:00 - 10:30
|
Empirical Finance (Room 21) - Erik Hjalmarsson |
|
| 09:00 - 09:30 |
› Productivity and Finance: The Intangible Assets Channel - axelle arquie, Centre d\'études prospectives et d'informations internationales |
|
| 09:30 - 10:00 |
› Banks and Sovereigns: Did adversity bring them closer? - Lisa Sheenan, Queens University Belfast |
|
| 10:00 - 10:30 |
› Compound Returns - Erik Hjalmarsson, University of Gothenburg |
|
|
09:00 - 10:30
|
Liquidity (Amphithéâtre) - Serge Darolles |
|
| 09:00 - 09:30 |
› Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies - Amine RABOUN, Université Paris-Dauphine, PSL Research University |
|
| 09:30 - 10:00 |
› Is Liquidity Risk Priced in Partially Segmented Markets? - Hugues Langlois, Ecole des Hautes Etudes Commerciales |
|
| 10:00 - 10:30 |
› Bivariate INAR Processes with Application to Mutual Fund Flows - serge darolles, Dauphine Recherches en Management |
|
|
09:00 - 10:30
|
Factors (Room 24) - Pedro Valls Pereira |
|
| 09:00 - 09:30 |
› Sequential Estimation of Multivariate Factor Stochastic Volatility Models - Christian Mücher, University of Konstanz |
|
| 09:30 - 10:00 |
› A regularized structural factor-augmented vector autoregressive model - Julie Schnaitmann, University of Konstanz |
|
| 10:00 - 10:30 |
› Forecasting conditional covariance matrices in high-dimensional data using the general dynamic factor model - Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
|
|
10:30 - 11:00
|
Coffee break (Lobby) |
|
|
11:00 - 12:30
|
Intraday Data (Amphithéâtre) - Shuping Shi |
|
| 11:00 - 11:30 |
› Estimating Realized Variance: An Intrinsic Time Approach - Sina Streicher, Swiss Economic Institute KOF, ETH Zürich |
|
| 11:30 - 12:00 |
› Variation and Efficiency of High-Frequency Betas - George Tauchen, Duke University |
|
| 12:00 - 12:30 |
› Does the Random Walk Assumption Hold in High Frequency Prices? - Shuping Shi, Macquarie University |
|
|
11:00 - 12:30
|
Options (Room 24) - Lars Stentoft |
|
| 11:00 - 11:30 |
› Common Factors in Equity Option Returns - Xiao Xiao, Erasmus University Rotterdam |
|
| 11:30 - 12:00 |
› Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures - Christophe Chorro, Centre d\'économie de la Sorbonne |
|
| 12:00 - 12:30 |
› Option Pricing with Conditional GARCH Models - Lars Stentoft, University of Western Ontario |
|
|
12:30 - 14:00
|
Lunch |
|
|
14:00 - 15:30
|
Forecasting (Amphithéâtre) - Guillaume Chevillon |
|
| 14:00 - 14:30 |
› When are wavelets useful forecasters? - Ege Yazgan, Isatnbul Bilgi University - Ramazan Gencay, Simon Fraser University |
|
| 14:30 - 15:00 |
› Generic Conditions for Forecast Dominance - Fabian Krueger, Heidelberg University |
|
| 15:00 - 15:30 |
› The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons. - Guillaume Chevillon, ESSEC Business School |
|
|
14:00 - 15:30
|
News and Macroeconomic shocks (Room 21) - Marcello Pericoli |
|
| 14:00 - 14:30 |
› Application of Multivariate Hawkes Graphs to Uncover Granger Causality of Financial News - Anastasija Tetereva, University of St. Gallen |
|
| 14:30 - 15:00 |
› Standing at attention: The impact of FOMC press conferences on asset prices - Jonas Nygaard Eriksen, Aarhus University |
|
| 15:00 - 15:30 |
› On risk factors of the stock-bond correlation - Marcello Pericoli, Banca d'Italia |
|
|
14:00 - 15:30
|
Bubbles and Non-causal models (Room 24) - Frédérique Bec |
|
| 14:00 - 14:30 |
› Forecasting bubbles with mixed causal-noncausal autoregressive models. - Elisa Voisin, Maastricht University |
|
| 14:30 - 15:00 |
› Trouble with the bubble? Risk management in an explosive environment - Christoph Wegener, Leuphana Universität Lüneburg, IPAG Business School |
|
| 15:00 - 15:30 |
› 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 |
|
|
15:30 - 16:00
|
Coffee break (Lobby) |
|
|
16:00 - 16:45
|
Olivier Scaillet (University of Geneva)
"Skill and Value Creation in the Mutual Fund Industry"
Chair: Christian Francq
(Amphithéâtre) - Keynote Lecture #2 |
|
|
20:00 - 22:30
|
Gala dinner - Conference - Gala dinner - Conference |
|
| Time |
Event |
|
|
09:00 - 09:30
|
Welcoming Coffee (Lobby) |
|
|
09:30 - 11:00
|
Systemic Risk (Room 24) - Hossein Asgharian |
|
| 09:30 - 10:00 |
› A Meta-analysis of Systemic Risk Measures for gauging Financial Stability - Jean-Charles Garibal, Laboratoire d'économie d'Orleans |
|
| 10:00 - 10:30 |
› Competition, Fast Growth and Commercialization: Systemic Credit Risk in Microcredit Markets - Didier Juste, THEMA, Université de Cergy-Pontoise |
|
| 10:30 - 11:00 |
› Systemic Risk and Centrality Revisited: The Role of Interactions - Hossein Asgharian, Lund University |
|
|
09:30 - 10:30
|
Options and Commodities (Room 21) - Florian Ielpo |
|
| 09:30 - 10:00 |
› Predictive regressions in commodity markets - Jean-baptiste Bonnier, Institut d\'Économie et de Management de Nantes - Institut dÁdministration des Entreprises - Nantes |
|
| 10:00 - 10:30 |
› Gold as an Implied Dividend - florian ielpo, Université Paris 1 |
|
|
09:30 - 11:00
|
Volatility and Jumps (Amphithéâtre) - Yves Robinson Kruse |
|
| 09:30 - 10:00 |
› Variance swap payoff, risk premia and extreme market conditions - Francesco Violante, Centre de Recherche en Économie et Statistique |
|
| 10:00 - 10:30 |
› Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure - Luca Margaritella, Maastricht University |
|
| 10:30 - 11:00 |
› 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 |
|
|
11:00 - 11:30
|
Coffee break (Lobby) |
|
|
11:30 - 12:30
|
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
(Amphithéâtre) - Invited Session |
|
|
12:30 - 14:00
|
Lunch |
|
|
