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Monday, June 3, 2019
| 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 |
Tuesday, June 4, 2019
| 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) |
Wednesday, June 5, 2019
| 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 |
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| 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 |
Thursday, June 6, 2019
| 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 |
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| 20:00 - 22:30 | Gala dinner - Conference - Gala dinner - Conference |
Friday, June 7, 2019
| 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 |
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| 12:30 - 14:00 | Lunch |
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