Quantitative Finance and Financial Econometrics - QFFE 2019

Christian Francq and Jean-Michel Zakoian

Room 24

Coffee break

Lobby

Christian Francq and Jean-Michel Zakoian

Room 24

Welcoming lunch and Registration for Conference

Forewords

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

Realized Variance

Amphithéâtre

Alessandro Palandri

› 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)

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)

› Backtesting Expected Shortfall via Multi-Quantile Regression - Ophélie Couperier, CREST - ENSAE 15:30-16:00 (30min)

Portfolios

Room 24

Charles Chevalier

› 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)

Coffee break

Lobby

Advanced Topics in Finance

Room 24

Alberto Quaini

› 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)

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)

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)