› 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)
› 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)
› 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)
› 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)
› 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)
› 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)
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