Quantitative Finance and Financial Econometrics - QFFE 2019

›8:30 (30min)

Welcoming Coffee

› Lobby

8:30 - 9:00 (30min)

Welcoming Coffee

Lobby

›9:00 (1h30)

Empirical Finance
Erik Hjalmarsson

› Room 21

9:00 - 10:30 (1h30)

Empirical Finance

Room 21

Erik Hjalmarsson

› 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 (1h30)

Liquidity
Serge Darolles

› Amphithéâtre

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 (1h30)

Factors
Pedro Valls Pereira

› Room 24

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)

›10:30 (30min)

Coffee break

› Lobby

10:30 - 11:00 (30min)

Coffee break

Lobby

›11:00 (1h30)

Intraday Data
Shuping Shi

› Amphithéâtre

11:00 - 12:30 (1h30)

Intraday Data

Amphithéâtre

Shuping Shi

› 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 (1h30)

Options
Lars Stentoft

› Room 24

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)

›12:30 (1h30)

Lunch

12:30 - 14:00 (1h30)

Lunch

›14:00 (1h30)

Forecasting
Guillaume Chevillon

› Amphithéâtre

14:00 - 15:30 (1h30)

Forecasting

Amphithéâtre

Guillaume Chevillon

› 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 (1h30)

News and Macroeconomic shocks
Marcello Pericoli

› Room 21

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 (1h30)

Bubbles and Non-causal models
Frédérique Bec

› Room 24

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)

›15:30 (30min)

Coffee break

› Lobby

15:30 - 16:00 (30min)

Coffee break

Lobby

›16:00 (45min)

Olivier Scaillet (University of Geneva)
"Skill and Value Creation in the Mutual Fund Industry"
Chair: Christian Francq

Keynote Lecture #2

› Amphithéâtre

16:00 - 16:45 (45min)

Olivier Scaillet (University of Geneva)
"Skill and Value Creation in the Mutual Fund Industry"
Chair: Christian Francq

Amphithéâtre

Keynote Lecture #2

›20:00 (2h30)

Gala dinner - Conference

20:00 - 22:30 (2h30)

Gala dinner - Conference