Program > Program
| Time |
Event |
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12:00 - 13:30
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Registration and lunch |
|
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13:30 - 15:00
|
Sébastien Laurent (Room 24) |
|
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15:00 - 15:20
|
Coffee break |
|
|
15:20 - 17:00
|
Sébastien Laurent (Room 24) |
|
| Time |
Event |
|
|
09:00 - 10:20
|
Sébastien Laurent (Room 24) |
|
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10:20 - 10:40
|
Coffee break |
|
|
10:40 - 12:00
|
Sébastien Laurent (Room 24) |
|
|
12:00 - 13:30
|
Lunch |
|
|
13:30 - 15:00
|
Andrew Patton (Room 24) |
|
|
15:00 - 15:20
|
Coffee break |
|
|
15:20 - 17:00
|
Andrew Patton (Room 24) |
|
| Time |
Event |
|
|
09:00 - 10:20
|
Andrew Patton (Room 24) |
|
|
10:20 - 10:40
|
Coffee break |
|
|
10:40 - 12:00
|
Andrew Patton (Room 24) |
|
|
12:00 - 13:15
|
Welcoming Lunch and Registration |
|
|
13:15 - 13:30
|
Forewords |
|
|
13:30 - 14:15
|
Dick van Dijk - Erasmus School of Economics (Amphitheater) - Improved forecasting of the implied volatility surface |
|
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14:25 - 16:05
|
QF1 (Room 21) |
|
| 14:25 - 14:50 |
› Time-Varying Persistence in Real Oil Prices and its Determinant - Christoph Wegener, IPAG Business School |
|
| 14:50 - 15:15 |
› Fundamental Bubbles in Equity Markets - florian ielpo, Centre d\'économie de la Sorbonne |
|
| 15:15 - 15:40 |
› Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure - Simon Lloyd, Bank of England |
|
| 15:40 - 16:05 |
› A Volatility-Induced Stationary Term Structure Model - Anne Lundgaard Hansen, University of Copenhagen, Danmarks Nationalbank |
|
|
14:25 - 16:05
|
FE1a (Amphitheater) |
|
| 14:25 - 14:50 |
› High-frequency volatility in a time deformed framework, the role of volume, durations and jumps through intraday data - Antonio Santos, University of Coimbra |
|
| 14:50 - 15:15 |
› Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data - Max Ole Liemen, Universität Hamburg |
|
| 15:15 - 15:40 |
› A simple measure of microstructure noise - Merrick Li, University of Amsterdam and Tinbergen Institute |
|
| 15:40 - 16:05 |
› Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation - Yifan Li, Lancaster University Management School |
|
|
14:25 - 16:05
|
FE1b (Room 24) |
|
| 14:25 - 14:50 |
› Nonlinearities and Regimes in Conditional Correlations with Different Dynamics - Luc Bauwens, Center for Operations Research and Econometrics |
|
| 14:50 - 15:15 |
› Modelling Realized Covariance Matrices with Stochastic Volatility Latent Factors: Filter, Likelihood, Forecast - Halbleib Roxana, University of Konstanz |
|
| 15:15 - 15:40 |
› Forecasting Optimal Portfolio Weights Using High Frequency Data - Alessandro Palandri, Dublin City University Business School |
|
| 15:40 - 16:05 |
› Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices - Michael Stollenwerk, Heidelberg University |
|
|
16:05 - 16:30
|
Coffee break |
|
|
16:30 - 17:40
|
QFFE2 (Plenary session) (Amphitheater) |
|
| 16:30 - 17:05 |
› Virtual Historical Simulation for estimating the conditional VaR of large portfolios - Jean-Michel Zakoian, CREST |
|
| 17:05 - 17:40 |
› Disastrous Defaults - christian gourieroux, UNIVERSITY OF TORONTO, Centre de Recherche en Économie et Statistique |
|
| Time |
Event |
|
|
08:30 - 09:00
|
Welcoming Coffee |
|
|
09:00 - 10:40
|
QF3 (Room 21) |
|
| 09:00 - 09:25 |
› Empirical Asset Pricing with Multi-Period Disasters: A Simulation-Based Approach - Jantje Sönksen, University of Tübingen |
|
| 09:25 - 09:50 |
› Price Efficiency in Markets with Stochastic Latency - Stefan Voigt, Vienna Graduate School of Finance |
|
| 09:50 - 10:15 |
› Dynamic Trade Informativeness - Jinyuan Zhang, Institut Européen dádministration des Affaires - Bart Yueshen, Institut Européen dádministration des Affaires |
|
| 10:15 - 10:40 |
› Rational Expectations or Distorted Beliefs? Measuring Beliefs from Asset Prices - Guillaume Roussellet, McGill University |
|
|
09:00 - 10:40
|
FE3a (Amphitheater) |
|
| 09:00 - 09:25 |
› Zeros - Roberto Renò, Department of Economics - University of Verona |
|
| 09:25 - 09:50 |
› Jumps or flatness? - Aleksey Kolokolov, Goethe-University Frankfurt am Main |
|
| 09:50 - 10:15 |
› The Beta-Adjusted Covariance estimator - Kirill Dragun, Vrije Universiteit [Brussel] |
|
| 10:15 - 10:40 |
› Integrated and spot Betas in a continuous time Multi-Factor: Theory and Estimation - Orimar Sauri, Department of Mathematics, Aarhus University |
|
|
09:00 - 10:40
|
FE3b (Room 24) |
|
| 09:00 - 09:25 |
› Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage - Ruy Ribeiro, Pontifical Catholic University of Rio de Janeiro |
|
| 09:25 - 09:50 |
› Return predictability and risk management - Mamiko Yamashita, Toulouse School of Economics |
|
| 09:50 - 10:15 |
› Out-of-sample equity premium prediction: A complete subset quantile regression approach - Ekaterini Panopoulou, Kent Business School |
|
| 10:15 - 10:40 |
› Portfolio Pretesting with Machine Learning - Ekaterina Kazak, University of Konstanz |
|
|
10:40 - 11:05
|
Coffee break |
|
|
11:05 - 12:20
|
FE4 (Amphitheater) |
|
| 11:05 - 11:30 |
› High-dimensional penalized ARCH processes - Jean-David Fermanian, Centre de Recherche en Économie et Statistique (CREST) - Benjamin Poignard, Centre de Recherche en Économie et Statistique (CREST) |
|
| 11:30 - 11:55 |
› Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas - Christian Francq, CREST |
|
| 11:55 - 12:20 |
› Modelling time-varying volatility interactions with an application to volatility contagion - Susana Martins, University of Minho |
|
|
11:05 - 12:20
|
QF4 (Room 24) |
|
| 11:05 - 11:30 |
› Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options - ANMAR AL WAKIL, University Paris-Dauphine, PSL Research University - SERGE DAROLLES, University Paris-Dauphine, PSL Research University |
|
| 11:30 - 11:55 |
› Managing Hedge Fund Liquidity Risks - Serge Darolles, University Paris-Dauphine |
|
| 11:55 - 12:20 |
› Trends everywhere? The case of hedge fund styles - Charles Chevalier, University Paris-Dauphine |
|
|
12:20 - 13:40
|
Lunch |
|
|
13:40 - 15:20
|
QF5 (Room 21) |
|
| 13:40 - 14:05 |
› How important are GSI banks for the financial distress in the Eurozone? An analysis based on MIDAS VAR - IEVA MIKALIUNAITE, University of Palermo |
|
| 14:05 - 14:30 |
› Carry and Trend Following Returns in the Foreign Exchange Market - Peter Smith, University of York [York, UK] |
|
| 14:30 - 14:55 |
› Geographic Dependence and Diversication in House Price Returns: the Role of Leverage - Andreas Heinen, Andreas Heinen |
|
| 14:55 - 15:20 |
› Agent-Based Model in Directional-Change Intrinsic Time - Vladimir Petrov, University of Zurich |
|
|
13:40 - 15:20
|
FE5a (Amphitheater) |
|
| 13:40 - 14:05 |
› Robust Inference under Time-Varying Volatility - A Real-Time Evaluation of Professional Forecasters - Robinson Kruse, University of Cologne |
|
| 14:05 - 14:30 |
› Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility - Sucarrat Genaro, BI Norwegian Business School |
|
| 14:30 - 14:55 |
› Direct volatility modeling - Kevin Sheppard, University of Oxford [Oxford] |
|
| 14:55 - 15:20 |
› Two are better than one: volatility forecasting using multiplicative component GARCH models - Christian Conrad, Heidelberg University |
|
|
13:40 - 15:20
|
FE5b (Room 24) |
|
| 13:40 - 14:05 |
› Bayesian Markov switching tensor regression for time varying networks - Matteo Iacopini, Ca'Foscari University of Venice |
|
| 14:05 - 14:30 |
› Signed spillover ee ts building on historical decompositions - Mardi Dungey, University of Tasmania (AUSTRALIA) |
|
| 14:30 - 14:55 |
› Vector Quantile Autoregression: A Random Coefficient Approach - Sulkhan Chavleishvili, European Central Bank |
|
| 14:55 - 15:20 |
› On the robustness of the principal volatility components - Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
|
|
15:20 - 15:45
|
Coffee break |
|
|
15:45 - 17:25
|
QF6 (Room 21) |
|
| 15:45 - 16:10 |
› Negative Skewness of Asset Returns with Positive Time-Varying Risk Premia - Dimitra Kyriakopoulou, Université catholique de Louvain |
|
| 16:10 - 16:35 |
› Time-Varying Risk Premia in Large International Equity Markets - Hugues Langlois, Ecole des Hautes Etudes Commerciales |
|
| 16:35 - 17:00 |
› Credit Risk Premia Embedded in Sovereign Credit Default Swaps - Rob Sperna Weiland, University of Amsterdam [Amsterdam] |
|
| 17:00 - 17:25 |
› Price discovery measure and High frequency data - christian nguenang kapnang, Toulouse School of Economics |
|
|
15:45 - 17:25
|
FE6 (Amphitheater) |
|
| 15:45 - 16:10 |
› Forecast Comparisons for Long Memory - Guillaume Chevillon, ESSEC Business School |
|
| 16:10 - 16:35 |
› Whittle Estimation of Multivariate Exponential Volatility Models with long memory - Malvina Marchese, Cass Business School, London |
|
| 16:35 - 17:00 |
› Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector - Alain Hecq, Maastricht University, Maastricht University |
|
|
20:00 - 23:00
|
Gala dinner |
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