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08:30 - 09:00
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Welcoming Coffee |
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09:00 - 10:40
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QF3 (Room 21) |
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| 09:00 - 09:25 |
› Empirical Asset Pricing with Multi-Period Disasters: A Simulation-Based Approach - Jantje Sönksen, University of Tübingen |
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| 09:25 - 09:50 |
› Price Efficiency in Markets with Stochastic Latency - Stefan Voigt, Vienna Graduate School of Finance |
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| 09:50 - 10:15 |
› Dynamic Trade Informativeness - Jinyuan Zhang, Institut Européen dádministration des Affaires - Bart Yueshen, Institut Européen dádministration des Affaires |
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| 10:15 - 10:40 |
› Rational Expectations or Distorted Beliefs? Measuring Beliefs from Asset Prices - Guillaume Roussellet, McGill University |
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09:00 - 10:40
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FE3a (Amphitheater) |
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| 09:00 - 09:25 |
› Zeros - Roberto Renò, Department of Economics - University of Verona |
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| 09:25 - 09:50 |
› Jumps or flatness? - Aleksey Kolokolov, Goethe-University Frankfurt am Main |
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| 09:50 - 10:15 |
› The Beta-Adjusted Covariance estimator - Kirill Dragun, Vrije Universiteit [Brussel] |
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| 10:15 - 10:40 |
› Integrated and spot Betas in a continuous time Multi-Factor: Theory and Estimation - Orimar Sauri, Department of Mathematics, Aarhus University |
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09:00 - 10:40
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FE3b (Room 24) |
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| 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 |
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| 09:25 - 09:50 |
› Return predictability and risk management - Mamiko Yamashita, Toulouse School of Economics |
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| 09:50 - 10:15 |
› Out-of-sample equity premium prediction: A complete subset quantile regression approach - Ekaterini Panopoulou, Kent Business School |
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| 10:15 - 10:40 |
› Portfolio Pretesting with Machine Learning - Ekaterina Kazak, University of Konstanz |
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10:40 - 11:05
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Coffee break |
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11:05 - 12:20
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FE4 (Amphitheater) |
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| 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) |
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| 11:30 - 11:55 |
› Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas - Christian Francq, CREST |
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| 11:55 - 12:20 |
› Modelling time-varying volatility interactions with an application to volatility contagion - Susana Martins, University of Minho |
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11:05 - 12:20
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QF4 (Room 24) |
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| 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 |
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| 11:30 - 11:55 |
› Managing Hedge Fund Liquidity Risks - Serge Darolles, University Paris-Dauphine |
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| 11:55 - 12:20 |
› Trends everywhere? The case of hedge fund styles - Charles Chevalier, University Paris-Dauphine |
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12:20 - 13:40
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Lunch |
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13:40 - 15:20
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QF5 (Room 21) |
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| 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 |
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| 14:05 - 14:30 |
› Carry and Trend Following Returns in the Foreign Exchange Market - Peter Smith, University of York [York, UK] |
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| 14:30 - 14:55 |
› Geographic Dependence and Diversication in House Price Returns: the Role of Leverage - Andreas Heinen, Andreas Heinen |
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| 14:55 - 15:20 |
› Agent-Based Model in Directional-Change Intrinsic Time - Vladimir Petrov, University of Zurich |
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13:40 - 15:20
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FE5a (Amphitheater) |
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| 13:40 - 14:05 |
› Robust Inference under Time-Varying Volatility - A Real-Time Evaluation of Professional Forecasters - Robinson Kruse, University of Cologne |
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| 14:05 - 14:30 |
› Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility - Sucarrat Genaro, BI Norwegian Business School |
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| 14:30 - 14:55 |
› Direct volatility modeling - Kevin Sheppard, University of Oxford [Oxford] |
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| 14:55 - 15:20 |
› Two are better than one: volatility forecasting using multiplicative component GARCH models - Christian Conrad, Heidelberg University |
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13:40 - 15:20
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FE5b (Room 24) |
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| 13:40 - 14:05 |
› Bayesian Markov switching tensor regression for time varying networks - Matteo Iacopini, Ca'Foscari University of Venice |
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| 14:05 - 14:30 |
› Signed spillover ee ts building on historical decompositions - Mardi Dungey, University of Tasmania (AUSTRALIA) |
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| 14:30 - 14:55 |
› Vector Quantile Autoregression: A Random Coefficient Approach - Sulkhan Chavleishvili, European Central Bank |
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| 14:55 - 15:20 |
› On the robustness of the principal volatility components - Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
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15:20 - 15:45
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Coffee break |
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15:45 - 17:25
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QF6 (Room 21) |
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| 15:45 - 16:10 |
› Negative Skewness of Asset Returns with Positive Time-Varying Risk Premia - Dimitra Kyriakopoulou, Université catholique de Louvain |
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| 16:10 - 16:35 |
› Time-Varying Risk Premia in Large International Equity Markets - Hugues Langlois, Ecole des Hautes Etudes Commerciales |
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| 16:35 - 17:00 |
› Credit Risk Premia Embedded in Sovereign Credit Default Swaps - Rob Sperna Weiland, University of Amsterdam [Amsterdam] |
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| 17:00 - 17:25 |
› Price discovery measure and High frequency data - christian nguenang kapnang, Toulouse School of Economics |
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15:45 - 17:25
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FE6 (Amphitheater) |
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| 15:45 - 16:10 |
› Forecast Comparisons for Long Memory - Guillaume Chevillon, ESSEC Business School |
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| 16:10 - 16:35 |
› Whittle Estimation of Multivariate Exponential Volatility Models with long memory - Malvina Marchese, Cass Business School, London |
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| 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 |
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20:00 - 23:00
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Gala dinner |
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