Program > Program

Week Mon. 28 Tue. 29 Wed. 30 Thu. 31 Fri. 01 List

	Mon. 28	Tue. 29	Wed. 30	Thu. 31	Fri. 01
08:00 09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00 23:00	Registration and lunch 12:00 - 13:30 (1h30) Registration and lunch Sébastien Laurent 13:30 - 15:00 (1h30) Sébastien Laurent Room 24 Coffee break 15:00 - 15:20 (20min) Coffee break Sébastien Laurent 15:20 - 17:00 (1h40) Sébastien Laurent Room 24	Sébastien Laurent 9:00 - 10:20 (1h20) Sébastien Laurent Room 24 Coffee break 10:20 - 10:40 (20min) Coffee break Sébastien Laurent 10:40 - 12:00 (1h20) Sébastien Laurent Room 24 Lunch 12:00 - 13:30 (1h30) Lunch Andrew Patton 13:30 - 15:00 (1h30) Andrew Patton Room 24 Coffee break 15:00 - 15:20 (20min) Coffee break Andrew Patton 15:20 - 17:00 (1h40) Andrew Patton Room 24	Andrew Patton 9:00 - 10:20 (1h20) Andrew Patton Room 24 Coffee break 10:20 - 10:40 (20min) Coffee break Andrew Patton 10:40 - 12:00 (1h20) Andrew Patton Room 24 Welcoming Lunch and Registration 12:00 - 13:15 (1h15) Welcoming Lunch and Registration Forewords 13:15 - 13:30 (15min) Forewords Dick van Dijk - Erasmus School of Economics 13:30 - 14:15 (45min) Dick van Dijk - Erasmus School of Economics Amphitheater Improved forecasting of the implied volatility surface QF1 FE1a FE1b 14:25 - 16:05 (1h40) QF1 Room 21 › Time-Varying Persistence in Real Oil Prices and its Determinant - Christoph Wegener, IPAG Business School 14:25-14:50 (25min) › Fundamental Bubbles in Equity Markets - florian ielpo, Centre d\'économie de la Sorbonne 14:50-15:15 (25min) › Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure - Simon Lloyd, Bank of England 15:15-15:40 (25min) › A Volatility-Induced Stationary Term Structure Model - Anne Lundgaard Hansen, University of Copenhagen, Danmarks Nationalbank 15:40-16:05 (25min) 14:25 - 16:05 (1h40) FE1a Amphitheater › High-frequency volatility in a time deformed framework, the role of volume, durations and jumps through intraday data - Antonio Santos, University of Coimbra 14:25-14:50 (25min) › Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data - Max Ole Liemen, Universität Hamburg 14:50-15:15 (25min) › A simple measure of microstructure noise - Merrick Li, University of Amsterdam and Tinbergen Institute 15:15-15:40 (25min) › Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation - Yifan Li, Lancaster University Management School 15:40-16:05 (25min) 14:25 - 16:05 (1h40) FE1b Room 24 › Nonlinearities and Regimes in Conditional Correlations with Different Dynamics - Luc Bauwens, Center for Operations Research and Econometrics 14:25-14:50 (25min) › Modelling Realized Covariance Matrices with Stochastic Volatility Latent Factors: Filter, Likelihood, Forecast - Halbleib Roxana, University of Konstanz 14:50-15:15 (25min) › Forecasting Optimal Portfolio Weights Using High Frequency Data - Alessandro Palandri, Dublin City University Business School 15:15-15:40 (25min) › Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices - Michael Stollenwerk, Heidelberg University 15:40-16:05 (25min) Coffee break 16:05 - 16:30 (25min) Coffee break QFFE2 (Plenary session) 16:30 - 17:40 (1h10) QFFE2 (Plenary session) Amphitheater › Virtual Historical Simulation for estimating the conditional VaR of large portfolios - Jean-Michel Zakoian, CREST 16:30-17:05 (35min) › Disastrous Defaults - christian gourieroux, UNIVERSITY OF TORONTO, Centre de Recherche en Économie et Statistique 17:05-17:40 (35min)	Welcoming Coffee 8:30 - 9:00 (30min) Welcoming Coffee QF3 FE3a FE3b 9:00 - 10:40 (1h40) QF3 Room 21 › Empirical Asset Pricing with Multi-Period Disasters: A Simulation-Based Approach - Jantje Sönksen, University of Tübingen 09:00-09:25 (25min) › Price Eﬃciency in Markets with Stochastic Latency - Stefan Voigt, Vienna Graduate School of Finance 09:25-09:50 (25min) › Dynamic Trade Informativeness - Jinyuan Zhang, Institut Européen dádministration des Affaires - Bart Yueshen, Institut Européen dádministration des Affaires 09:50-10:15 (25min) › Rational Expectations or Distorted Beliefs? Measuring Beliefs from Asset Prices - Guillaume Roussellet, McGill University 10:15-10:40 (25min) 9:00 - 10:40 (1h40) FE3a Amphitheater › Zeros - Roberto Renò, Department of Economics - University of Verona 09:00-09:25 (25min) › Jumps or flatness? - Aleksey Kolokolov, Goethe-University Frankfurt am Main 09:25-09:50 (25min) › The Beta-Adjusted Covariance estimator - Kirill Dragun, Vrije Universiteit [Brussel] 09:50-10:15 (25min) › Integrated and spot Betas in a continuous time Multi-Factor: Theory and Estimation - Orimar Sauri, Department of Mathematics, Aarhus University 10:15-10:40 (25min) 9:00 - 10:40 (1h40) FE3b Room 24 › Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage - Ruy Ribeiro, Pontifical Catholic University of Rio de Janeiro 09:00-09:25 (25min) › Return predictability and risk management - Mamiko Yamashita, Toulouse School of Economics 09:25-09:50 (25min) › Out-of-sample equity premium prediction: A complete subset quantile regression approach - Ekaterini Panopoulou, Kent Business School 09:50-10:15 (25min) › Portfolio Pretesting with Machine Learning - Ekaterina Kazak, University of Konstanz 10:15-10:40 (25min) Coffee break 10:40 - 11:05 (25min) Coffee break FE4 QF4 11:05 - 12:20 (1h15) FE4 Amphitheater › 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) 11:05-11:30 (25min) › Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas - Christian Francq, CREST 11:30-11:55 (25min) › Modelling time-varying volatility interactions with an application to volatility contagion - Susana Martins, University of Minho 11:55-12:20 (25min) 11:05 - 12:20 (1h15) QF4 Room 24 › 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 11:05-11:30 (25min) › Managing Hedge Fund Liquidity Risks - Serge Darolles, University Paris-Dauphine 11:30-11:55 (25min) › Trends everywhere? The case of hedge fund styles - Charles Chevalier, University Paris-Dauphine 11:55-12:20 (25min) Lunch 12:20 - 13:40 (1h20) Lunch QF5 FE5a FE5b 13:40 - 15:20 (1h40) QF5 Room 21 › How important are GSI banks for the financial distress in the Eurozone? An analysis based on MIDAS VAR - IEVA MIKALIUNAITE, University of Palermo 13:40-14:05 (25min) › Carry and Trend Following Returns in the Foreign Exchange Market - Peter Smith, University of York [York, UK] 14:05-14:30 (25min) › Geographic Dependence and Diversication in House Price Returns: the Role of Leverage - Andreas Heinen, Andreas Heinen 14:30-14:55 (25min) › Agent-Based Model in Directional-Change Intrinsic Time - Vladimir Petrov, University of Zurich 14:55-15:20 (25min) 13:40 - 15:20 (1h40) FE5a Amphitheater › Robust Inference under Time-Varying Volatility - A Real-Time Evaluation of Professional Forecasters - Robinson Kruse, University of Cologne 13:40-14:05 (25min) › Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility - Sucarrat Genaro, BI Norwegian Business School 14:05-14:30 (25min) › Direct volatility modeling - Kevin Sheppard, University of Oxford [Oxford] 14:30-14:55 (25min) › Two are better than one: volatility forecasting using multiplicative component GARCH models - Christian Conrad, Heidelberg University 14:55-15:20 (25min) 13:40 - 15:20 (1h40) FE5b Room 24 › Bayesian Markov switching tensor regression for time varying networks - Matteo Iacopini, Ca'Foscari University of Venice 13:40-14:05 (25min) › Signed spillover ee ts building on historical decompositions - Mardi Dungey, University of Tasmania (AUSTRALIA) 14:05-14:30 (25min) › Vector Quantile Autoregression: A Random Coefficient Approach - Sulkhan Chavleishvili, European Central Bank 14:30-14:55 (25min) › On the robustness of the principal volatility components - Pedro Valls Pereira, Sao Paulo School of Economics - FGV 14:55-15:20 (25min) Coffee break 15:20 - 15:45 (25min) Coffee break QF6 FE6 15:45 - 17:25 (1h40) QF6 Room 21 › Negative Skewness of Asset Returns with Positive Time-Varying Risk Premia - Dimitra Kyriakopoulou, Université catholique de Louvain 15:45-16:10 (25min) › Time-Varying Risk Premia in Large International Equity Markets - Hugues Langlois, Ecole des Hautes Etudes Commerciales 16:10-16:35 (25min) › Credit Risk Premia Embedded in Sovereign Credit Default Swaps - Rob Sperna Weiland, University of Amsterdam [Amsterdam] 16:35-17:00 (25min) › Price discovery measure and High frequency data - christian nguenang kapnang, Toulouse School of Economics 17:00-17:25 (25min) 15:45 - 17:25 (1h40) FE6 Amphitheater › Forecast Comparisons for Long Memory - Guillaume Chevillon, ESSEC Business School 15:45-16:10 (25min) › Whittle Estimation of Multivariate Exponential Volatility Models with long memory - Malvina Marchese, Cass Business School, London 16:10-16:35 (25min) › Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector - Alain Hecq, Maastricht University, Maastricht University 16:35-17:00 (25min) Gala dinner 20:00 - 23:00 (3h) Gala dinner	Welcoming Coffee 9:00 - 9:30 (30min) Welcoming Coffee FE7a FE7b 9:30 - 11:10 (1h40) FE7a Amphitheater › Nonlinear Predictability of Stock Returns? Parametric vs. nonparametric inference in predictive regressions - Matei Demetrescu, University of Kiel 09:30-09:55 (25min) › How far can we forecast? Statistical tests of the predictive content - Joerg Breitung, University of Cologne 09:55-10:20 (25min) › Multi-Horizon Forecast Comparison - Rogier Quaedvlieg, Erasmus University Rotterdam 10:20-10:45 (25min) › Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting - Giuseppe Storti, University of Salerno 10:45-11:10 (25min) 9:30 - 11:10 (1h40) FE7b Room 24 › Regression Based Expected Shortfall Backtesting - Timo Dimitriadis, Universität Konstanz 09:30-09:55 (25min) › Testing for Extreme Volatility Transmission with Realized Volatility Measures - Elena Dumitrescu, EconomiX - Gilles de Truchis, EconomiX 09:55-10:20 (25min) › Decomposing and backtesting a flexible specification for CoVaR - Giovanni Bonaccolto, Kore University of Enna 10:20-10:45 (25min) › High dimensional covariance matrix estimation with l1-regularized factor models - Maurizio Daniele, University of Konstanz 10:45-11:10 (25min) Coffee break 11:10 - 11:35 (25min) Coffee break Andrew Patton - Duke University 11:35 - 12:20 (45min) Andrew Patton - Duke University Amphitheater Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix Lunch 12:20 - 13:40 (1h20) Lunch

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