Quantitative Finance and Financial Econometrics - QFFE 2018

›9:00 (1h20)

Andrew Patton

› Room 24

9:00 - 10:20 (1h20)

Andrew Patton

Room 24

›10:20 (20min)

Coffee break

10:20 - 10:40 (20min)

Coffee break

›10:40 (1h20)

Andrew Patton

› Room 24

10:40 - 12:00 (1h20)

Andrew Patton

Room 24

›12:00 (1h15)

Welcoming Lunch and Registration

12:00 - 13:15 (1h15)

Welcoming Lunch and Registration

›13:15 (15min)

Forewords

13:15 - 13:30 (15min)

Forewords

›13:30 (45min)

Dick van Dijk - Erasmus School of Economics
Improved forecasting of the implied volatility surface

› Amphitheater

13:30 - 14:15 (45min)

Dick van Dijk - Erasmus School of Economics

Amphitheater

Improved forecasting of the implied volatility surface

›14:25 (1h40)

QF1

› Room 21

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 (1h40)

FE1a

› Amphitheater

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 (1h40)

FE1b

› Room 24

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)

›16:05 (25min)

Coffee break

16:05 - 16:30 (25min)

Coffee break

›16:30 (1h10)

QFFE2 (Plenary session)

› Amphitheater

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)