Quantitative Finance and Financial Econometrics - QFFE 2018

›9:00 (30min)

Welcoming Coffee

9:00 - 9:30 (30min)

Welcoming Coffee

›9:30 (1h40)

FE7a

› Amphitheater

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 (1h40)

FE7b

› Room 24

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)

›11:10 (25min)

Coffee break

11:10 - 11:35 (25min)

Coffee break

›11:35 (45min)

Andrew Patton - Duke University
Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix

› Amphitheater

11:35 - 12:20 (45min)

Andrew Patton - Duke University

Amphitheater

Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix

›12:20 (1h20)

Lunch

12:20 - 13:40 (1h20)

Lunch