Quantitative Finance and Financial Econometrics - QFFE 2022

Welcoming coffee

Lobby - ground floor

Machine Learning 1 Session

Amphitheater - 3rd floor

Chairman: Sullivan Hué

› Shapley Value Decomposition of Evaluation Metrics for Regression and Classification Models - Sébastien SAURIN, University of Orléans 09:00-09:30 (30min)

› GAM(L)A: An econometric model for interpretable Machine Learning - Sullivan Hué, Aix-Marseille Université, AMSE 09:30-10:00 (30min)

Time series and forecasting Session

Room 21 - 1st floor

Chairman: Julien Royer

› Adaptive predictability of stock market returns - Helena Veiga, Universidad Carlos III de Madrid 09:00-09:30 (30min)

› Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components - Matei Demetrescu, TU Dortmund University 09:30-10:00 (30min)

› A multivariate ARCH($\infty$) model with exogenous variables and dynamic conditional betas - Julien Royer, CREST 10:00-10:30 (30min)

Empirical Finance 1 Session

Room 24 - 1st floor

Chairman: Serge Darolles

› Extremal Connectedness of Hedge Funds - Julien Hambuckers, University of Liège - HEC Liège 09:00-09:30 (30min)

› Bet on a bubble asset ? An optimal portfolio allocation strategy - Gilles de Truchis, University of Orléans 09:30-10:00 (30min)

› Futures Market Liquidity and the Trading Cost of Trend Following Strategies - Serge Darolles, Université Paris Dauphine - PSL 10:00-10:30 (30min)

Coffee break

Lobby - ground floor

Portfolio Session

Amphitheater - 3rd floor

Chairwoman: Ekaterina Kazak

› Estimating large Markowitz portfolios' spanning set - Rosnel Sessinou, Aix-Marseille Université, AMSE 11:00-11:30 (30min)

› Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility - Ekaterina Kazak, University of Manchester 11:30-12:00 (30min)

Systemic Risk Session

Room 21 - 1st floor

Chairman: Jean-Michel Zakoian

› Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability - Yannick Hoga, University of Duisburg-Essen 11:00-11:30 (30min)

› VAR for VaR and CoVaR - Li Sun, University of Liège 11:30-12:00 (30min)

› Estimating conditional systemic risk measures in semi-parametric volatility models - Jean-Michel Zakoian, CREST 12:00-12:30 (30min)

Machine Learning 2 Session

Room 24 - 1st floor

Chairman: Minh Tri Phan

› Automated Stock Picking using Random Forests - Christian Breitung, Technical University of Munich 11:00-11:30 (30min)

› Artificial neural network based non-linear transformation of high-frequency returns for volatility forecasting - Christian Mücher, University of Freiburg 11:30-12:00 (30min)

› Data-driven and Interpretable Topic Model for Management Disclosures - Minh Tri Phan, University of St.Gallen 12:00-12:30 (30min)

Lunch

Lobby - ground floor

Keynote Lecture #2 - Peter Reinhard HANSEN, University of North Carolina

Chairman: Christophe Hurlin

Amphitheater - 3rd floor

Guest speaker - Christian BROWNLEES, Universitat Pompeu Fabra

Chairwoman: Roxana Halbleib

Amphitheater - 3rd floor

Guest speaker - Roberto RENÒ, University of Verona

Chairwoman: Roxana Halbleib

Amphitheater - 3rd floor

Coffee break

Lobby - ground floor

Monetary Policy Session

Amphitheater - 3rd floor

Chairwoman: Ilknur Zer

› Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs - Terri van der Zwan, Erasmus University Rotterdam 16:15-16:45 (30min)

› Networking the Yield Curve: Implications for Monetary Policy - Tatjana Dahlhaus, Bank of Canada 16:45-17:15 (30min)

› The impact of risk cycles on business cycles: a historical view - Ilknur Zer, Federal Reserve Board 17:15-17:45 (30min)

Time series Session

Room 21 - 1st floor

Chairman: Genaro Sucarrat

› Generalized conditional autoregressive betas - Francesco Violante, ENSAE 16:15-16:45 (30min)

› FORECAST PERFORMANCE OF NON-CAUSAL AUTOREGRESSIONS AND THE IMPORTANCE OF UNIT ROOT PRETESTING - Frédérique Bec, CY CERGY PARIS UNIVERSITY, THEMA, CNRS, CREST 16:45-17:15 (30min)

› Climate related Risk Premium and Spillovers - Thomas Giroux, CREST 17:15-17:45 (30min)

› Robust Estimation and Inference for Smooth Changes in the Unconditional Volatility - Genaro Sucarrat, BI Norwegian Business School 17:45-18:15 (30min)

Empirical Finance 2 Session

Room 24 - 1st floor

Chairman: Niklas Johan Christoffer Ahlgren

› New stylized facts of financial exuberance periods - Marco Kerkemeier, University of Hagen 16:15-16:45 (30min)

› Do sound financial systems improve the financing constraints of firms? - Alessandro Bitetto, University of Pavia 16:45-17:15 (30min)

› Volatility models with a time-varying intercept - Niklas Johan Christoffer Ahlgren, Hanken School of Eonomics 17:15-17:45 (30min)

Gala dinner - CNTL (restaurant O2 Pointus)

Quai Marcel Pagnol, 13007 Marseille: https://goo.gl/maps/dG2Qe6MUtxGZCqpE8

Program > General program