Program > General program
| Time |
Event |
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08:30 - 09:00
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Welcoming coffee and registration for Spring School (Lobby - ground floor) |
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09:00 - 10:20
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Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) |
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10:20 - 10:40
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Coffee break (Lobby - ground floor) |
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10:40 - 12:00
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Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) |
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12:00 - 13:30
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Lunch (Lobby - ground floor) |
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13:30 - 15:00
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Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) |
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15:00 - 15:20
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Coffee break (Lobby - ground floor) |
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15:20 - 17:00
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Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) |
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19:30 - 22:00
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Evening |
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| Time |
Event |
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09:00 - 10:20
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Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) |
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10:20 - 10:40
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Coffee break (Lobby - ground floor) |
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10:40 - 12:00
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Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) |
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12:00 - 13:30
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Lunch (Lobby - ground floor) |
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13:30 - 15:00
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Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) |
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15:00 - 15:20
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Coffee break (Lobby - ground floor) |
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15:20 - 17:00
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Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) |
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| Time |
Event |
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08:30 - 09:00
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Welcoming coffee and registration for Conference (Lobby - ground floor) |
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09:00 - 10:15
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Keynote Lecture #1 - Torben G. ANDERSEN, Northwestern University Chairman: Olivier Scaillet (Amphitheater - 3rd floor) |
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10:15 - 11:15
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Long Memory Session (Amphitheater - 3rd floor) - Chairman: Guillaume Chevillon |
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10:15 - 10:45 |
› Long memory and power law in coherency between realized volatility and trading volume - Elena Dumitrescu, Université Paris Nanterre |
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10:45 - 11:15 |
› We modeled long memory with just one lag! - Guillaume Chevillon, ESSEC Business School |
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10:15 - 11:15
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Yield Curve Session (Room 21 - 1st floor) - Chairman: Daan Opschoor |
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10:15 - 10:45 |
› What do Bond Investors Learn from Macroeconomic News? - Guillaume Roussellet, McGill University |
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10:45 - 11:15 |
› A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound - Daan Opschoor, Erasmus University Rotterdam |
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10:15 - 11:15
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New Models Session (Room 24 - 1st floor) - Chairman: Philipp Ketz |
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10:15 - 10:45 |
› Probability Distributions and GAS Models for Realized Covariance Matrices - Michael Stollenwerk, Heidelberg University |
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10:45 - 11:15 |
› Subvector inference in GARCH-X type models - Philipp Ketz, Paris School of Economics |
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11:15 - 11:45
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Coffee break (Lobby - ground floor) |
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11:45 - 12:45
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Multiple Testing Session (Amphitheater - 3rd floor) - Chairman: Nabil Bouamara |
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11:45 - 12:15 |
› When Multiple Testing Procedures Fail Under Extreme Data Snooping Pressure - Dan Gabriel Anghel, Bucharest University for Economic Studies |
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12:15 - 12:45 |
› The sequential Cauchy combination test: Revisiting the inference of autocorrelated test statistics in finance - Nabil Bouamara, KU Leuven |
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11:45 - 12:45
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Liquidity Session (Room 21 - 1st floor) - Chairman: Hamdi Raissi |
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11:45 - 12:15 |
› Dynamic Autoregressive Liquidity (DArLiQ) - Linqi Wang, Université Catholique de Louvain |
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12:15 - 12:45 |
› On the correlation analysis of illiquid stocks - Hamdi Raïssi, Pontificia Universidad Católica de Valparaíso |
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12:45 - 14:00
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Lunch (Lobby - ground floor) |
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14:00 - 15:30
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ARCH Session (Amphitheater - 3rd floor) - Chairman: Dick van Dijk |
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14:00 - 14:30 |
› Structural Volatility Impulse Response Analysis - Jeannine Polivka, University of St.Gallen |
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14:30 - 15:00 |
› Strict Stationarity of INARCH(∞) Models - Mawuli Segnon, University of Muenster |
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15:00 - 15:30 |
› Pooling Dynamic Conditional Correlation Models - Dick van Dijk, Erasmus School of Economics |
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14:00 - 15:30
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Banking Session (Room 21 - 1st floor) - Chairwoman: Justine Pedrono |
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14:00 - 14:30 |
› REAL-TIME IDENTIFICATION AND HIGH FREQUENCY ANALYSIS OF DEPOSITS OUTFLOWS - Edoardo Rainone, Bank of Italy |
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14:30 - 15:00 |
› The UK Banking System's Global Network of Granular Exposures - Giovanni Covi, Bank of England |
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15:00 - 15:30 |
› International integration, diversification and banking stability - Justine Pedrono, Banque de France |
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14:00 - 15:30
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Options Session (Room 24 - 1st floor) - Chairman: George Tauchen |
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14:00 - 14:30 |
› Market Response to a VIX impulse - Stefan Voigt, University of Copenhagen |
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14:30 - 15:00 |
› Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation - Evgenii Vladimirov, University of Amsterdam |
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15:00 - 15:30 |
› Disagreement in Market Index Options - George Tauchen, Duke University |
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15:30 - 16:00
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Coffee break (Lobby - ground floor) |
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16:00 - 18:00
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Forecasting 1 Session (Amphitheater - 3rd floor) - Chairman: Pedro Valls Pereira |
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16:00 - 16:30 |
› Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications - Yuwei Wang, University of Warwick |
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16:30 - 17:00 |
› Combining Bayesian VARs with survey density forecasts: does it pay off? - Joan Paredes, European Central Bank |
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17:00 - 17:30 |
› Factor Timing with Portfolio Characteristics - Nikolaos Vasilas, Lancaster University Management School |
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17:30 - 18:00 |
› Evaluating Google Trends Data to the Task of Predicting U.S. Stock Returns - Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
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16:00 - 18:00
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Risk Premium Session (Room 21 - 1st floor) - Chairman: Olivier Scaillet |
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16:00 - 16:30 |
› An analysis of objective inflation expectations and inflation risk premia - Marcello Pericoli, Banca d'Italia |
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16:30 - 17:00 |
› The U.S. Dollar and Variance Risk Premia Imbalances - Anders Posselt, Aarhus University |
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17:00 - 17:30 |
› King U.S. Dollar, Global Risks, and Currency Option Risk Premiums - Juan M. Londono, Federal Reserve Board |
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17:30 - 18:00 |
› A penalized two-pass regression to predict stock returns with time-varying risk premia - Scaillet Olivier, University of Geneva and Swiss Finance Institute |
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16:00 - 18:00
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High Frequency Data Session (Room 24 - 1st floor) - Chairwoman: Maria Flora |
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16:00 - 16:30 |
› Efficient Realized Variance Estimation in Time-Changed Diffusion Processes - Jeannine Polivka, University of St.Gallen |
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16:30 - 17:00 |
› Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times - Shifan Yu, Lancaster University |
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17:00 - 17:30 |
› Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices - Emanuele Guidotti, University of Neuchâtel |
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17:30 - 18:00 |
› V-shapes - Maria Flora, CREST, CNRS, IP Paris |
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19:30 - 22:30
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Dinner - Musée Regards de Provence - Avenue Vaudoyer, 13002 Marseille: https://goo.gl/maps/8H9iY4mcc5wyFvn5A |
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| Time |
Event |
(+)
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08:30 - 09:00
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Welcoming coffee (Lobby - ground floor) |
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09:00 - 10:30
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Machine Learning 1 Session (Amphitheater - 3rd floor) - Chairman: Sullivan Hué |
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09:00 - 09:30 |
› Shapley Value Decomposition of Evaluation Metrics for Regression and Classification Models - Sébastien SAURIN, University of Orléans |
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09:30 - 10:00 |
› GAM(L)A: An econometric model for interpretable Machine Learning - Sullivan Hué, Aix-Marseille Université, AMSE |
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09:00 - 10:30
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Time series and forecasting Session (Room 21 - 1st floor) - Chairman: Julien Royer |
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09:00 - 09:30 |
› Adaptive predictability of stock market returns - Helena Veiga, Universidad Carlos III de Madrid |
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09:30 - 10:00 |
› Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components - Matei Demetrescu, TU Dortmund University |
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10:00 - 10:30 |
› A multivariate ARCH($\infty$) model with exogenous variables and dynamic conditional betas - Julien Royer, CREST |
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09:00 - 10:30
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Empirical Finance 1 Session (Room 24 - 1st floor) - Chairman: Serge Darolles |
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09:00 - 09:30 |
› Extremal Connectedness of Hedge Funds - Julien Hambuckers, University of Liège - HEC Liège |
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09:30 - 10:00 |
› Bet on a bubble asset ? An optimal portfolio allocation strategy - Gilles de Truchis, University of Orléans |
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10:00 - 10:30 |
› Futures Market Liquidity and the Trading Cost of Trend Following Strategies - Serge Darolles, Université Paris Dauphine - PSL |
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10:30 - 11:00
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Coffee break (Lobby - ground floor) |
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11:00 - 12:30
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Portfolio Session (Amphitheater - 3rd floor) - Chairwoman: Ekaterina Kazak |
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11:00 - 11:30 |
› Estimating large Markowitz portfolios' spanning set - Rosnel Sessinou, Aix-Marseille Université, AMSE |
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11:30 - 12:00 |
› Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility - Ekaterina Kazak, University of Manchester |
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11:00 - 12:30
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Systemic Risk Session (Room 21 - 1st floor) - Chairman: Jean-Michel Zakoian |
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11:00 - 11:30 |
› Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability - Yannick Hoga, University of Duisburg-Essen |
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11:30 - 12:00 |
› VAR for VaR and CoVaR - Li Sun, University of Liège |
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12:00 - 12:30 |
› Estimating conditional systemic risk measures in semi-parametric volatility models - Jean-Michel Zakoian, CREST |
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11:00 - 12:30
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Machine Learning 2 Session (Room 24 - 1st floor) - Chairman: Minh Tri Phan |
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11:00 - 11:30 |
› Automated Stock Picking using Random Forests - Christian Breitung, Technical University of Munich |
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11:30 - 12:00 |
› Artificial neural network based non-linear transformation of high-frequency returns for volatility forecasting - Christian Mücher, University of Freiburg |
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12:00 - 12:30 |
› Data-driven and Interpretable Topic Model for Management Disclosures - Minh Tri Phan, University of St.Gallen |
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12:30 - 14:00
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Lunch (Lobby - ground floor) |
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14:00 - 14:45
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Keynote Lecture #2 - Peter Reinhard HANSEN, University of North Carolina Chairman: Christophe Hurlin (Amphitheater - 3rd floor) |
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14:45 - 15:15
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Guest speaker - Christian BROWNLEES, Universitat Pompeu Fabra Chairwoman: Roxana Halbleib (Amphitheater - 3rd floor) |
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15:15 - 15:45
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Guest speaker - Roberto RENÒ, University of Verona Chairwoman: Roxana Halbleib (Amphitheater - 3rd floor) |
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15:45 - 16:15
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Coffee break (Lobby - ground floor) |
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16:15 - 17:45
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Monetary Policy Session (Amphitheater - 3rd floor) - Chairwoman: Ilknur Zer |
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16:15 - 16:45 |
› Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs - Terri van der Zwan, Erasmus University Rotterdam |
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16:45 - 17:15 |
› Networking the Yield Curve: Implications for Monetary Policy - Tatjana Dahlhaus, Bank of Canada |
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17:15 - 17:45 |
› The impact of risk cycles on business cycles: a historical view - Ilknur Zer, Federal Reserve Board |
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16:15 - 18:15
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Time series Session (Room 21 - 1st floor) - Chairman: Genaro Sucarrat |
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16:15 - 16:45 |
› Generalized conditional autoregressive betas - Francesco Violante, ENSAE |
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16:45 - 17:15 |
› FORECAST PERFORMANCE OF NON-CAUSAL AUTOREGRESSIONS AND THE IMPORTANCE OF UNIT ROOT PRETESTING - Frédérique Bec, CY CERGY PARIS UNIVERSITY, THEMA, CNRS, CREST |
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17:15 - 17:45 |
› Climate related Risk Premium and Spillovers - Thomas Giroux, CREST |
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17:45 - 18:15 |
› Robust Estimation and Inference for Smooth Changes in the Unconditional Volatility - Genaro Sucarrat, BI Norwegian Business School |
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16:15 - 17:45
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Empirical Finance 2 Session (Room 24 - 1st floor) - Chairman: Niklas Johan Christoffer Ahlgren |
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16:15 - 16:45 |
› New stylized facts of financial exuberance periods - Marco Kerkemeier, University of Hagen |
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16:45 - 17:15 |
› Do sound financial systems improve the financing constraints of firms? - Alessandro Bitetto, University of Pavia |
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17:15 - 17:45 |
› Volatility models with a time-varying intercept - Niklas Johan Christoffer Ahlgren, Hanken School of Eonomics |
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20:00 - 23:00
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Gala dinner - CNTL (restaurant O2 Pointus) - Quai Marcel Pagnol, 13007 Marseille: https://goo.gl/maps/dG2Qe6MUtxGZCqpE8 |
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