Tuesday, June 14, 2022
| Time | Event | (+) |
| 08:30 - 09:00 | Welcoming coffee and registration for Spring School (Lobby - ground floor) | |
| 09:00 - 10:20 | Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) | |
| 10:20 - 10:40 | Coffee break (Lobby - ground floor) | |
| 10:40 - 12:00 | Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) | |
| 12:00 - 13:30 | Lunch (Lobby - ground floor) | |
| 13:30 - 15:00 | Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) | |
| 15:00 - 15:20 | Coffee break (Lobby - ground floor) | |
| 15:20 - 17:00 | Peter Reinhard HANSEN, University of North Carolina (Room 24 - 1st floor) | |
| 19:30 - 22:00 | Evening |
Wednesday, June 15, 2022
| Time | Event | (+) |
| 09:00 - 10:20 | Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) | |
| 10:20 - 10:40 | Coffee break (Lobby - ground floor) | |
| 10:40 - 12:00 | Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) | |
| 12:00 - 13:30 | Lunch (Lobby - ground floor) | |
| 13:30 - 15:00 | Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) | |
| 15:00 - 15:20 | Coffee break (Lobby - ground floor) | |
| 15:20 - 17:00 | Christian BROWNLEES, Universitat Pompeu Fabra (Room 24 - 1st floor) |
Thursday, June 16, 2022
| Time | Event | (+) |
| 08:30 - 09:00 | Welcoming coffee and registration for Conference (Lobby - ground floor) | |
| 09:00 - 10:15 |
Keynote Lecture #1 - Torben G. ANDERSEN, Northwestern University Chairman: Olivier Scaillet (Amphitheater - 3rd floor) |
|
| 10:15 - 11:15 | Long Memory Session (Amphitheater - 3rd floor) - Chairman: Guillaume Chevillon | (+) |
| 10:15 - 10:45 | › Long memory and power law in coherency between realized volatility and trading volume - Elena Dumitrescu, Université Paris Nanterre | |
| 10:45 - 11:15 | › We modeled long memory with just one lag! - Guillaume Chevillon, ESSEC Business School | |
| 10:15 - 11:15 | Yield Curve Session (Room 21 - 1st floor) - Chairman: Daan Opschoor | (+) |
| 10:15 - 10:45 | › What do Bond Investors Learn from Macroeconomic News? - Guillaume Roussellet, McGill University | |
| 10:45 - 11:15 | › A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound - Daan Opschoor, Erasmus University Rotterdam | |
| 10:15 - 11:15 | New Models Session (Room 24 - 1st floor) - Chairman: Philipp Ketz | (+) |
| 10:15 - 10:45 | › Probability Distributions and GAS Models for Realized Covariance Matrices - Michael Stollenwerk, Heidelberg University | |
| 10:45 - 11:15 | › Subvector inference in GARCH-X type models - Philipp Ketz, Paris School of Economics | |
| 11:15 - 11:45 | Coffee break (Lobby - ground floor) | |
| 11:45 - 12:45 | Multiple Testing Session (Amphitheater - 3rd floor) - Chairman: Nabil Bouamara | (+) |
| 11:45 - 12:15 | › When Multiple Testing Procedures Fail Under Extreme Data Snooping Pressure - Dan Gabriel Anghel, Bucharest University for Economic Studies | |
| 12:15 - 12:45 | › The sequential Cauchy combination test: Revisiting the inference of autocorrelated test statistics in finance - Nabil Bouamara, KU Leuven | |
| 11:45 - 12:45 | Liquidity Session (Room 21 - 1st floor) - Chairman: Hamdi Raissi | (+) |
| 11:45 - 12:15 | › Dynamic Autoregressive Liquidity (DArLiQ) - Linqi Wang, Université Catholique de Louvain | |
| 12:15 - 12:45 | › On the correlation analysis of illiquid stocks - Hamdi Raïssi, Pontificia Universidad Católica de Valparaíso | |
| 12:45 - 14:00 | Lunch (Lobby - ground floor) | |
| 14:00 - 15:30 | ARCH Session (Amphitheater - 3rd floor) - Chairman: Dick van Dijk | (+) |
| 14:00 - 14:30 | › Structural Volatility Impulse Response Analysis - Jeannine Polivka, University of St.Gallen | |
| 14:30 - 15:00 | › Strict Stationarity of INARCH(∞) Models - Mawuli Segnon, University of Muenster | |
| 15:00 - 15:30 | › Pooling Dynamic Conditional Correlation Models - Dick van Dijk, Erasmus School of Economics | |
| 14:00 - 15:30 | Banking Session (Room 21 - 1st floor) - Chairwoman: Justine Pedrono | (+) |
| 14:00 - 14:30 | › REAL-TIME IDENTIFICATION AND HIGH FREQUENCY ANALYSIS OF DEPOSITS OUTFLOWS - Edoardo Rainone, Bank of Italy | |
| 14:30 - 15:00 | › The UK Banking System's Global Network of Granular Exposures - Giovanni Covi, Bank of England | |
| 15:00 - 15:30 | › International integration, diversification and banking stability - Justine Pedrono, Banque de France | |
| 14:00 - 15:30 | Options Session (Room 24 - 1st floor) - Chairman: George Tauchen | (+) |
| 14:00 - 14:30 | › Market Response to a VIX impulse - Stefan Voigt, University of Copenhagen | |
| 14:30 - 15:00 | › Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation - Evgenii Vladimirov, University of Amsterdam | |
| 15:00 - 15:30 | › Disagreement in Market Index Options - George Tauchen, Duke University | |
| 15:30 - 16:00 | Coffee break (Lobby - ground floor) | |
| 16:00 - 18:00 | Forecasting 1 Session (Amphitheater - 3rd floor) - Chairman: Pedro Valls Pereira | (+) |
| 16:00 - 16:30 | › Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications - Yuwei Wang, University of Warwick | |
| 16:30 - 17:00 | › Combining Bayesian VARs with survey density forecasts: does it pay off? - Joan Paredes, European Central Bank | |
| 17:00 - 17:30 | › Factor Timing with Portfolio Characteristics - Nikolaos Vasilas, Lancaster University Management School | |
| 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 | |
| 16:00 - 18:00 | Risk Premium Session (Room 21 - 1st floor) - Chairman: Olivier Scaillet | (+) |
| 16:00 - 16:30 | › An analysis of objective inflation expectations and inflation risk premia - Marcello Pericoli, Banca d'Italia | |
| 16:30 - 17:00 | › The U.S. Dollar and Variance Risk Premia Imbalances - Anders Posselt, Aarhus University | |
| 17:00 - 17:30 | › King U.S. Dollar, Global Risks, and Currency Option Risk Premiums - Juan M. Londono, Federal Reserve Board | |
| 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 | |
| 16:00 - 18:00 | High Frequency Data Session (Room 24 - 1st floor) - Chairwoman: Maria Flora | (+) |
| 16:00 - 16:30 | › Efficient Realized Variance Estimation in Time-Changed Diffusion Processes - Jeannine Polivka, University of St.Gallen | |
| 16:30 - 17:00 | › Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times - Shifan Yu, Lancaster University | |
| 17:00 - 17:30 | › Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices - Emanuele Guidotti, University of Neuchâtel | |
| 17:30 - 18:00 | › V-shapes - Maria Flora, CREST, CNRS, IP Paris | |
| 19:30 - 22:30 | Dinner - Musée Regards de Provence - Avenue Vaudoyer, 13002 Marseille: https://goo.gl/maps/8H9iY4mcc5wyFvn5A |
Friday, June 17, 2022
| Time | Event | (+) |
| 08:30 - 09:00 | Welcoming coffee (Lobby - ground floor) | |
| 09:00 - 10:30 | Machine Learning 1 Session (Amphitheater - 3rd floor) - Chairman: Sullivan Hué | (+) |
| 09:00 - 09:30 | › Shapley Value Decomposition of Evaluation Metrics for Regression and Classification Models - Sébastien SAURIN, University of Orléans | |
| 09:30 - 10:00 | › GAM(L)A: An econometric model for interpretable Machine Learning - Sullivan Hué, Aix-Marseille Université, AMSE | |
| 09:00 - 10:30 | Time series and forecasting Session (Room 21 - 1st floor) - Chairman: Julien Royer | (+) |
| 09:00 - 09:30 | › Adaptive predictability of stock market returns - Helena Veiga, Universidad Carlos III de Madrid | |
| 09:30 - 10:00 | › Detecting the Predictive Power of Imperfect Predictors with Smoothly Varying Components - Matei Demetrescu, TU Dortmund University | |
| 10:00 - 10:30 | › A multivariate ARCH($\infty$) model with exogenous variables and dynamic conditional betas - Julien Royer, CREST | |
| 09:00 - 10:30 | Empirical Finance 1 Session (Room 24 - 1st floor) - Chairman: Serge Darolles | (+) |
| 09:00 - 09:30 | › Extremal Connectedness of Hedge Funds - Julien Hambuckers, University of Liège - HEC Liège | |
| 09:30 - 10:00 | › Bet on a bubble asset ? An optimal portfolio allocation strategy - Gilles de Truchis, University of Orléans | |
| 10:00 - 10:30 | › Futures Market Liquidity and the Trading Cost of Trend Following Strategies - Serge Darolles, Université Paris Dauphine - PSL | |
| 10:30 - 11:00 | Coffee break (Lobby - ground floor) | |
| 11:00 - 12:30 | Portfolio Session (Amphitheater - 3rd floor) - Chairwoman: Ekaterina Kazak | (+) |
| 11:00 - 11:30 | › Estimating large Markowitz portfolios' spanning set - Rosnel Sessinou, Aix-Marseille Université, AMSE | |
| 11:30 - 12:00 | › Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility - Ekaterina Kazak, University of Manchester | |
| 11:00 - 12:30 | Systemic Risk Session (Room 21 - 1st floor) - Chairman: Jean-Michel Zakoian | (+) |
| 11:00 - 11:30 | › Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability - Yannick Hoga, University of Duisburg-Essen | |
| 11:30 - 12:00 | › VAR for VaR and CoVaR - Li Sun, University of Liège | |
| 12:00 - 12:30 | › Estimating conditional systemic risk measures in semi-parametric volatility models - Jean-Michel Zakoian, CREST | |
| 11:00 - 12:30 | Machine Learning 2 Session (Room 24 - 1st floor) - Chairman: Minh Tri Phan | (+) |
| 11:00 - 11:30 | › Automated Stock Picking using Random Forests - Christian Breitung, Technical University of Munich | |
| 11:30 - 12:00 | › Artificial neural network based non-linear transformation of high-frequency returns for volatility forecasting - Christian Mücher, University of Freiburg | |
| 12:00 - 12:30 | › Data-driven and Interpretable Topic Model for Management Disclosures - Minh Tri Phan, University of St.Gallen | |
| 12:30 - 14:00 | Lunch (Lobby - ground floor) | |
| 14:00 - 14:45 |
Keynote Lecture #2 - Peter Reinhard HANSEN, University of North Carolina Chairman: Christophe Hurlin (Amphitheater - 3rd floor) |
|
| 14:45 - 15:15 |
Guest speaker - Christian BROWNLEES, Universitat Pompeu Fabra Chairwoman: Roxana Halbleib (Amphitheater - 3rd floor) |
|
| 15:15 - 15:45 |
Guest speaker - Roberto RENÒ, University of Verona Chairwoman: Roxana Halbleib (Amphitheater - 3rd floor) |
|
| 15:45 - 16:15 | Coffee break (Lobby - ground floor) | |
| 16:15 - 17:45 | Monetary Policy Session (Amphitheater - 3rd floor) - Chairwoman: Ilknur Zer | (+) |
| 16:15 - 16:45 | › Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs - Terri van der Zwan, Erasmus University Rotterdam | |
| 16:45 - 17:15 | › Networking the Yield Curve: Implications for Monetary Policy - Tatjana Dahlhaus, Bank of Canada | |
| 17:15 - 17:45 | › The impact of risk cycles on business cycles: a historical view - Ilknur Zer, Federal Reserve Board | |
| 16:15 - 18:15 | Time series Session (Room 21 - 1st floor) - Chairman: Genaro Sucarrat | (+) |
| 16:15 - 16:45 | › Generalized conditional autoregressive betas - Francesco Violante, ENSAE | |
| 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 | |
| 17:15 - 17:45 | › Climate related Risk Premium and Spillovers - Thomas Giroux, CREST | |
| 17:45 - 18:15 | › Robust Estimation and Inference for Smooth Changes in the Unconditional Volatility - Genaro Sucarrat, BI Norwegian Business School | |
| 16:15 - 17:45 | Empirical Finance 2 Session (Room 24 - 1st floor) - Chairman: Niklas Johan Christoffer Ahlgren | (+) |
| 16:15 - 16:45 | › New stylized facts of financial exuberance periods - Marco Kerkemeier, University of Hagen | |
| 16:45 - 17:15 | › Do sound financial systems improve the financing constraints of firms? - Alessandro Bitetto, University of Pavia | |
| 17:15 - 17:45 | › Volatility models with a time-varying intercept - Niklas Johan Christoffer Ahlgren, Hanken School of Eonomics | |
| 20:00 - 23:00 | Gala dinner - CNTL (restaurant O2 Pointus) - Quai Marcel Pagnol, 13007 Marseille: https://goo.gl/maps/dG2Qe6MUtxGZCqpE8 |
