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08:00 09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00 23:00	Welcoming coffee and registration for Spring School 8:30 - 9:00 (30min) Welcoming coffee and registration for Spring School Lobby - ground floor Peter Reinhard HANSEN, University of North Carolina 9:00 - 10:20 (1h20) Peter Reinhard HANSEN, University of North Carolina Room 24 - 1st floor Coffee break 10:20 - 10:40 (20min) Coffee break Lobby - ground floor Peter Reinhard HANSEN, University of North Carolina 10:40 - 12:00 (1h20) Peter Reinhard HANSEN, University of North Carolina Room 24 - 1st floor Lunch 12:00 - 13:30 (1h30) Lunch Lobby - ground floor Peter Reinhard HANSEN, University of North Carolina 13:30 - 15:00 (1h30) Peter Reinhard HANSEN, University of North Carolina Room 24 - 1st floor Coffee break 15:00 - 15:20 (20min) Coffee break Lobby - ground floor Peter Reinhard HANSEN, University of North Carolina 15:20 - 17:00 (1h40) Peter Reinhard HANSEN, University of North Carolina Room 24 - 1st floor Evening 19:30 - 22:00 (2h30) Evening	Christian BROWNLEES, Universitat Pompeu Fabra 9:00 - 10:20 (1h20) Christian BROWNLEES, Universitat Pompeu Fabra Room 24 - 1st floor Coffee break 10:20 - 10:40 (20min) Coffee break Lobby - ground floor Christian BROWNLEES, Universitat Pompeu Fabra 10:40 - 12:00 (1h20) Christian BROWNLEES, Universitat Pompeu Fabra Room 24 - 1st floor Lunch 12:00 - 13:30 (1h30) Lunch Lobby - ground floor Christian BROWNLEES, Universitat Pompeu Fabra 13:30 - 15:00 (1h30) Christian BROWNLEES, Universitat Pompeu Fabra Room 24 - 1st floor Coffee break 15:00 - 15:20 (20min) Coffee break Lobby - ground floor Christian BROWNLEES, Universitat Pompeu Fabra 15:20 - 17:00 (1h40) Christian BROWNLEES, Universitat Pompeu Fabra Room 24 - 1st floor	Welcoming coffee and registration for Conference 8:30 - 9:00 (30min) Welcoming coffee and registration for Conference Lobby - ground floor Keynote Lecture #1 - Torben G. ANDERSEN, Northwestern University Chairman: Olivier Scaillet 9:00 - 10:15 (1h15) Keynote Lecture #1 - Torben G. ANDERSEN, Northwestern University Chairman: Olivier Scaillet Amphitheater - 3rd floor https://qffe2022.sciencesconf.org/data/program/Doc_vide.pdf Long Memory Session Yield Curve Session New Models Session 10:15 - 11:15 (1h) Long Memory Session Amphitheater - 3rd floor Chairman: Guillaume Chevillon › Long memory and power law in coherency between realized volatility and trading volume - Elena Dumitrescu, Université Paris Nanterre 10:15-10:45 (30min) › We modeled long memory with just one lag! - Guillaume Chevillon, ESSEC Business School 10:45-11:15 (30min) 10:15 - 11:15 (1h) Yield Curve Session Room 21 - 1st floor Chairman: Daan Opschoor › What do Bond Investors Learn from Macroeconomic News? - Guillaume Roussellet, McGill University 10:15-10:45 (30min) › A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound - Daan Opschoor, Erasmus University Rotterdam 10:45-11:15 (30min) 10:15 - 11:15 (1h) New Models Session Room 24 - 1st floor Chairman: Philipp Ketz › Probability Distributions and GAS Models for Realized Covariance Matrices - Michael Stollenwerk, Heidelberg University 10:15-10:45 (30min) › Subvector inference in GARCH-X type models - Philipp Ketz, Paris School of Economics 10:45-11:15 (30min) Coffee break 11:15 - 11:45 (30min) Coffee break Lobby - ground floor Multiple Testing Session Liquidity Session 11:45 - 12:45 (1h) Multiple Testing Session Amphitheater - 3rd floor Chairman: Nabil Bouamara › When Multiple Testing Procedures Fail Under Extreme Data Snooping Pressure - Dan Gabriel Anghel, Bucharest University for Economic Studies 11:45-12:15 (30min) › The sequential Cauchy combination test: Revisiting the inference of autocorrelated test statistics in finance - Nabil Bouamara, KU Leuven 12:15-12:45 (30min) 11:45 - 12:45 (1h) Liquidity Session Room 21 - 1st floor Chairman: Hamdi Raissi › Dynamic Autoregressive Liquidity (DArLiQ) - Linqi Wang, Université Catholique de Louvain 11:45-12:15 (30min) › On the correlation analysis of illiquid stocks - Hamdi Raïssi, Pontificia Universidad Católica de Valparaíso 12:15-12:45 (30min) Lunch 12:45 - 14:00 (1h15) Lunch Lobby - ground floor ARCH Session Banking Session Options Session 14:00 - 15:30 (1h30) ARCH Session Amphitheater - 3rd floor Chairman: Dick van Dijk › Structural Volatility Impulse Response Analysis - Jeannine Polivka, University of St.Gallen 14:00-14:30 (30min) › Strict Stationarity of INARCH(∞) Models - Mawuli Segnon, University of Muenster 14:30-15:00 (30min) › Pooling Dynamic Conditional Correlation Models - Dick van Dijk, Erasmus School of Economics 15:00-15:30 (30min) 14:00 - 15:30 (1h30) Banking Session Room 21 - 1st floor Chairwoman: Justine Pedrono › REAL-TIME IDENTIFICATION AND HIGH FREQUENCY ANALYSIS OF DEPOSITS OUTFLOWS - Edoardo Rainone, Bank of Italy 14:00-14:30 (30min) › The UK Banking System's Global Network of Granular Exposures - Giovanni Covi, Bank of England 14:30-15:00 (30min) › International integration, diversification and banking stability - Justine Pedrono, Banque de France 15:00-15:30 (30min) 14:00 - 15:30 (1h30) Options Session Room 24 - 1st floor Chairman: George Tauchen › Market Response to a VIX impulse - Stefan Voigt, University of Copenhagen 14:00-14:30 (30min) › Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation - Evgenii Vladimirov, University of Amsterdam 14:30-15:00 (30min) › Disagreement in Market Index Options - George Tauchen, Duke University 15:00-15:30 (30min) Coffee break 15:30 - 16:00 (30min) Coffee break Lobby - ground floor Forecasting 1 Session Risk Premium Session High Frequency Data Session 16:00 - 18:00 (2h) Forecasting 1 Session Amphitheater - 3rd floor Chairman: Pedro Valls Pereira › Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications - Yuwei Wang, University of Warwick 16:00-16:30 (30min) › Combining Bayesian VARs with survey density forecasts: does it pay off? - Joan Paredes, European Central Bank 16:30-17:00 (30min) › Factor Timing with Portfolio Characteristics - Nikolaos Vasilas, Lancaster University Management School 17:00-17:30 (30min) › Evaluating Google Trends Data to the Task of Predicting U.S. Stock Returns - Pedro Valls Pereira, Sao Paulo School of Economics - FGV 17:30-18:00 (30min) 16:00 - 18:00 (2h) Risk Premium Session Room 21 - 1st floor Chairman: Olivier Scaillet › An analysis of objective inflation expectations and inflation risk premia - Marcello Pericoli, Banca d'Italia 16:00-16:30 (30min) › The U.S. Dollar and Variance Risk Premia Imbalances - Anders Posselt, Aarhus University 16:30-17:00 (30min) › King U.S. Dollar, Global Risks, and Currency Option Risk Premiums - Juan M. Londono, Federal Reserve Board 17:00-17:30 (30min) › A penalized two-pass regression to predict stock returns with time-varying risk premia - Scaillet Olivier, University of Geneva and Swiss Finance Institute 17:30-18:00 (30min) 16:00 - 18:00 (2h) High Frequency Data Session Room 24 - 1st floor Chairwoman: Maria Flora › Efficient Realized Variance Estimation in Time-Changed Diffusion Processes - Jeannine Polivka, University of St.Gallen 16:00-16:30 (30min) › Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times - Shifan Yu, Lancaster University 16:30-17:00 (30min) › Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices - Emanuele Guidotti, University of Neuchâtel 17:00-17:30 (30min) › V-shapes - Maria Flora, CREST, CNRS, IP Paris 17:30-18:00 (30min) Dinner - Musée Regards de Provence 19:30 - 22:30 (3h) Dinner - Musée Regards de Provence Avenue Vaudoyer, 13002 Marseille: https://goo.gl/maps/8H9iY4mcc5wyFvn5A	Welcoming coffee 8:30 - 9:00 (30min) Welcoming coffee Lobby - ground floor Machine Learning 1 Session Time series and forecasting Session Empirical Finance 1 Session 9:00 - 10:30 (1h30) 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) 9:00 - 10:30 (1h30) 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) 9:00 - 10:30 (1h30) 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 10:30 - 11:00 (30min) Coffee break Lobby - ground floor Portfolio Session Systemic Risk Session Machine Learning 2 Session 11:00 - 12:30 (1h30) 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) 11:00 - 12:30 (1h30) 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) 11:00 - 12:30 (1h30) 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 12:30 - 14:00 (1h30) Lunch Lobby - ground floor Keynote Lecture #2 - Peter Reinhard HANSEN, University of North Carolina Chairman: Christophe Hurlin 14:00 - 14:45 (45min) 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 14:45 - 15:15 (30min) Guest speaker - Christian BROWNLEES, Universitat Pompeu Fabra Chairwoman: Roxana Halbleib Amphitheater - 3rd floor Guest speaker - Roberto RENÒ, University of Verona Chairwoman: Roxana Halbleib 15:15 - 15:45 (30min) Guest speaker - Roberto RENÒ, University of Verona Chairwoman: Roxana Halbleib Amphitheater - 3rd floor Coffee break 15:45 - 16:15 (30min) Coffee break Lobby - ground floor Monetary Policy Session Time series Session Empirical Finance 2 Session 16:15 - 17:45 (1h30) 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) 16:15 - 18:15 (2h) 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) 16:15 - 17:45 (1h30) 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) 20:00 - 23:00 (3h) Gala dinner - CNTL (restaurant O2 Pointus) Quai Marcel Pagnol, 13007 Marseille: https://goo.gl/maps/dG2Qe6MUtxGZCqpE8

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