Quantitative Finance and Financial Econometrics - QFFE 2022

›8:30 (30min)

Welcoming coffee and registration for Conference

› Lobby - ground floor

8:30 - 9:00 (30min)

Welcoming coffee and registration for Conference

Lobby - ground floor

›9:00 (1h15)

Keynote Lecture #1 - Torben G. ANDERSEN, Northwestern University

Chairman: Olivier Scaillet

› Amphitheater - 3rd floor

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

›10:15 (1h)

Long Memory Session
Chairman: Guillaume Chevillon

› Amphitheater - 3rd floor

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 (1h)

Yield Curve Session
Chairman: Daan Opschoor

› Room 21 - 1st floor

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 (1h)

New Models Session
Chairman: Philipp Ketz

› Room 24 - 1st floor

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)

›11:15 (30min)

Coffee break

› Lobby - ground floor

11:15 - 11:45 (30min)

Coffee break

Lobby - ground floor

›11:45 (1h)

Multiple Testing Session
Chairman: Nabil Bouamara

› Amphitheater - 3rd floor

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 (1h)

Liquidity Session
Chairman: Hamdi Raissi

› Room 21 - 1st floor

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)

›12:45 (1h15)

Lunch

› Lobby - ground floor

12:45 - 14:00 (1h15)

Lunch

Lobby - ground floor

›14:00 (1h30)

ARCH Session
Chairman: Dick van Dijk

› Amphitheater - 3rd floor

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 (1h30)

Banking Session
Chairwoman: Justine Pedrono

› Room 21 - 1st floor

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 (1h30)

Options Session
Chairman: George Tauchen

› Room 24 - 1st floor

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)

›15:30 (30min)

Coffee break

› Lobby - ground floor

15:30 - 16:00 (30min)

Coffee break

Lobby - ground floor

›16:00 (2h)

Forecasting 1 Session
Chairman: Pedro Valls Pereira

› Amphitheater - 3rd floor

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 (2h)

Risk Premium Session
Chairman: Olivier Scaillet

› Room 21 - 1st floor

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 (2h)

High Frequency Data Session
Chairwoman: Maria Flora

› Room 24 - 1st floor

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)

›19:30 (3h)

Dinner - Musée Regards de Provence

19:30 - 22:30 (3h)

Dinner - Musée Regards de Provence

Avenue Vaudoyer, 13002 Marseille: https://goo.gl/maps/8H9iY4mcc5wyFvn5A