Program
| Time |
Event |
(+)
|
|
08:30 - 09:00
|
Welcoming coffee and registration (Lobby - Ground floor) |
|
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09:00 - 10:20
|
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) |
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10:20 - 10:40
|
Coffee break (Lobby - Ground floor) |
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10:40 - 12:00
|
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) |
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12:00 - 13:30
|
Lunch (Lobby - Ground floor) |
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13:30 - 15:00
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Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) |
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15:00 - 15:20
|
Coffee break (Lobby - Ground floor) |
|
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15:20 - 17:00
|
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) |
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19:30 - 23:00
|
Dinner at "Les Grandes Halles du Vieux-Port" - 30 Cours Honoré d'Estienne d'Orves, 13001 Marseille |
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| Time |
Event |
(+)
|
|
09:00 - 10:20
|
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" (Amphitheater - 3rd floor) |
|
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10:20 - 10:40
|
Coffee break (Lobby - Ground floor) |
|
|
10:40 - 12:00
|
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" (Amphitheater - 3rd floor) |
|
|
12:00 - 13:30
|
Lunch (Lobby - Ground floor) |
|
|
13:30 - 15:00
|
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" (Amphitheater - 3rd floor) |
|
|
15:00 - 15:20
|
Coffee break (Lobby - Ground floor) |
|
|
15:20 - 17:00
|
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" (Amphitheater - 3rd floor) |
|
| Time |
Event |
(+)
|
|
08:30 - 09:00
|
Welcoming coffee and registration (Lobby - Ground floor) |
|
|
09:00 - 09:15
|
Forewords (Amphitheater - 3rd floor) |
|
|
09:15 - 10:15
|
Keynote Lecture #1 - Silvia GONCALVES, McGill University "Bootstrapping out-of-sample predictability tests with real-time data" Chair: Olivier SCAILLET (Amphitheater - 3rd floor) |
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|
10:15 - 11:15
|
A1 - (Il)liquidity session (Amphitheater - 3rd floor) - Chair: Serge DAROLLES |
(+)
|
|
10:15 - 10:45 |
› Untangling Illiquidity: Optimal Asset Allocation with Private Assets - Daniel DIMITROV, University of Amsterdam |
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10:45 - 11:15 |
› Managing Hedge Fund Liquidity Risks - Serge DAROLLES, Université Paris Dauphine - PSL |
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10:15 - 11:15
|
A2 - Portfolios 1 session (Room 21 - 1st floor) - Chair: Rasmus LÖNN |
(+)
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|
10:15 - 10:45 |
› Advancing Markowitz: Asset Allocation Forest - Anastasija TETEREVA, Erasmus University Rotterdam |
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10:45 - 11:15 |
› Dynamic Parametric Portfolio Policies - Rasmus LÖNN, Erasmus School of Economics |
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|
10:15 - 11:15
|
A3 - Lasso session (Room 24 - 1st floor) - Chair: Emmanuel FLACHAIRE |
(+)
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|
10:15 - 10:45 |
› On the Inference of a LASSO-type Estimator with Highly Correlated Variables - Chuanping SUN, Bayes Business School |
|
|
10:45 - 11:15 |
› Treatment effect estimation in high-dimension: An inference-based approach - Emmanuel FLACHAIRE, Aix-Marseille Université, AMSE |
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11:15 - 11:45
|
Coffee break (Lobby - Ground floor) |
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11:45 - 12:45
|
B1 - Portfolios 2 session (Amphitheater - 3rd floor) - Chair: Xinyi ZHANG |
(+)
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|
11:45 - 12:15 |
› Optimal Diversification With Parameter Uncertainty - Rodolphe VANDERVEKEN, UCLouvain, LFIN |
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12:15 - 12:45 |
› Pure momentum - Xinyi ZHANG, University of Warwick |
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11:45 - 12:45
|
B2 - Risk Premiums 1 session (Room 21 - 1st floor) - Chair: Jeroen ROMBOUTS |
(+)
|
|
11:45 - 12:15 |
› Risk Premiums in the Bitcoin Market - Maria GRITH, Erasmus University Rotterdam, ESE |
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|
12:15 - 12:45 |
› Modeling Higher Moments and Risk Premiums for S&P 500 Returns - Jeroen ROMBOUTS, ESSEC Business School |
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11:45 - 12:45
|
B3 - Non-causal Models session (Room 23 - 1st floor) - Chair: Arthur THOMAS |
(+)
|
|
11:45 - 12:15 |
› Path prediction of anticipative alpha-stable moving averages using semi-norm representations - Gilles DE TRUCHIS, Université d'Orléans, LEO |
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|
12:15 - 12:45 |
› Learning the predictive density of mixed-causal ARMA processes - Arthur THOMAS, University Paris Dauphine - PSL, LEDa |
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|
11:45 - 12:45
|
B4 - Systemic Risk session (Room 24 - 1st floor) - Chair: Mateusz DADEJ |
(+)
|
|
11:45 - 12:15 |
› Disentangling Ripple Effect from Systemic Risk in Stock Market Dynamics: The Case of Silicon Valley Bank Run - Kanji SUZUKI, ETH Zurich |
|
|
12:15 - 12:45 |
› Systemic risk and financial connectedness: empirical evidence - Mateusz DADEJ, University of Brescia, DEM |
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12:45 - 14:00
|
Lunch |
|
|
14:00 - 15:30
|
C1 - Tail Risk 1 session (Room 21 - 1st floor) - Chair: Sullivan HUÉ |
(+)
|
|
14:00 - 14:30 |
› CVaR in G-VAR : Financial Markets Vulnerabilities and Left-Tail Risk Spillovers - Ahmed-Amine EL AZDI, Université Paris Dauphine - PSL |
|
|
14:30 - 15:00 |
› Evaluating financial tail risk forecasts with the Model Confidence Set - Lukas BAUER, University of Freiburg |
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|
15:00 - 15:30 |
› Backtesting expected shortfall: A duration-severity approach - Sullivan HUÉ, Aix-Marseille Université, AMSE |
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|
14:00 - 15:30
|
C2 - Risk Premiums 2 session (Room 24 - 1st floor) - Chair: Alberto QUAINI |
(+)
|
|
14:00 - 14:30 |
› Moment Conditions and Time-Varying Risk Premia - Dennis UMLANDT, University of Innsbruck |
|
|
14:30 - 15:00 |
› Transition risk premiums in option prices - Lennart SPERLING, University of Hagen |
|
|
15:00 - 15:30 |
› TRADABLE FACTOR RISK PREMIA AND ORACLE TESTS OF ASSET PRICING MODELS - Alberto QUAINI, Erasmus University of Rotterdam |
|
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15:30 - 16:00
|
Coffee break (Lobby - Ground floor) |
|
|
16:00 - 18:00
|
D1 - Options session (Amphitheater - 3rd floor) - Chair: Evgenii VLADIMIROV |
(+)
|
|
16:00 - 16:30 |
› Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices - Niels MARIJNEN, University of Amsterdam, QE |
|
|
16:30 - 17:00 |
› What can you really tell from option prices? - Yannick DILLSCHNEIDER, University of Amsterdam, ASE |
|
|
17:00 - 17:30 |
› Autoencoder Option Pricing Models - Evgenii VLADIMIROV, Erasmus University Rotterdam |
|
|
16:00 - 18:00
|
D2 - High Frequency session (Room 21 - 1st floor) - Chair: Carsten CHONG |
(+)
|
|
16:00 - 16:30 |
› The factorial hidden Markov duration model with application to ultra-high frequency data - Mawuli Kouami SEGNON, University of Münster |
|
|
16:30 - 17:00 |
› Modelling Intraday Covariance - Pedro VALLS PEREIRA, Sao Paulo School of Economics - FGV |
|
|
17:00 - 17:30 |
› Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models - Jasper RENNSPIES, University of Freiburg |
|
|
17:30 - 18:00 |
› The Fine Structure of Volatility Dynamics - Carsten CHONG, Hong Kong University of Science and Technology, ISOM |
|
|
16:00 - 18:00
|
D3 - Markov and Regime Switching Models session (Room 23 - 1st floor) - Chair: Florian IELPO |
(+)
|
|
16:00 - 16:30 |
› Combination volatility forecasts of duration-dependent Markov-switching models - Douglas TURATTI, Aalborg University |
|
|
16:30 - 17:00 |
› Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models - Frederik KRABBE, Aarhus University |
|
|
17:00 - 17:30 |
› Regime Switching for Dynamic EquiCorrelation - Zakaria MOUSSA, IAE Economie et Management, LEMNA |
|
|
17:30 - 18:00 |
› Regime Parity - Florian IELPO, Université Paris 1 |
|
|
16:00 - 18:00
|
D4 - Tail Risk 2 session (Room 24 - 1st floor) - Chair: Sylvain BENOIT |
(+)
|
|
16:00 - 16:30 |
› When to Be Discrete: The Importance of Time Formulation in the Modeling of Extreme Events in Finance - Katarzyna BIEŃ-BARKOWSKA, SGH Warsaw School of Economics |
|
|
16:30 - 17:00 |
› A multivariate semi-parametric portfolio risk optimization and forecasting framework - Giuseppe STORTI, Università degli studi di Salerno, DISES |
|
|
17:00 - 17:30 |
› Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics - Gabriele MINGOLI, Vrije Universiteit Amsterdam |
|
|
17:30 - 18:00 |
› Safe Distance to Systemic Risk - Sylvain BENOIT, Université Paris Dauphine - PSL, LEDa |
|
|
19:30 - 23:00
|
Dinner at "O'2 Pointus" - 44 Quai Marcel Pagnol, 13007 Marseille |
|
| Time |
Event |
(+)
|
|
08:30 - 09:00
|
Welcoming coffee and registration (Lobby - Ground floor) |
|
|
09:00 - 10:30
|
E1 - Forecasting session (Amphitheater - 3rd floor) - Chair: Stefano SOCCORSI |
(+)
|
|
09:00 - 09:30 |
› Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data - Giovanni BALLARIN, University of Mannheim |
|
|
09:30 - 10:00 |
› Oil price expectations in explosive phases - Robinson KRUSE-BECHER, FernUni Hagen |
|
|
10:00 - 10:30 |
› Macroeconomic cycles and bond return predictability - Stefano SOCCORSI, Lancaster University Management School |
|
|
09:00 - 10:30
|
E2 - Spanning session (Room 21 - 1st floor) - Chair: Rosnel SESSINOU |
(+)
|
|
09:00 - 09:30 |
› Asymmetric Violations of the Spanning Hypothesis - Raul RIVA, Northwestern University |
|
|
09:30 - 10:00 |
› Sparse spanning portfolios and under-diversification with second-order stochastic dominance - Olivier SCAILLET, UNIGE and SFI |
|
|
10:00 - 10:30 |
› High-Dimensional Mean-Variance Spanning Tests - Rosnel SESSINOU, GERAD, HEC Montréal |
|
|
09:00 - 10:30
|
E3 - Sentiment Analysis session (Room 24 - 1st floor) - Chair: Wiem GHAZOUANI |
(+)
|
|
09:00 - 09:30 |
› Integration of the political events in the fossil fuels equity market: a PCA and forecasting approach - Romain ALFRED, SKAIZen Group |
|
|
09:30 - 10:00 |
› Sentiment-Semantic Word Vectors: A New Method to Estimate Management Sentiment - Minh Tri PHAN, University of St.Gallen |
|
|
10:00 - 10:30 |
› Inflation Expectations, Sovereign Bond Yields and Media Sentiment on the ECB in Four European Countries - Wiem GHAZOUANI, Laboratoire d'Économie d'Orléans |
|
|
10:30 - 11:00
|
Coffee break (Lobby - Ground floor) |
|
|
11:00 - 12:30
|
F1 - Change-point Detection session (Room 21 - 1st floor) - Chair: Christian FRANCQ |
(+)
|
|
11:00 - 11:30 |
› Reddit users unleashed - understanding user behaviour and their impact on meme stocks - Simon TRIMBORN, University of Amsterdam |
|
|
11:30 - 12:00 |
› Change Point Detection in Time Series Using Mixed Integer Programming - Anton SKROBOTOV, RANEPA and SPBU, CEBA |
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|
12:00 - 12:30 |
› Detection of breaks in weak location time series models with quasi-Fisher scores - Christian FRANCQ, ENSAE and University of Lille, CREST |
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|
11:00 - 12:30
|
F2 - ESG session (Room 24 - 1st floor) - Chair: Gaëlle LE FOL |
(+)
|
|
11:00 - 11:30 |
› The Costs of Being Sustainable - Emanuele CHINI, University of Luxembourg |
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|
11:30 - 12:00 |
› Does ESG matter more than Tracking Error? - John COADOU, Amundi/Université Paris Dauphine |
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|
12:00 - 12:30 |
› Understanding the effect of ESG scores on stock returns using mediation theory - Gaëlle LE FOL, Université Paris Dauphine - PSL |
|
|
12:30 - 14:00
|
Lunch |
|
|
14:00 - 15:30
|
G1 - Stochastic Volatility session (Amphitheater - 3rd floor) - Chair: Simon FEISTLE |
(+)
|
|
14:00 - 14:30 |
› Simulation Smoothing: an Extremum Monte Carlo Approach - Karim MOUSSA, Vrije Universiteit Amsterdam |
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|
14:30 - 15:00 |
› A bivariate fractional stochastic volatility model - Ranieri DUGO, University of Rome Tor Vergata |
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|
15:00 - 15:30 |
› A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time - Simon FEISTLE, University of St. Gallen |
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14:00 - 15:30
|
G2 - Dynamic Factor Models session (Room 21 - 1st floor) - Chair: Julien ROYER |
(+)
|
|
14:00 - 14:30 |
› A simple parsimonious framework for extracting and modelling the term structure of interest rates - Dario PALUMBO, Ca' Foscari University of Venice |
|
|
14:30 - 15:00 |
› Asset swap spreads as business cycle assessors : a Markov Switching Dynamic Factor with time-varying variance extension - Romain AUMOND, GENES CREST |
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|
15:00 - 15:30 |
› Improving the robustness of Markov-switching dynamic factor models with time-varying volatility - Julien ROYER, ENSAE, CREST |
|
|
14:00 - 15:30
|
G3 - ARCH session (Room 24 - 1st floor) - Chair: Genaro SUCARRAT |
(+)
|
|
14:00 - 14:30 |
› Political Violence and Economic Activity in Bangladesh: A Robust Empirical Investigation - Christophe MULLER, Aix-Marseille Université, AMSE |
|
|
14:30 - 15:00 |
› Group Network Multivariate GARCH - Jian CHEN, University of Sussex |
|
|
15:00 - 15:30 |
› Volatility prediction under misspecification - Genaro SUCARRAT, BI Norwegian Business School |
|
|
15:30 - 16:00
|
Coffee break (Lobby - Ground floor) |
|
|
16:00 - 16:45
|
Keynote Lecture #2 - Federico BANDI, Johns Hopkins University "Signature-based econometrics" Chair: Christophe HURLIN (Amphitheater - 3rd floor) |
|
|
16:45 - 17:15
|
Guest speaker #1 - Julia SCHAUMBURG, Vrije Universiteit Amsterdam "Multi-period forecasting of inflation at risk using parsimonious neural networks" (Amphitheater - 3rd floor) |
|
|
17:15 - 17:45
|
Guest speaker #2 - Shuping SHI, Macquarie University "Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data" (Amphitheater - 3rd floor) |
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|
19:30 - 23:00
|
Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille |
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