Tuesday, June 4, 2024
| Time | Event | (+) |
| 08:30 - 09:00 | Welcoming coffee and registration (Lobby - Ground floor) | |
| 09:00 - 10:20 | Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) | |
| 10:20 - 10:40 | Coffee break (Lobby - Ground floor) | |
| 10:40 - 12:00 | Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) | |
| 12:00 - 13:30 | Lunch (Lobby - Ground floor) | |
| 13:30 - 15:00 | Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) | |
| 15:00 - 15:20 | Coffee break (Lobby - Ground floor) | |
| 15:20 - 17:00 | Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" (Amphitheater - 3rd floor) | |
| 19:30 - 23:00 | Dinner at "Les Grandes Halles du Vieux-Port" - 30 Cours Honoré d'Estienne d'Orves, 13001 Marseille |
Wednesday, June 5, 2024
| Time | Event | (+) |
| 09:00 - 10:20 | Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" (Amphitheater - 3rd floor) | |
| 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) |
Thursday, June 6, 2024
| 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) |
|
| 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 | |
| 10:45 - 11:15 | › Managing Hedge Fund Liquidity Risks - Serge DAROLLES, Université Paris Dauphine - PSL | |
| 10:15 - 11:15 | A2 - Portfolios 1 session (Room 21 - 1st floor) - Chair: Rasmus LÖNN | (+) |
| 10:15 - 10:45 | › Advancing Markowitz: Asset Allocation Forest - Anastasija TETEREVA, Erasmus University Rotterdam | |
| 10:45 - 11:15 | › Dynamic Parametric Portfolio Policies - Rasmus LÖNN, Erasmus School of Economics | |
| 10:15 - 11:15 | A3 - Lasso session (Room 24 - 1st floor) - Chair: Emmanuel FLACHAIRE | (+) |
| 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 | |
| 11:15 - 11:45 | Coffee break (Lobby - Ground floor) | |
| 11:45 - 12:45 | B1 - Portfolios 2 session (Amphitheater - 3rd floor) - Chair: Xinyi ZHANG | (+) |
| 11:45 - 12:15 | › Optimal Diversification With Parameter Uncertainty - Rodolphe VANDERVEKEN, UCLouvain, LFIN | |
| 12:15 - 12:45 | › Pure momentum - Xinyi ZHANG, University of Warwick | |
| 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 | |
| 12:15 - 12:45 | › Modeling Higher Moments and Risk Premiums for S&P 500 Returns - Jeroen ROMBOUTS, ESSEC Business School | |
| 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 | |
| 12:15 - 12:45 | › Learning the predictive density of mixed-causal ARMA processes - Arthur THOMAS, University Paris Dauphine - PSL, LEDa | |
| 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 | |
| 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 | |
| 15:00 - 15:30 | › Backtesting expected shortfall: A duration-severity approach - Sullivan HUÉ, Aix-Marseille Université, AMSE | |
| 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 | |
| 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 |
Friday, June 7, 2024
| 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 | |
| 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 | |
| 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 | |
| 11:30 - 12:00 | › Does ESG matter more than Tracking Error? - John COADOU, Amundi/Université Paris Dauphine | |
| 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 | |
| 14:30 - 15:00 | › A bivariate fractional stochastic volatility model - Ranieri DUGO, University of Rome Tor Vergata | |
| 15:00 - 15:30 | › A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time - Simon FEISTLE, University of St. Gallen | |
| 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 | |
| 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) |
|
| 19:30 - 23:00 | Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille |
