Program

Week Tue. 04 Wed. 05 Thu. 06 Fri. 07 List

	Tue. 04	Wed. 05	Thu. 06	Fri. 07
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 8:30 - 9:00 (30min) Welcoming coffee and registration Lobby - Ground floor Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" 9:00 - 10:20 (1h20) Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" Amphitheater - 3rd floor Coffee break 10:20 - 10:40 (20min) Coffee break Lobby - Ground floor Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" 10:40 - 12:00 (1h20) Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" Amphitheater - 3rd floor Lunch 12:00 - 13:30 (1h30) Lunch Lobby - Ground floor Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" 13:30 - 15:00 (1h30) Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" Amphitheater - 3rd floor Coffee break 15:00 - 15:20 (20min) Coffee break Lobby - Ground floor Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" 15:20 - 17:00 (1h40) Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence" Amphitheater - 3rd floor Dinner at "Les Grandes Halles du Vieux-Port" - 30 Cours Honoré d'Estienne d'Orves, 13001 Marseille 19:30 - 23:00 (3h30) Dinner at "Les Grandes Halles du Vieux-Port" - 30 Cours Honoré d'Estienne d'Orves, 13001 Marseille	Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" 9:00 - 10:20 (1h20) Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" Amphitheater - 3rd floor Coffee break 10:20 - 10:40 (20min) Coffee break Lobby - Ground floor Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" 10:40 - 12:00 (1h20) Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" Amphitheater - 3rd floor Lunch 12:00 - 13:30 (1h30) Lunch Lobby - Ground floor Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" 13:30 - 15:00 (1h30) Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" Amphitheater - 3rd floor Coffee break 15:00 - 15:20 (20min) Coffee break Lobby - Ground floor Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" 15:20 - 17:00 (1h40) Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing" Amphitheater - 3rd floor	Welcoming coffee and registration 8:30 - 9:00 (30min) Welcoming coffee and registration Lobby - Ground floor Forewords 9:00 - 9:15 (15min) Forewords Amphitheater - 3rd floor Keynote Lecture #1 - Silvia GONCALVES, McGill University "Bootstrapping out-of-sample predictability tests with real-time data" Chair: Olivier SCAILLET 9:15 - 10:15 (1h) Keynote Lecture #1 - Silvia GONCALVES, McGill University "Bootstrapping out-of-sample predictability tests with real-time data" Chair: Olivier SCAILLET Amphitheater - 3rd floor https://qffe2024.sciencesconf.org/data/program/Silvia_Goncalves.pdf A1 - (Il)liquidity session A2 - Portfolios 1 session A3 - Lasso session 10:15 - 11:15 (1h) A1 - (Il)liquidity session Amphitheater - 3rd floor Chair: Serge DAROLLES › Untangling Illiquidity: Optimal Asset Allocation with Private Assets - Daniel DIMITROV, University of Amsterdam 10:15-10:45 (30min) › Managing Hedge Fund Liquidity Risks - Serge DAROLLES, Université Paris Dauphine - PSL 10:45-11:15 (30min) 10:15 - 11:15 (1h) A2 - Portfolios 1 session Room 21 - 1st floor Chair: Rasmus LÖNN › Advancing Markowitz: Asset Allocation Forest - Anastasija TETEREVA, Erasmus University Rotterdam 10:15-10:45 (30min) › Dynamic Parametric Portfolio Policies - Rasmus LÖNN, Erasmus School of Economics 10:45-11:15 (30min) 10:15 - 11:15 (1h) A3 - Lasso session Room 24 - 1st floor Chair: Emmanuel FLACHAIRE › On the Inference of a LASSO-type Estimator with Highly Correlated Variables - Chuanping SUN, Bayes Business School 10:15-10:45 (30min) › Treatment effect estimation in high-dimension: An inference-based approach - Emmanuel FLACHAIRE, Aix-Marseille Université, AMSE 10:45-11:15 (30min) Coffee break 11:15 - 11:45 (30min) Coffee break Lobby - Ground floor B1 - Portfolios 2 session B2 - Risk Premiums 1 session B3 - Non-causal Models session B4 - Systemic Risk session 11:45 - 12:45 (1h) B1 - Portfolios 2 session Amphitheater - 3rd floor Chair: Xinyi ZHANG › Optimal Diversification With Parameter Uncertainty - Rodolphe VANDERVEKEN, UCLouvain, LFIN 11:45-12:15 (30min) › Pure momentum - Xinyi ZHANG, University of Warwick 12:15-12:45 (30min) 11:45 - 12:45 (1h) B2 - Risk Premiums 1 session Room 21 - 1st floor Chair: Jeroen ROMBOUTS › Risk Premiums in the Bitcoin Market - Maria GRITH, Erasmus University Rotterdam, ESE 11:45-12:15 (30min) › Modeling Higher Moments and Risk Premiums for S&P 500 Returns - Jeroen ROMBOUTS, ESSEC Business School 12:15-12:45 (30min) 11:45 - 12:45 (1h) B3 - Non-causal Models session Room 23 - 1st floor Chair: Arthur THOMAS › Path prediction of anticipative alpha-stable moving averages using semi-norm representations - Gilles DE TRUCHIS, Université d'Orléans, LEO 11:45-12:15 (30min) › Learning the predictive density of mixed-causal ARMA processes - Arthur THOMAS, University Paris Dauphine - PSL, LEDa 12:15-12:45 (30min) 11:45 - 12:45 (1h) B4 - Systemic Risk session Room 24 - 1st floor Chair: Mateusz DADEJ › Disentangling Ripple Eﬀect from Systemic Risk in Stock Market Dynamics: The Case of Silicon Valley Bank Run - Kanji SUZUKI, ETH Zurich 11:45-12:15 (30min) › Systemic risk and financial connectedness: empirical evidence - Mateusz DADEJ, University of Brescia, DEM 12:15-12:45 (30min) Lunch 12:45 - 14:00 (1h15) Lunch C1 - Tail Risk 1 session C2 - Risk Premiums 2 session 14:00 - 15:30 (1h30) C1 - Tail Risk 1 session Room 21 - 1st floor Chair: Sullivan HUÉ › CVaR in G-VAR : Financial Markets Vulnerabilities and Left-Tail Risk Spillovers - Ahmed-Amine EL AZDI, Université Paris Dauphine - PSL 14:00-14:30 (30min) › Evaluating financial tail risk forecasts with the Model Confidence Set - Lukas BAUER, University of Freiburg 14:30-15:00 (30min) › Backtesting expected shortfall: A duration-severity approach - Sullivan HUÉ, Aix-Marseille Université, AMSE 15:00-15:30 (30min) 14:00 - 15:30 (1h30) C2 - Risk Premiums 2 session Room 24 - 1st floor Chair: Alberto QUAINI › Moment Conditions and Time-Varying Risk Premia - Dennis UMLANDT, University of Innsbruck 14:00-14:30 (30min) › Transition risk premiums in option prices - Lennart SPERLING, University of Hagen 14:30-15:00 (30min) › TRADABLE FACTOR RISK PREMIA AND ORACLE TESTS OF ASSET PRICING MODELS - Alberto QUAINI, Erasmus University of Rotterdam 15:00-15:30 (30min) Coffee break 15:30 - 16:00 (30min) Coffee break Lobby - Ground floor D1 - Options session D2 - High Frequency session D3 - Markov and Regime Switching Models session D4 - Tail Risk 2 session 16:00 - 18:00 (2h) D1 - Options session Amphitheater - 3rd floor Chair: Evgenii VLADIMIROV › Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices - Niels MARIJNEN, University of Amsterdam, QE 16:00-16:30 (30min) › What can you really tell from option prices? - Yannick DILLSCHNEIDER, University of Amsterdam, ASE 16:30-17:00 (30min) › Autoencoder Option Pricing Models - Evgenii VLADIMIROV, Erasmus University Rotterdam 17:00-17:30 (30min) 16:00 - 18:00 (2h) D2 - High Frequency session Room 21 - 1st floor Chair: Carsten CHONG › The factorial hidden Markov duration model with application to ultra-high frequency data - Mawuli Kouami SEGNON, University of Münster 16:00-16:30 (30min) › Modelling Intraday Covariance - Pedro VALLS PEREIRA, Sao Paulo School of Economics - FGV 16:30-17:00 (30min) › Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models - Jasper RENNSPIES, University of Freiburg 17:00-17:30 (30min) › The Fine Structure of Volatility Dynamics - Carsten CHONG, Hong Kong University of Science and Technology, ISOM 17:30-18:00 (30min) 16:00 - 18:00 (2h) D3 - Markov and Regime Switching Models session Room 23 - 1st floor Chair: Florian IELPO › Combination volatility forecasts of duration-dependent Markov-switching models - Douglas TURATTI, Aalborg University 16:00-16:30 (30min) › Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models - Frederik KRABBE, Aarhus University 16:30-17:00 (30min) › Regime Switching for Dynamic EquiCorrelation - Zakaria MOUSSA, IAE Economie et Management, LEMNA 17:00-17:30 (30min) › Regime Parity - Florian IELPO, Université Paris 1 17:30-18:00 (30min) 16:00 - 18:00 (2h) D4 - Tail Risk 2 session Room 24 - 1st floor Chair: Sylvain BENOIT › 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 16:00-16:30 (30min) › A multivariate semi-parametric portfolio risk optimization and forecasting framework - Giuseppe STORTI, Università degli studi di Salerno, DISES 16:30-17:00 (30min) › Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics - Gabriele MINGOLI, Vrije Universiteit Amsterdam 17:00-17:30 (30min) › Safe Distance to Systemic Risk - Sylvain BENOIT, Université Paris Dauphine - PSL, LEDa 17:30-18:00 (30min) Dinner at "O'2 Pointus" - 44 Quai Marcel Pagnol, 13007 Marseille 19:30 - 23:00 (3h30) Dinner at "O'2 Pointus" - 44 Quai Marcel Pagnol, 13007 Marseille	Welcoming coffee and registration 8:30 - 9:00 (30min) Welcoming coffee and registration Lobby - Ground floor E1 - Forecasting session E2 - Spanning session E3 - Sentiment Analysis session 9:00 - 10:30 (1h30) E1 - Forecasting session Amphitheater - 3rd floor Chair: Stefano SOCCORSI › Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data - Giovanni BALLARIN, University of Mannheim 09:00-09:30 (30min) › Oil price expectations in explosive phases - Robinson KRUSE-BECHER, FernUni Hagen 09:30-10:00 (30min) › Macroeconomic cycles and bond return predictability - Stefano SOCCORSI, Lancaster University Management School 10:00-10:30 (30min) 9:00 - 10:30 (1h30) E2 - Spanning session Room 21 - 1st floor Chair: Rosnel SESSINOU › Asymmetric Violations of the Spanning Hypothesis - Raul RIVA, Northwestern University 09:00-09:30 (30min) › Sparse spanning portfolios and under-diversification with second-order stochastic dominance - Olivier SCAILLET, UNIGE and SFI 09:30-10:00 (30min) › High-Dimensional Mean-Variance Spanning Tests - Rosnel SESSINOU, GERAD, HEC Montréal 10:00-10:30 (30min) 9:00 - 10:30 (1h30) E3 - Sentiment Analysis session Room 24 - 1st floor Chair: Wiem GHAZOUANI › Integration of the political events in the fossil fuels equity market: a PCA and forecasting approach - Romain ALFRED, SKAIZen Group 09:00-09:30 (30min) › Sentiment-Semantic Word Vectors: A New Method to Estimate Management Sentiment - Minh Tri PHAN, University of St.Gallen 09:30-10:00 (30min) › Inflation Expectations, Sovereign Bond Yields and Media Sentiment on the ECB in Four European Countries - Wiem GHAZOUANI, Laboratoire d'Économie d'Orléans 10:00-10:30 (30min) Coffee break 10:30 - 11:00 (30min) Coffee break Lobby - Ground floor F1 - Change-point Detection session F2 - ESG session 11:00 - 12:30 (1h30) F1 - Change-point Detection session Room 21 - 1st floor Chair: Christian FRANCQ › Reddit users unleashed - understanding user behaviour and their impact on meme stocks - Simon TRIMBORN, University of Amsterdam 11:00-11:30 (30min) › Change Point Detection in Time Series Using Mixed Integer Programming - Anton SKROBOTOV, RANEPA and SPBU, CEBA 11:30-12:00 (30min) › Detection of breaks in weak location time series models with quasi-Fisher scores - Christian FRANCQ, ENSAE and University of Lille, CREST 12:00-12:30 (30min) 11:00 - 12:30 (1h30) F2 - ESG session Room 24 - 1st floor Chair: Gaëlle LE FOL › The Costs of Being Sustainable - Emanuele CHINI, University of Luxembourg 11:00-11:30 (30min) › Does ESG matter more than Tracking Error? - John COADOU, Amundi/Université Paris Dauphine 11:30-12:00 (30min) › Understanding the effect of ESG scores on stock returns using mediation theory - Gaëlle LE FOL, Université Paris Dauphine - PSL 12:00-12:30 (30min) Lunch 12:30 - 14:00 (1h30) Lunch G1 - Stochastic Volatility session G2 - Dynamic Factor Models session G3 - ARCH session 14:00 - 15:30 (1h30) G1 - Stochastic Volatility session Amphitheater - 3rd floor Chair: Simon FEISTLE › Simulation Smoothing: an Extremum Monte Carlo Approach - Karim MOUSSA, Vrije Universiteit Amsterdam 14:00-14:30 (30min) › A bivariate fractional stochastic volatility model - Ranieri DUGO, University of Rome Tor Vergata 14:30-15:00 (30min) › A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time - Simon FEISTLE, University of St. Gallen 15:00-15:30 (30min) 14:00 - 15:30 (1h30) G2 - Dynamic Factor Models session Room 21 - 1st floor Chair: Julien ROYER › A simple parsimonious framework for extracting and modelling the term structure of interest rates - Dario PALUMBO, Ca' Foscari University of Venice 14:00-14:30 (30min) › Asset swap spreads as business cycle assessors : a Markov Switching Dynamic Factor with time-varying variance extension - Romain AUMOND, GENES CREST 14:30-15:00 (30min) › Improving the robustness of Markov-switching dynamic factor models with time-varying volatility - Julien ROYER, ENSAE, CREST 15:00-15:30 (30min) 14:00 - 15:30 (1h30) G3 - ARCH session Room 24 - 1st floor Chair: Genaro SUCARRAT › Political Violence and Economic Activity in Bangladesh: A Robust Empirical Investigation - Christophe MULLER, Aix-Marseille Université, AMSE 14:00-14:30 (30min) › Group Network Multivariate GARCH - Jian CHEN, University of Sussex 14:30-15:00 (30min) › Volatility prediction under misspecification - Genaro SUCARRAT, BI Norwegian Business School 15:00-15:30 (30min) Coffee break 15:30 - 16:00 (30min) Coffee break Lobby - Ground floor Keynote Lecture #2 - Federico BANDI, Johns Hopkins University "Signature-based econometrics" Chair: Christophe HURLIN 16:00 - 16:45 (45min) Keynote Lecture #2 - Federico BANDI, Johns Hopkins University "Signature-based econometrics" Chair: Christophe HURLIN Amphitheater - 3rd floor Guest speaker #1 - Julia SCHAUMBURG, Vrije Universiteit Amsterdam "Multi-period forecasting of inflation at risk using parsimonious neural networks" 16:45 - 17:15 (30min) Guest speaker #1 - Julia SCHAUMBURG, Vrije Universiteit Amsterdam "Multi-period forecasting of inflation at risk using parsimonious neural networks" Amphitheater - 3rd floor https://qffe2024.sciencesconf.org/data/program/Julia_Schaumburg.docx Guest speaker #2 - Shuping SHI, Macquarie University "Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data" 17:15 - 17:45 (30min) Guest speaker #2 - Shuping SHI, Macquarie University "Uncovering Mild Drift in Asset Prices with Intraday High-Frequency Data" Amphitheater - 3rd floor https://qffe2024.sciencesconf.org/data/program/Shuping_Shi.pdf Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille 19:30 - 23:00 (3h30) Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille

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