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
8:30 - 9:00 (30min)
Welcoming coffee and registration
Lobby - Ground floor
9:00 - 9:15 (15min)
Forewords
Amphitheater - 3rd floor
›9:15 (1h)
› Amphitheater - 3rd floor
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 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)
11:15 - 11:45 (30min)
Coffee break
Lobby - Ground floor
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)
›12:45 (1h15)
12:45 - 14:00 (1h15)
Lunch
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)
15:30 - 16:00 (30min)
Coffee break
Lobby - Ground floor
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 (2h)
› Room 23 - 1st floor
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)
19:30 - 23:00 (3h30)
Dinner at "O'2 Pointus" - 44 Quai Marcel Pagnol, 13007 Marseille
