Quantitative Finance and Financial Econometrics

8:30 - 9:00 (30min)

Welcoming coffee and registration

Lobby - Ground floor

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)

10:30 - 11:00 (30min)

Coffee break

Lobby - Ground floor

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)

12:30 - 14:00 (1h30)

Lunch

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)

15:30 - 16:00 (30min)

Coffee break

Lobby - Ground floor

16:00 - 16:45 (45min)

Keynote Lecture #2 - Federico BANDI, Johns Hopkins University

"Signature-based econometrics"

Chair: Christophe HURLIN

Amphitheater - 3rd floor

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

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

19:30 - 23:00 (3h30)

Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille