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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 - 10:20 (1h20)
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence"
Amphitheater - 3rd floor
10:20 - 10:40 (20min)
Coffee break
Lobby - Ground floor
10:40 - 12:00 (1h20)
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence"
Amphitheater - 3rd floor
12:00 - 13:30 (1h30)
Lunch
Lobby - Ground floor
13:30 - 15:00 (1h30)
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence"
Amphitheater - 3rd floor
15:00 - 15:20 (20min)
Coffee break
Lobby - Ground floor
15:20 - 17:00 (1h40)
Course by Silvia GONCALVES, McGill University "Bootstrap methods under serial and cross sectional dependence"
Amphitheater - 3rd floor
19:30 - 23:00 (3h30)
Dinner at "Les Grandes Halles du Vieux-Port" - 30 Cours Honoré d'Estienne d'Orves, 13001 Marseille
9:00 - 10:20 (1h20)
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing"
Amphitheater - 3rd floor
10:20 - 10:40 (20min)
Coffee break
Lobby - Ground floor
10:40 - 12:00 (1h20)
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing"
Amphitheater - 3rd floor
12:00 - 13:30 (1h30)
Lunch
Lobby - Ground floor
13:30 - 15:00 (1h30)
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing"
Amphitheater - 3rd floor
15:00 - 15:20 (20min)
Coffee break
Lobby - Ground floor
15:20 - 17:00 (1h40)
Course by Federico BANDI, Johns Hopkins University "Spectral asset pricing"
Amphitheater - 3rd floor
8:30 - 9:00 (30min)
Welcoming coffee and registration
Lobby - Ground floor
9:00 - 9:15 (15min)
Forewords
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 - 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 - 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
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
19:30 - 23:00 (3h30)
Dinner at "Blum Brasserie Pizzeria" - 125 La Canebière, 13001 Marseille
