Program
Thursday, November 14, 2019
| Time |
Event |
|
|
08:30 - 09:00
|
Coffee break |
|
|
09:00 - 10:30
|
APPLIED ECONOMETRICS 1 |
|
| 09:00 - 09:30 |
› Quantile regression analysis of censored data with selection. An application to willingness to pay data - Olivier Chanel, AMSE |
|
| 09:30 - 10:00 |
› The Dynamics of Individual Happiness - Lionel Wilner, INSEE, Centre de Recherche en Économie et Statistique (CREST) |
|
| 10:00 - 10:30 |
› Spousal Preferences and Parental Search: Data from China - Eva Raiber, Aix-Marseille School of Economics |
|
|
10:30 - 11:00
|
Coffee break |
|
|
11:00 - 12:00
|
Jean-Marie Dufour (McGill University)
"Simple estimators and inference for higher-order stochastic volatility models and forecasting", with Nazmul Ahsan - Keynote Lecture #1 |
|
|
12:00 - 13:30
|
Lunch and poster session |
|
| 12:00 - 13:30 |
› Complex Financial Networks: Measuring Contagion - Kumushoy Abduraimova, Imperial College Business School |
|
| 12:00 - 13:30 |
› Projected Dynamic Conditional Correlations - Jordi Llorens-Terrazas, Universitat Pompeu Fabra [Barcelona] |
|
| 12:00 - 13:30 |
› The effects of age on educational performances at the end of primary school : cross-sectional and regression discontinuity approach applications from Reunion Island - Daniel RAKOTOMALALA, Centre d\'Économie et de Management de lÓcéan Indien |
|
| 12:00 - 13:30 |
› The Impact of Prior Information on the Connectedness of Networks - Dmitrii Filatov, Bocconi University |
|
| 12:00 - 13:30 |
› Uncertainty is bad for Business. Really? - Nicolas Himounet, Centre d'économie de l'Université Paris Nord, UMR CNRS n° 7234 |
|
|
13:30 - 15:30
|
FINANCE |
|
| 13:30 - 14:00 |
› Renewal Based Volatility Estimation - Yifan Li, Alliance Manchester Business School |
|
| 14:00 - 14:30 |
› New robust inference for predictive regression - Anton Skrobotov, Saint Petersburg University |
|
| 14:30 - 15:00 |
› Estimating Realized Variance: An Intrinsic Time Approach - Sina Streicher, ETH Zürich |
|
| 15:00 - 15:30 |
› Noncausal Affine Process with Applications to Derivative Pricing - Yang Lu, Centre d'Économie de l'université Paris Nord |
|
|
15:30 - 16:00
|
Coffee break |
|
|
16:00 - 17:00
|
Yacine Ait-Sahalia (Princeton University)
"Implied Stochastic Volatility Models", with Chenxu Li and Chen Xu Li - Keynote Lecture #2 |
|
|
17:00 - 18:00
|
MARKETS |
|
| 17:00 - 17:30 |
› Time and the price impact of trades in Australian banking stocks around interest rate announcements - Manh Cuong Pham, Lancaster University |
|
| 17:30 - 18:00 |
› Time-Varying Risk Premia in Large International Equity Markets - Ines Chaieb, University of Geneva and Swiss Finance Institute |
|
|
19:30 - 23:00
|
Dinner |
|
Friday, November 15, 2019
| Time |
Event |
|
|
08:30 - 09:00
|
Coffee break |
|
|
09:00 - 11:00
|
ECONOMETRICS |
|
| 09:00 - 09:30 |
› Specification tests for semiparametric models with generated covariates - Elia Lapenta, Toulouse School of Economics |
|
| 09:30 - 10:00 |
› Iterations of random maps and exogeneity in nonlinear dynamics - Lionel Truquet, CREST-ENSAI |
|
| 10:00 - 10:30 |
› Sign tests for dependent observations - Rustam Ibragimov, Imperial College Business School |
|
| 10:30 - 11:00 |
› Mollication applied to nonparametric instrumental regression - Anne Vanhems, Toulouse Business School |
|
|
11:00 - 11:30
|
Coffee break |
|
|
11:30 - 12:30
|
Jean Jacod (Université Pierre et Marie Curie)
"High-Frequency Statistics for a Semimartingale with Jump Activity varying with time" - Keynote Lecture #3 |
|
|
12:30 - 13:30
|
Lunch and poster session - See the previous day |
|
|
13:30 - 14:30
|
Yongcheol Shin (University of York)
"The Spatio-Temporal Autoregressive Distributed Lag Modelling Approach to an Analysis of Dynamic Networks" - Keynote Lecture #4 |
|
|
14:30 - 15:00
|
Linear models with interval-censored explanatory variables - Thierry Magnac, TSE |
|
|
15:00 - 15:30
|
Coffee break |
|
|
15:30 - 17:00
|
APPLIED ECONOMETRICS 2 |
|
| 15:30 - 16:00 |
› Fiscal reaction functions for advanced economies revisited - Stefano Fachin, |
|
| 16:00 - 16:30 |
› Backtesting Global Growth-at-Risk - Andre Souza, Universitat Pompeu Fabra [Barcelona] |
|
| 16:30 - 17:00 |
› Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems - Gilles de Truchis, Université Paris Nanterre |
|
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