Econometric Theory and Time Series Analysis Workshop
19 sept. 2018 Paris (France)
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Programme
Mer. 19
Liste
mercredi 19 septembre 2018
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
›8:45 (35min)
Accueil des participants
› Cours de l'Hotel de Lauzun
8:45 - 9:20 (35min)
Accueil des participants
Cours de l'Hotel de Lauzun
›9:20 (1h20)
Séries Temporelles
Yang Lu
› Salle des Gardes
9:20 - 10:40 (1h20)
Séries Temporelles
Salle des Gardes
Yang Lu
›9:20 (40min)
Modeling leverage and long memory in volatility in a pure jump process
Philippe Soulier
› Salle des Gardes
9:20 - 10:00 (40min)
Modeling leverage and long memory in volatility in a pure jump process
Salle des Gardes
Philippe Soulier
›10:00 (40min)
No-arbitrage Implies Power-Law Market Impact and Rough Volatility
Matthieu Rosenbaum
› Salle des Gardes
10:00 - 10:40 (40min)
No-arbitrage Implies Power-Law Market Impact and Rough Volatility
Salle des Gardes
Matthieu Rosenbaum
›10:40 (30min)
Pause café
› Cours de l'Hotel de Lauzun
10:40 - 11:10 (30min)
Pause café
Cours de l'Hotel de Lauzun
›11:10 (1h20)
Econométrie Théorique
Andreas Heinen
› Salle des Gardes
11:10 - 12:30 (1h20)
Econométrie Théorique
Salle des Gardes
Andreas Heinen
›11:10 (40min)
Relevant Parameter Changes in Structural Break Models
Jeroen Rombouts
› Salle des Gardes
11:10 - 11:50 (40min)
Relevant Parameter Changes in Structural Break Models
Salle des Gardes
Jeroen Rombouts
›11:50 (40min)
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Christian Francq
› Salle des Gardes
11:50 - 12:30 (40min)
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Salle des Gardes
Christian Francq
›12:40 (1h20)
Déjeuner
› Cours de l'Hotel de Lauzun
12:40 - 14:00 (1h20)
Déjeuner
Cours de l'Hotel de Lauzun
›14:00 (1h20)
Séries Temporelles
Athanasios Batakis
› Salle des Gardes
14:00 - 15:20 (1h20)
Séries Temporelles
Salle des Gardes
Athanasios Batakis
›14:00 (40min)
A New Approach for High-frequency Statistics Based on Empirical Characteristic Functions
Jean Jacod
› Salle des Gardes
14:00 - 14:40 (40min)
A New Approach for High-frequency Statistics Based on Empirical Characteristic Functions
Salle des Gardes
Jean Jacod
›14:40 (40min)
Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance
Patrice Bertail
› Salle des Gardes
14:40 - 15:20 (40min)
Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance
Salle des Gardes
Patrice Bertail
›15:20 (30min)
Pause café
› Cours de l'Hotel de Lauzun
15:20 - 15:50 (30min)
Pause café
Cours de l'Hotel de Lauzun
›15:50 (1h20)
Econométrie Théorique
Valérie Mignon
› Salle des Gardes
15:50 - 17:10 (1h20)
Econométrie Théorique
Salle des Gardes
Valérie Mignon
›15:50 (40min)
Noncausal Heavy-Tailed Autoregressive Process and the Modeling of Bubbles
Jean-Michel Zakoian
› Salle des Gardes
15:50 - 16:30 (40min)
Noncausal Heavy-Tailed Autoregressive Process and the Modeling of Bubbles
Salle des Gardes
Jean-Michel Zakoian
›16:30 (40min)
Exuberance: Sentiments Driven Buoyancy
Guillaume Chevillon
› Salle des Gardes
16:30 - 17:10 (40min)
Exuberance: Sentiments Driven Buoyancy
Salle des Gardes
Guillaume Chevillon
Session
Discours
Logistique
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