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