Planning
Wednesday, September 19, 2018
| Time |
Event |
(+)
|
|
08:45 - 09:20
|
Welcome and registration (Cours de l'Hotel de Lauzun) |
|
|
09:20 - 10:40
|
Time Series Analysis (Salle des Gardes) - Yang Lu |
|
|
09:20 - 10:00
|
Modeling leverage and long memory in volatility in a pure jump process (Salle des Gardes) - Philippe Soulier |
|
|
10:00 - 10:40
|
No-arbitrage Implies Power-Law Market Impact and Rough Volatility (Salle des Gardes) - Matthieu Rosenbaum |
|
|
10:40 - 11:10
|
Coffee break (Cours de l'Hotel de Lauzun) |
|
|
11:10 - 12:30
|
Econometric Theory (Salle des Gardes) - Andreas Heinen |
|
|
11:10 - 11:50
|
Relevant Parameter Changes in Structural Break Models (Salle des Gardes) - Jeroen Rombouts |
|
|
11:50 - 12:30
|
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (Salle des Gardes) - Christian Francq |
|
|
12:40 - 14:00
|
Lunch (Cours de l'Hotel de Lauzun) |
|
|
14:00 - 15:20
|
Time Series Analysis (Salle des Gardes) - Athanasios Batakis |
|
|
14:00 - 14:40
|
A New Approach for High-frequency Statistics Based on Empirical Characteristic Functions (Salle des Gardes) - Jean Jacod |
|
|
14:40 - 15:20
|
Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance (Salle des Gardes) - Patrice Bertail |
|
|
15:20 - 15:50
|
Coffee break (Cours de l'Hotel de Lauzun) |
|
|
15:50 - 17:10
|
Econometric Theory (Salle des Gardes) - Valérie Mignon |
|
|
15:50 - 16:30
|
Noncausal Heavy-Tailed Autoregressive Process and the Modeling of Bubbles (Salle des Gardes) - Jean-Michel Zakoian |
|
|
16:30 - 17:10
|
Exuberance: Sentiments Driven Buoyancy (Salle des Gardes) - Guillaume Chevillon |
|
|
