Econometric Theory and Time Series Analysis Workshop

›8:45 (35min)

Accueil des participants

› Cours de l'Hotel de Lauzun

›9:20 (1h20)

Séries Temporelles
Yang Lu

› Salle des Gardes

›9:20 (40min)

Modeling leverage and long memory in volatility in a pure jump process
Philippe Soulier

› Salle des Gardes

›10:00 (40min)

No-arbitrage Implies Power-Law Market Impact and Rough Volatility
Matthieu Rosenbaum

› Salle des Gardes

›10:40 (30min)

Pause café

› Cours de l'Hotel de Lauzun

›11:10 (1h20)

Econométrie Théorique
Andreas Heinen

› Salle des Gardes

›11:10 (40min)

Relevant Parameter Changes in Structural Break Models
Jeroen Rombouts

› Salle des Gardes

›11:50 (40min)

Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Christian Francq

› Salle des Gardes

›12:40 (1h20)

Déjeuner

› Cours de l'Hotel de Lauzun

›14:00 (1h20)

Séries Temporelles
Athanasios Batakis

› Salle des Gardes

›14:00 (40min)

A New Approach for High-frequency Statistics Based on Empirical Characteristic Functions
Jean Jacod

› Salle des Gardes

›14:40 (40min)

Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance
Patrice Bertail

› Salle des Gardes

›15:20 (30min)

Pause café

› Cours de l'Hotel de Lauzun

›15:50 (1h20)

Econométrie Théorique
Valérie Mignon

› Salle des Gardes

›15:50 (40min)

Noncausal Heavy-Tailed Autoregressive Process and the Modeling of Bubbles
Jean-Michel Zakoian

› Salle des Gardes

›16:30 (40min)

Exuberance: Sentiments Driven Buoyancy
Guillaume Chevillon

› Salle des Gardes