Planning

Wednesday, September 19, 2018
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
›8:45 (35min)
Welcome and registration
› Cours de l'Hotel de Lauzun
›9:20 (1h20)
Time Series Analysis
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)
Coffee break
› Cours de l'Hotel de Lauzun
›11:10 (1h20)
Econometric Theory
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)
Lunch
› Cours de l'Hotel de Lauzun
›14:00 (1h20)
Time Series Analysis
Athanasios Batakis
› Salle des Gardes
›15:20 (30min)
Coffee break
› Cours de l'Hotel de Lauzun
›15:50 (1h20)
Econometric Theory
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
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