Scientific Programme

Friday 9th June

9:00-09:30 Registration

9:30-10:00 Opening session

Session 1


Yacine Ait-Sahalia, Princeton University (USA)

High frequency market making: implications for liquidity

Paolo Zaffaroni, Imperial College London (UK)

Testing beta-pricing models using large cross-sections

Valentina Corradi, University of Surrey (UK)

Testing for jump spillovers without testing for jumps

11:30-12:00 Coffee Break

Session 2


Jean-Philippe Boucher, Université du Québec à Montréal (Canada)

Sarmanov family of multivariate distributions for bivariate dynamics claim counts model

Enkelejd Hashorva, Université de Lausanne (Switzerland)

Aggregation of Heavy and Light-tailed Risks

Steven Vanduffel, Vrije Universiteit Brussel (Belgium)

Model-free approach of pricing multivariate derivatives

13:30-15:00 Lunch

Session 3


Cesare Robotti, University of Georgia (Athens)

Model comparison with sharpe ratios

Federico Bandi, Johns Hopkins University (USA)

Systematic flatness

Weining Wang, Humboldt University of Berlin (Germany)

Network quantile autoregresion

16:30-17:00 Coffee Break

Session 4


Wolfgang Härdle, Humboldt University of Berlin (Germany)

A first econometric analysis of the CRIX family

Enrique Sentana, CEMFI (Spain)

Specification tests for non-Gaussian maximum likelihood estimators

Carlos Velasco, Universidad Carlos III de Madrid (Spain)

Inference on trending panel data

Saturday 10th June

Session 5


Miguel A. Delgado, Universidad Carlos III de Madrid (Spain)

Nonparametric Tests for Conditional Symmetry

Yongmiao Hong, Cornell University (USA)

Selection of an optimal rolling window in time-varying predictive regression

Stefan Sperlich, Université de Genève (Switzerland)

An Omnibus Specification Test of Conditional Asset Pricing Models

11:30-12:00 Coffee Break

Session 6


Cheng Huang, Humboldt University of Berlin (Germany)

Multivariate factorisable expectile regression with application to fMRI data

Christian Hafner, Université Catholique de Louvain (Belgium)

Exponential-type GARCH models with linear-in-variance risk premia

13:45-15:30 Lunch

Session 7


Ai Jun Hou, Stockholms Universitet (Sweden)

Long-run or short-run betas does it matter for pricing equity?

Jens Perch Nielsen, City University of London (UK)

Long term market dynamics bespoke for pension products

Julio A. Crego, CEMFI (Spain)

Does Public News Decrease Information Asymmetries?

17:00-17:30 Coffee Break

Session 8


Dante Amengual ,CEMFI (Spain)

Is a normal copula the right copula?

Alberto Martín Utrera, Lancaster University (UK)

A portfolio perspective on the multitude of firm characteristics

Oliver Linton, Cambridge University (UK)

A coupled component GARCH model for intraday and overnight volatility