November 28
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08:30-09:00
09:00-11:20
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Welcome
Session 1: Financial econometrics 1
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[one_fourth]
09:00-10:00
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Anders Rabhek (U. of Copenhagen, keynote speaker): “Bootstrap in Non-Causal Autoregressive Processes”
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10:00-10:40
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Sébastien Fries (CREST): “Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles”
Discussion: Guillaume Chevillon (ESSEC)
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10:40-11:20
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Nour Meddahi (TSE): “Volatility Regressions with Fat Tails”
Discussion: Arnaud Gloter (Evry U.)
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[one_fourth]
11:20-11:40
11:40-13:00
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Coffee break
Session 2: Microeconometrics 1
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[one_fourth]
11:40-12:20
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Yann Bramoullé (AMSE): “Promotion through Connections: Favors or Information?”
Discussion: Thomas Breda (PSE)
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12:20-13:00
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Philippe Choné (CREST): “A Structural Model of Hospital Competition”
Discussion: Laurent Lamy (CIRED)
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[one_fourth]13:00-14:00[/one_fourth][three_fourth_last]
Lunch and poster session
- Magali Marx (Banque de France): “Identification of Structural VARs with Sign and/or Zero Restrictions : a New Algorithm”
- Serge Nyawa (TSE): “A Factor Model for systemic risk using Mutually Exciting Jump Processes”
- Purevdorj Tuvaandorj (ENSAI): “Robust Inference in Differentiated Products Demand Models”
- Mamiko Yamashita (TSE): “Return Predictability and Risk Management”
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[one_fourth]
14:00-16:20
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Session 3: Macroeconometrics
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[one_fourth]
14:00-15:00
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Raffaella Giacomini (UCL, keynote speaker): “Uncertain Identification”
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15:00-15:40
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Guillaume Chevillon (ESSEC): “Robust Inference in Structural VARs with Long-run Restrictions”
Discussion: Catherine Doz (PSE-Paris 1)
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15:40-16:20
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Jules Tinang (TSE): “Macro Uncertainty and the Term Structure of Risk Premium”
Discussion: Roméo Tedongap (ESSEC)
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[one_fourth]
16:20-16:40
16:40-18:20
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Coffee break
Session 4: Statistics
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[one_fourth]
16:40-17:40
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Azeem Shaikh (U. of Chicago, keynote speaker): “Inference with Covariate-adaptive Randomization”
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17:40-18:20
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Vincent Cottet (CREST): “Estimation Bounds and Sharp Oracle Inequalities of Regularized Procedures with Lipschitz Loss Functions”
Discussion: Pascal Lavergne (TSE)
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[one_fourth]
20:00
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Conference dinner
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November 29
[one_fourth]
08:45-09:20
09:20-11:00
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Welcome
Session 5: Networks & matching models
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[one_fourth]
09:20-10:20
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Alfred Galichon (NYU, keynote speaker): “Taxation in matching markets: theory and econometrics”
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10:20-11:00
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Cristina Gualdani (TSE): “An Econometric Model of Network Formation with an Application to Board Interlocks between Firms”
Discussion: Francis Kramarz (CREST)
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[one_fourth]
11:00-11:15
11:15-13:15
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Coffee break
Session 6: Financial econometrics 2
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[one_fourth]
11:15-11:55
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Anmar Al Wakil (Dauphine U.): “Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options”
Discussion: Elise Gourier (Queen Mary U.)
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11:55-12:35
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Elise Gourier (Queen Mary U.): “Pricing of Idiosyncratic Equity and Variance Risks”
Discussion: Francesco Violante (CREST)
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12:35-13:15
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Genaro Sucarrat (Oslo U.): “Risk Estimation when the Zero-Probability of Financial Return is Time-Varying”
Discussion: Christian Francq (CREST)
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[one_fourth]13:15-14:20[/one_fourth][three_fourth_last]
Lunch and poster session
- Magali Marx (Banque de France): “Identification of Structural VARs with Sign and/or Zero Restrictions : a New Algorithm”
- Serge Nyawa (TSE): “A Factor Model for systemic risk using Mutually Exciting Jump Processes”
- Purevdorj Tuvaandorj (ENSAI): “Robust Inference in Differentiated Products Demand Models”
- Mamiko Yamashita (TSE): “Return Predictability and Risk Management”
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[one_fourth]
14:20-16:00
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Session 7: Microeconometrics 2
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[one_fourth]
14:20-15:20
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Jeremy Fox (Rice U., keynote speaker): “Heterogenous Production Functions, Panel Data, and Productivity Dispersion”
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15:20-16:00
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Pascal Lavergne (TSE): “Identification-Robust Nonparametric Inference in a Linear IV Model”
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