9 h 00

Accueil des participants

Session I 

9 h 00

Wassim Le Lann (U. Orléans, LEO)
Quantile regression backtest for tail-risk measures
Discutant : C Boucher

9 h 35

Julien Royer (CREST, ENSAE, Institut Polytechnique de Paris)
Conditional asymmetry in ARCH(1) models
Discutant : Thomas Chuffart

10 h 10

Sébastien Fries (Vrije Universiteit Amsterdam)

Forecasting Heavy-Tailed Noncausal Processes and Bubble Crash Odds

Discutant : Arthur Thomas

10 h 45

Pause

10 h 55

Henri Fraisse, Matthias Laporte (Banque de France)

Return on Investment in Artificial Intelligence: the Case of Bank Capital Requirement

Discutant : Wassim Le Lann

11 h 30

Jean-Baptiste Hasse (AMSE), Quentin Lajaunie (U. Paris Dauphine)

Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis

Discutant : Maxime Fajeau

12 h 05

Maxime Fajeau (U. Paris 1, PSE)

Too Much Finance or Too Many Weak Instruments?

Discutant : Henri Fraisse

12 h 40

Pause

Session II 

13 h 45

Bertrand Candelon, Angelo Luisi (U. Catholique de Louvain, Louvain Finance)

Testing for the Validity of W in GVAR models

14 h 20

Jean-Baptiste Bonnier (U. Nantes, LEMNA)

Speculation and informational efficiency in commodity futures markets

Discutant : Anthony Paris

14 h 55

Zakaria Moussa (U. Nantes, LEMNA) Arthur Thomas (ENSAE, U. Nantes, LEMNA)

Disentangling oil supply unanticipated and news shocks: Non-Causal VAR

Discutant : Sébastien Fries

15 h 30

Pause

15 h 40

Marco Pinchetti (ULB, ECARES), Andrzej Szczepaniak (U. Ghent)

The Global Information Effect: Central Bank Information, International Spillovers, and Flight to Quality

Discutant : Angelo Luissi

16 h 15

Marielle De Jong (Grenoble Ecole de Management), Frank J. Fabozzi (EDHEC Business School, Nice)

From ad hoc bond-risk measures to variance-covariance forecasts

Discutant : Roman Mestre

16 h 50

Roman Mestre, Michel Terraza (U. Montpellier, MRE)

Analyse de l’instabilité du Beta de la Droite de Marché par une Régression Forward avec Fenêtre Tempo-Fréquentielle

Discutant : Marielle de Jong