Econometric Theory and Time Series Analysis Workshop
mercredi 19 septembre 2018
Hotel de Lauzun (17 quai d’Anjou, 75004 Paris)
Organisation
Denisa Banulescu (Université d’Oréans, LEO), Gilles de Truchis et Elena Dumitrescu (Université Paris Nanterre, EconomiX)
Programme 
| 08h45 – 09h15 | Welcome and Registration | |
| 09h15 – 09h20 | Welcome Talk | |
| 09h20 – 10h40 | Time Series Analysis 1 | |
| P. Soulier | To be announced | University of Paris Nanterre |
| M. Rosenbaum | No-arbitrage implies power-law market impact and rough volatility | Ecole Polytechnique |
| 10h40 – 11h10 | Coffee Break | |
| 11h10 – 12h30 | Econometric Theory 1 | |
| J. Rombouts | Relevant parameter changes in structural break models | ESSEC Business School |
| C. Francq | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas | CREST & University of Lille |
| 12h40 – 14h00 | Lunch | |
| 14h00 – 15h20 | Time Series Analysis 2 | |
| J. Jacod | A New Approach for High-frequency Statistics Based on Empirical Characteristis Functions | University Pierre-et-Marie-Curie |
| P. Bertail | Extreme values statistics for Markov Chains with applications to Finance and Insurance | University of Paris Nanterre |
| 15h20 – 15h50 | Coffee Break | |
| 15h50 – 17h10 | Econometric Theory 2 | |
| J-M. Zakoian | Noncausal heavy-tailed autoregressive process and the modeling of bubbles | CREST & University of Lille |
| G. Chevillon | Exuberance: Sentiments Driven Buoyancy | ESSEC Business School |
| 17h10 – 17h30 | End |
