Workshop in Financial Econometrics

Registration and Coffee – “Main Hall”

Welcome and Opening Remarks – “Salle des Actes”

Session 1 [Forecasting Commodity Markets] – “Salle des Actes”

Real-time forecast of Henry Hub natural gas prices
Presenter: Arthur Thomas (LEMNA – Université de Nantes & IFPEN)

Predictive regressions in commodity markets
Presenter: Jean-Baptiste Bonnier (LEMNA – Université de Nantes)

Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market
Presenter: Anthony Paris (IFPEN & EconomiX)

Coffee Break – “Main Hall”

Key Note Talk – “Salle des Actes”
Presenter: Pr. Karim Abadir

Title: Solving the « forward-premium puzzle » of finance

Lunch

Session 2 [Risk Analysis] – “Salles des Actes”

A Meta-analysis of Systemic Risk Measures for gauging Financial Stability
Presenter: Jean-Charles Garibal (Université d’Orléans)

Fire Sales and Debt Maturity
Presenter: Samuel Ligonnière (Université Paris 2, Panthéon-Assas)

Social Activity – “LES MACHINES DE L’ILE”

Right after the last session, we will use the tram to visit the Machines de l’Ile. We will offer you a guided tour and experience first-hand the functioning of weird creatures that only fantasy can limit.

We will then enjoy the Sea World Carousel. See the last page of the program for more information.

Coffee – “Main Hall”

Session 3 [Volatility analysis and jumps] – “Salle des Actes”

News and Intraday Jumps: A Big Data Approach
Presenter: Massimiliano Caporin (University of Padova)

Backtesting Expected Shortfall via Multi-Quantile Regression
Presenter: Ophélie Couperier (CREST-ENSAE)

Renewal Based Volatility Estimation
Presenter: Ingmar Nolte (Lancaster University Management School)

Coffee Break – “Main Hall”

Session 4 [Microstructure] – “Salle des Actes”

Estimating the leverage effect using pre-averaging based estimation of integrated volatility in the presence of microstructure noise
Presenter: Daniele Bregantini (University of Liverpool)

Auction and continuous markets: complements rather than substitutes? The case of the German
power spot market for quarter hourly contracts
Presenter: Clara Balardy (Université Paris-Dauphine)

Volatility Estimation of Thinly Traded Assets
Presenter: Genaro Succarat (BI Norwegian Business School)

Scientific Committee

Guillaume CHEVILLON
Olivier DARNE
Gilles DE TRUCHIS
Elena DUMITRESCU
Christian FRANCQ
Christophe HURLIN
Sébastien LAURENT
Valérie MIGNON
Zakaria MOUSSA
Jeroen ROMBOUTS
Benoit SEVI
Jean-Michel ZAKOIAN

Organizers

Olivier DARNE
Gilles DE TRUCHIS
Elena DUMITRESCU
Zakaria MOUSSA
Benoit SEVI