Econometric Theory and Time Series Analysis Workshop

Mercredi 19 Septembre 2018

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Econometric Theory and Time Series Analysis Workshop


mercredi 19 septembre 2018


Hotel de Lauzun (17 quai d'Anjou, 75004 Paris)




Denisa Banulescu (Université d'Oréans, LEO), Gilles de Truchis et Elena Dumitrescu (Université Paris Nanterre, EconomiX)


Programme pdf


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  




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