Workshop in Financial Econometrics

Jeudi 21 Mars 2019 - Vendredi 22 Mars 2019

logo_lemna     logo_universite_nantes     logo_upx-2     logo_ecox


Workshop in Financial Econometrics


Nantes, France


Keynote speaker


(Imperial College London)



Important dates



pdf Program


-- Thursday 21st March 2019 --


08.45 - 09.25


Registration and Coffee - “Main Hall”


09.25 - 09.30


Welcome and Opening Remarks - “Salle des Actes”


09.30 - 11.00


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)


11.00 - 11.30


Coffee Break - “Main Hall”


11.30 - 12.30


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

Title: Solving the "forward-premium puzzle" of finance


12.30 - 14.00




14.00 - 15.00


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)


15.00 - 19.00


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.


19.00 - 21.30   Dinner - “Les Petits Saints” (TBC)
Address 1 Rue Saint-Vincent, 44000 Nantes.


-- Friday 22nd March 2019 --


08.30 - 09.00  

Coffee - “Main Hall”


09.00 - 10.30  

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)


10.30 - 11.00  

Coffee Break - “Main Hall”


11.00 - 12.30  

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

Olivier DARNE
Christian FRANCQ
Christophe HURLIN
Sébastien LAURENT
Valérie MIGNON
Zakaria MOUSSA
Benoit SEVI
Jean-Michel ZAKOIAN


Olivier DARNE
Zakaria MOUSSA
Benoit SEVI







load Veuillez patienter ...