Welcome
Session 1: Financial econometrics 1

Anders Rabhek (U. of Copenhagen, keynote speaker): “Bootstrap in Non-Causal Autoregressive Processes”

Sébastien Fries (CREST): “Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles”
Discussion: Guillaume Chevillon (ESSEC)

Nour Meddahi (TSE): “Volatility Regressions with Fat Tails”
Discussion: Arnaud Gloter (Evry U.)

Coffee break
Session 2: Microeconometrics 1

Yann Bramoullé (AMSE): “Promotion through Connections: Favors or Information?”
Discussion: Thomas Breda (PSE)

Philippe Choné (CREST): “A Structural Model of Hospital Competition”
Discussion: Laurent Lamy (CIRED)

Lunch and poster session

• Magali Marx (Banque de France): “Identification of Structural VARs with Sign and/or Zero Restrictions : a New Algorithm”
• Serge Nyawa (TSE): “A Factor Model for systemic risk using Mutually Exciting Jump Processes”
• Purevdorj Tuvaandorj (ENSAI): “Robust Inference in Differentiated Products Demand Models”
• Mamiko Yamashita (TSE): “Return Predictability and Risk Management”

Raffaella Giacomini (UCL, keynote speaker): “Uncertain Identification”

Guillaume Chevillon (ESSEC): “Robust Inference in Structural VARs with Long-run Restrictions”
Discussion: Catherine Doz (PSE-Paris 1)

Jules Tinang (TSE): “Macro Uncertainty and the Term Structure of Risk Premium”
Discussion: Roméo Tedongap (ESSEC)

Coffee break
Session 4: Statistics

Azeem Shaikh (U. of Chicago, keynote speaker): “Inference with Covariate-adaptive Randomization”

Vincent Cottet (CREST): “Estimation Bounds and Sharp Oracle Inequalities of Regularized Procedures with Lipschitz Loss Functions”
Discussion: Pascal Lavergne (TSE)

Welcome
Session 5: Networks & matching models

Alfred Galichon (NYU, keynote speaker): “Taxation in matching markets: theory and econometrics”

Cristina Gualdani (TSE): “An Econometric Model of Network Formation with an Application to Board Interlocks between Firms”
Discussion: Francis Kramarz (CREST)

Coffee break
Session 6: Financial econometrics 2

Anmar Al Wakil (Dauphine U.): “Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options”
Discussion: Elise Gourier (Queen Mary U.)

Elise Gourier (Queen Mary U.): “Pricing of Idiosyncratic Equity and Variance Risks”
Discussion: Francesco Violante (CREST)

Genaro Sucarrat (Oslo U.): “Risk Estimation when the Zero-Probability of Financial Return is Time-Varying”
Discussion: Christian Francq (CREST)

Lunch and poster session

• Magali Marx (Banque de France): “Identification of Structural VARs with Sign and/or Zero Restrictions : a New Algorithm”
• Serge Nyawa (TSE): “A Factor Model for systemic risk using Mutually Exciting Jump Processes”
• Purevdorj Tuvaandorj (ENSAI): “Robust Inference in Differentiated Products Demand Models”
• Mamiko Yamashita (TSE): “Return Predictability and Risk Management”

Jeremy Fox (Rice U., keynote speaker): “Heterogenous Production Functions, Panel Data, and Productivity Dispersion”

Pascal Lavergne (TSE): “Identification-Robust Nonparametric Inference in a Linear IV Model”