Schedule

November 30

08:30-09:00
09:00-11:20
Welcome
Session 1: Financial econometrics 1

09:00-10:00
Anders Rabhek (U. of Copenhagen, keynote speaker): “Bootstrap in Non-Causal Autoregressive Processes”
10:00-10:40
Sébastien Fries (CREST): “Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles”
Discussion: Guillaume Chevillon (ESSEC)
10:40-11:20
Nour Meddahi (TSE): “Volatility Regressions with Fat Tails”
Discussion: Arnaud Gloter (Evry U.)

11:20-11:40
11:40-13:00
Coffee break
Session 2: Microeconometrics 1

11:40-12:20
Philippe Choné (CREST): “A Structural Model of Hospital Competition”
Discussion: Laurent Lamy (CIRED)
12:20-13:00
Yann Bramoullé (AMSE): “Promotion through Connections: Favors or Information?”
Discussion: Thomas Breda (PSE)

13:00-14:00

Lunch and poster session

  • Nicolas Lepage-Saucier (ENSAI): “Robust Inference in Differentiated Products Demand Models”
  • 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”
  • Valerio Scalone (Banque de France): “Shocking the Borrowing Constraint over the Financial Cycle: Evidence of Non-linearities”
  • Mamiko Yamashita (TSE): “Return Predictability and Risk Management”

14:00-16:20
Session 3: Macroeconometrics

14:00-15:00
Raffaella Giacomini (UCL, keynote speaker): “Uncertain Identification”
15:00-15:40
Guillaume Chevillon (ESSEC): “Robust Inference in Structural VARs with Long-run Restrictions”
Discussion: Catherine Doz (PSE-Paris 1)
15:40-16:00
Jules Tinang (TSE): “Macro Uncertainty and the Term Structure of Risk Premium”
Discussion: Roméo Tedongap (ESSEC)

16:20-16:40
16:40-18:20
Coffee break
Session 4: Statistics

16:40-17:40
Azeem Shaikh (U. of Chicago, keynote speaker): “Inference with Covariate-adaptive Randomization”
17:40-18:20
Vincent Cottet (CREST): “Estimation Bounds and Sharp Oracle Inequalities of Regularized Procedures with Lipschitz Loss Functions”
Discussion: Pascal Lavergne (TSE)

20:00
Conference dinner


December 1

08:45-09:20
09:20-11:00
Welcome
Session 5: Networks & matching models

09:20-10:20
Alfred Galichon (NYU, keynote speaker): “Taxation in matching markets: theory and econometrics”
10:20-11:00
Cristina Gualdani (TSE): “An Econometric Model of Network Formation with an Application to Board Interlocks between Firms”
Discussion: Francis Kramarz (CREST)

11:00-11:15
11:15-13:15
Coffee break
Session 6: Financial econometrics 2

11:15-11:55
Anmar Al Wakil (Dauphine U.): “Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options”
Discussion: Elise Gourier (Queen Mary U.)
11:55-12:35
Elise Gourier (Queen Mary U.): “Pricing of Idiosyncratic Equity and Variance Risks”
Discussion: Francesco Violante (CREST)
12:35-13:15
Genaro Sucarrat (Oslo U.): “Risk Estimation when the Zero-Probability of Financial Return is Time-Varying”
Discussion: Christian Francq (CREST)

13:15-14:20

Lunch and poster session

  • Nicolas Lepage-Saucier (ENSAI): “Robust Inference in Differentiated Products Demand Models”
  • 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”
  • Valerio Scalone (Banque de France): “Shocking the Borrowing Constraint over the Financial Cycle: Evidence of Non-linearities”
  • Mamiko Yamashita (TSE): “Return Predictability and Risk Management”

14:20-16:00
Session 7: Microeconometrics 2

14:20-15:20
Jeremy Fox (Rice U., keynote speaker): “Heterogenous Production Functions, Panel Data, and Productivity Dispersion”
15:20-16:00
Pascal Lavergne (TSE): “Identification-Robust Nonparametric Inference in a Linear IV Model”