Barcelona Workshop in Financial Econometrics

Barcelona, May 30-31, 2024

Organizers: Christian Brownlees (Universitat Pompeu Fabra) and André B.M. Souza (ESADE Business School)


Thursday, 30th

  • 09:55-10:00: Christian Brownlees and André B.M. Souza
  • 10:00-10:40: Valentina Raponi (IESE Business School)
    Dissecting Anomalies in Conditional Asset Pricing
    with Paolo Zaffaroni
  • 10:40-11:20: Chiara Amorino (Universitat Pompeu Fabra)
    Evolving privacy: drift parameter estimation for discretely observed i.i.d diffusion processes under LDP
    with Arnaud Gloter and Hélène Halconruy
  • 11:20-11:50: Coffee Break
  • 11:50-12:30: Andre Lucas (Vrije Universiteit Amsterdam)
    Consistency, distributional convergence and optimality for observation-driven filters with applications to score-driven filters
  • 12:30-13:10: Jean-Michel Zakoian (CREST and University of Lille)
    Detection of breaks in weak location time series models with quasi-Fisher scores
    with Christian Francq and Lorenzo Trapani
  • 13:10-14:20: Lunch
  • 14:20-15:00: Mathieu Rosenbaum (École Polytechnique)
    The two square root laws of market impact and the role of sophisticated market participants
    with Bruno Durin and Grégoire Szymanski
  • 15:00-15:40: Federico M. Bandi (Johns Hopkins University)
    Signature-based Econometrics
    with Roberto Renò and Sara Svaluto-Ferro
  • 15:40-16:10: Coffee Break
  • 16:10-16:50: André B.M. Souza (ESADE Business School)
    How to Bet on Winners
    with Christian Brownlees
  • 16:50-17:30: Yingying Li (Hong Kong University of Science and Technology)
    Learning the Stochastic Discount Factor
    with Zhanhui Chen, Yi Ding and Xinghua Zheng
  • 20:00 @ Restaurant Agua: Conference Dinner

Friday, 31st

  • 10:00-10:40: Vladislav Morozov (Universitat Pompeu Fabra)
    Unit Averaging for Heterogenous Panels
    with Christian Brownlees
  • 10:40-11:20: Dennis Kristensen (University College London)
    Semiparametric Multiplicative GARCH-X: Adopting Economic Variables To Explain Volatility
    with Heejoon Han
  • 11:20-11:50: Coffee Break
  • 11:50-12:30: Anders Bredahl Kock (University of Oxford)
    A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations
    with David Preinerstorfer
  • 12:30-13:10: Michael Wolf (University of Zurich)
    The Hedged Random Forest
  • 13:10-14:20: Lunch
  • 14:20-15:00: Giuseppe Cavaliere (University of Bologna and University of Exeter Business School)
    Bootstrap Theory for Duration Models
  • 15:00-15:40: Matias D. Cattaneo (Princeton University)
    Bootstrap-Assisted Inference for Generalized Grenander-type Estimators
    with Michael Jansson and Kenichi Nagasawa
  • 15:40-16:10 Coffee Break
  • 16:10-16:50: Marcelo Fernandes (Sao Paulo School of Economics, FGV)
    Parametric Portfolio Policy with Transaction Costs

Venue and Logistics

Conference Venue

The conference will be held at the Mercè Rodoreda Auditorium, Universitat Pompeu Fabra, Ciutadella Campus
Mercè Rodoreda Building (the one highlighted in red in the picture below), Room 23.S05

Conference Dinner

The conference dinner is at Agua at 20:00, on Thursday 30th.

Passeig Marítim de la Barceloneta, 30, 08003 Barcelona