Program
Thursday, 14th
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09:55-10:00: Organizers
Welcome
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10:00-10:40:
Daniele Massacci (King's College London)
Model Comparison with Latent Factors
with Cesare Robotti -
10:40-11:20:
Anastasija Tetereva (Erasmus University Rotterdam)
Forecast Combination for Tail Risk with Regulator-Aware Decision Trees
with Ekaterina Kazak - 11:20-11:50: Coffee Break
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11:50-12:30:
Dario Palumbo (Ca' Foscari University of Venice)
Multivariate Score-Driven Models for Strictly Positive Variables
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12:30-13:10:
Sebastien Laurent (Aix-Marseille School of Economics)
Penalized Autoregressive Conditional Betas
with Christian Francq, Sébastien Laurent and Julie Schnaitmann - 13:10-14:20: Lunch
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14:20-15:00:
Nour Meddahi (Toulouse School of Economics)
Generalized Autoregressive Models for Univariate and Multivariate Binary Data
with Anna Bykhovskaya -
15:00-15:40:
Mark Podolskij (University of Luxembourg)
Statistical methods for high-dimensional volatility
- 15:40-16:10: Coffee Break
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16:10-16:50:
Stefan Voigt (University of Copenhagen)
Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor
with Gregor Kastner, Luis Gruber and Patrick Weiss -
16:50-17:30:
Kaizheng Wang (Columbia University)
The Nonstationarity-Complexity Tradeoff in Return Prediction
with Agostino Capponi, Chegpiao Huang, J. Antonio Sidaoui and Jiacheng Zou - 20:00 @ Restaurant El Tribut: Conference Dinner
Friday, 15th
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10:00-10:40:
Raul Riva (Fundacao Getulio Vargas)
Risk Budgeting Mean-Variance Portfolios
with Rodrigo Targino and Bernardo Costa -
10:40-11:20:
Gustavo Freire (Nova School of Business and Economics)
Which (Nonlinear) Factor Models?
with Caio Almeida - 11:20-11:50: Coffee Break
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11:50-12:30:
Alberto Quaini (Erasmus University Rotterdam)
The Estimation-Efficiency Frontier in Portfolio Complexity
with Jiaqin Chen, Geng Deng, and Ming Yuan -
12:30-13:10:
Andre A.P. Santos (CUNEF Universidad)
A Forest Full of Risk Forecasts for Managing Volatility
with Onno Kleen and Anastasija Tetereva - 13:10-14:20: Lunch
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14:20-15:00:
Caio Almeida (Princeton University)
Conditional Expected Option Returns
with Fousseni Chabi-Yo and Gustavo Freire -
15:00-15:40:
Valentina Raponi (IESE Business School)
Testing for Weak Factors in Asset Pricing
with Soohun Kim and Paolo Zaffaroni - 15:40-16:10 Coffee Break
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16:10-16:50:
Jordi Llorens-Terrazas (Universidad Carlos III)
Generative Predictive Distributions for Time Series
with Mika Meitz
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 El Tribut at 20:00, on Thursday 14th.
Balcó Gastronòmic del Port Olímpic