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Vendredi 4 mai
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Friday, May 4
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8:25am – 8:30am
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Mot de bienvenue / Welcoming Address
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8:30am – 10:15am
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Session I
Président / Chair : Eric Jacquier (HEC Montréal, CIREQ, CIRANO)
George Jiang (University of Arizona) (avec/with Abdoul Sam)
Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields
Dobrislav Dobrev (Northwestern University)
Capturing Volatility from Large Price Moves : Generalized Range Theory and Applications
Éric Renault (University of North Carolina) (avec/with Yanqin Fan, Sergio Pastorello)
Maximization by Parts in Extremum Estimation
Commentateurs / Discussants:
Jianqing Fan (Princeton University)
Kim Christensen (University of Aarhus)
Marine Carrasco (Université de Montréal, CIREQ, CIRANO)
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10:15am – 10:45am
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Pause / Break
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10:45am – 12:30pm
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Session II
Président / Chair : Jeroen Rombouts (HEC Montréal)
Peter Christoffersen (McGill University, CIREQ, CIRANO) (avec/with Kris Jacobs, Lotfi El-Karoui, Karim Mimouni)
Estimating Term Structure Models Using Swap Rates
Matthew Harding (MIT, Harvard University)
Structural Estimation of High-Dimensional Factor Models : Uncovering the Effect of Global Factors on the US Economy
Nour Meddahi (Imperial College, CIREQ, CIRANO) (avec/with Bruno Feunou)
Generalized Affine Models
Commentateurs / Discussants:
Bob Kimmel (The Ohio State University)
Alexei Onatski (Columbia University)
Christian Gouriéroux (University of Toronto)
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12:30pm – 2:00pm
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Lunch
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2:00pm – 3:10pm
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Session III
Président / Chair : John Galbraith (McGill University, CIREQ, CIRANO)
Rob Engle (New York University) (avec/with Bryan Kelly)
Dynamic Equicorrelation
Eric Ghysels (University of North Carolina) (avec/with Xilong Chen)
News – Good or Bad – and Its Impact Over Multiple Horizons
Commentateurs / Discussants:
Peter Christoffersen (McGill University, CIREQ, CIRANO)
Benoit Perron (Université de Montréal, CIREQ, CIRANO)
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3:10pm – 3:40pm
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Pause / Break
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3:40pm – 5:25pm
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Session IV
Président / Chair : Bryan Kelly (Stern School of Business)
Allan Timmermann (University of California at San Diego) (avec/with Tolga Cenesizoglu)
Predictability of Stock Returns : A Quantile Regression Approach
Debrah Meloso (Caltech) (avec/with Peter Bossaerts)
Portfolio Correlation and the Power of Portfolio Efficiency Tests
Viktor Todorov (Duke University)
Variance Risk Premium Dynamics
Commentateurs / Discussants:
Raffaella Giacomini (UCLA)
Kris Jacobs (McGill University, CIREQ, CIRANO)
Mikhail Chernov (London Business School)
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Samedi 5 mai
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Saturday, May 5
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9:00am – 10:10am
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Session V
Président / Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)
Dennis Kristensen (University of Columbia) (avec/with Yongseok Shin)
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
Yacine Ait-Sahalia (Princeton University) (avec/with Jean Jacod)
Testing for Jumps in a Discretely Observed Process
Commentateurs / Discussants:
George Tauchen (Duke University)
Cecilia Mancini (University of Firenze)
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10:10am – 10:35am
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Pause / Break
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10:35am – 12:20pm
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Session VI
Président / Chair : Lars Stentoft (HEC Montréal)
Tom McCurdy (University of Toronto) (avec/with John Maheu)
How Useful Are Historical Data for Forecasting the Long-Run Equity Return Distribution?
Jessica Wachter (Wharton, University of Pennsylvania) (avec/with Missaka Warusawitharana)
What is the Chance that the Equity Premium Varies over Time? Evidence from Predictive Regressions
Dana Kiku (Wharton, University of Pennsylvania) (avec/with Ravi Bansal, Amir Yaron)
Risks for the Long Run : Estimation and Inference
Commentateurs / Discussants:
Nick Polson (University of Chicago)
Michael Johannes (Columbia Business School)
Annette Vissing-Jorgensen (Kellogg School of Management)
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12:20pm – 1:45pm
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Lunch
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1:45pm – 3:30pm
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Session VII
Président / Chair : Tolga Cenesizoglu (HEC Montréal)
Michael Brandt (Duke University) (avec/with David Chapman)
Linear Approximations and Tests of Conditional Pricing Models
René Garcia (Université de Montréal, CIREQ, CIRANO) (avec/with Richard Luger)
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
Gurdip Bakshi (University of Maryland) (avec/with Dilip Madan)
Investor Heterogeneity, Long–Short Equity Positions, Aggregation, and the Non-Monotonicity of the Aggregate Marginal Rate of Substitution in the Price of Market-Equity
Commentateurs / Discussants:
Ray Kan (Rotman School of Management)
Hao Zhou (Federal Reserve)
René Garcia (Université de Montréal, CIREQ, CIRANO)
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3:30pm
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Clôture / Adjourn
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