Programme: Conférence en économétrie de la finance

Vendredi 7 mai                                                                                                    Friday, May 7

8:30-8:40

Mot de bienvenue / Welcoming Remarks
Benoit Perron (Université de Montréal, CIREQ, CIRANO)

8:40-10:00

Session I: Statistical Inference of Continuous Time Processes
Président/Chair: Marcel Rindisbacher (University of Toronto, CIRANO)

Peter Brockwell (Colorado State University), Tina Marquardt (Zentrum Mathematik Technische Universität München)
Lévy-Driven and Fractionally Integrated Arma Processes with Continuous Time Parameter

Jianqing Fan, Chunming Zhang (Princeton University)
Higher-Order Difference and GLR Tests for Diffusion Models

Commentateurs / Discussants:
Clifford Hurvich (New York University)
Éric Renault (Université de Montréal, CIREQ, CIRANO)

10:00-10:30

Pause / Break

10:30-12:30

Session II: Asset Pricing
Président/Chair: Bryan Campbell (Concordia University, CIREQ, CIRANO)

Lars Peter Hansen, John Heaton, Nan li (University of Chicago, NBER)
Consumption Strikes Back?

Xiaohong Chen (New York University), Sydney Ludvigson (New York University, NBER)
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Marie-Claude Beaulieu (Université Laval), Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Lynda Khalaf (Université Laval, CIREQ)
Testing Black’s CAPM with Possibly Non-Gaussian Errors: An Exact Identification-Robust Simulation-Based Approach

Commentateurs / Discussants:
Ravi Bansal (Duke University)
George Tauchen (Duke University)
Raymond Kan (University of Toronto)

12:30-13:45

Lunch

13:45-15:45

Session III: Forecasting and Predictability of Asset Returns
Président/Chair: Eric Ghysels (University of North Carolina, CIRANO)

Willa Chen (Texas A&M University), Rohit Deo (New York University)
The Variance Ratio Statistic at Large Horizons

Christopher Polk (Northwestern University), Samuel Thompson, Tuomo Vuolteenaho (Harvard University)
Cross-Sectional Forecasts of the Equity Premium

John Campbell (Harvard University, NBER), Motohiro Yogo (Harvard University)
Efficient Tests of Stock Return Predictability

Commentateurs / Discussants:
Raffaella Giacomini (Boston College)
Barbara Rossi (Duke University)
Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

15:45-16:00

Pause / Break

16:00-17:30

Poster Session

Samedi 8 mai                                                                                                  Saturday, May 8

8:45-10:05

Session IV: Distributions Analysis for Risk Management
Président/Chair: Alex Maynard (University of Toronto)

Ivana Komunjer (California Institute of Technology)
Asymmetric Power Distribution: Theory and Applications to Risk Measurement

René Garcia, Éric Renault (Université de Montréal, CIREQ, CIRANO), David Veredas (Tilburg University)
Estimation of Stable Distributions by Indirect Inference

Commentateurs / Discussants:
Christian Bontemps (LEEA-CENA, Toulouse)
Marine Carrasco (University of Rochester)

10:05-10:30

Pause / Break

10:30-11:50

Session V: Specification Tests
Président/Chair: Victoria Zinde-Walsh (McGill University, CIREQ)

Marine Carrasco, Liang Hu, Werner Ploberger (University of Rochester)
Optimal Test for Markov Switching

Christian Francq (Université Lille III), Roch Roy (Université de Montréal), Jean-Michel Zakoïan (Université Lille III, CREST)
Goodness-of-Fit Tests for ARMA Models with Uncorrelated Errors

Commentateurs / Discussants:
Russell Davidson (McGill University, CIREQ)
Denis Pelletier (North Carolina State University)

11:50-13:00

Lunch

13:00-15:00

Session VI: MCMC Methods: Theory and Applications
Président/Chair: William McCausland (Université de Montréal, CIREQ, CIRANO)

Ronald Gallant (Duke University), Robert McCulloch (University of Chicago)
On the Determination of General Scientific Models

Haitao Li, Martin Wells, Long-Xi Yu (Cornell University)
A MCMC Analysis of Time-Changed Levy Processes of Stock Return Dynamics

Bjørn Eraker (Duke University)
The Performance of Model Based Option Trading Strategies

Commentateurs / Discussants:
Tony Smith (Yale University)
Ernst Schaumburg (Northwestern University)
Kris Jacobs (McGill University, CIREQ, CIRANO)

Poster Session:

Alan Bester (Duke University)
Random Field and Affine Models for Interest Rates: An Empirical Comparison

Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Pascale Valéry (HEC-Montréal)
Finite and Large Sample Inference for a Stochastic Volatility Model

Sílvia Gonçalves, Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Bootstrapping Realized Volatility

Nikolay Gospodinov (Concordia University, CIREQ)
A TAR-GARCH Approach to Testing and Modeling Nonlinearities in Short-Term Interest Rates (2e papier / 2nd paper)

Christian Gouriéroux (CREST, University of Toronto, CIREQ, CIRANO), Joann Jasiak (York University, CIREQ), Razvan Sufana (University of Toronto)
The Wishart Autoregressive Process of Multivariate Stochastic Volatility

Emma Iglesias (University of Alicante), Garry Phillips (Cardiff University)
Multivariate ARCH Models: Finite Sample Properties of QML Estimators and an Application to an LM-Type Test

Alex Maynard (University of Toronto), Katsumi Shimotsu (Queen’s University)
Covariance-Based Orthogonality Tests for Regressors with Unknown Persistence

Francisco Javier Mencía, Enrique Sentana (CEMFI)
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations

Andrei Semenov (York University)
High-Order Consumption Moments and Asset Pricing