S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
Currency carry trade and the cross section of hedge fund returns, A. Becam, Université Paris-Dauphine
Joint inference on market and estimation risks in dynamic portfolios, J.M. Zakoian, CREST and Member of the QMI
Measuring hedge fund performance: A Markov regime-switching with false discoveries approach, G. Mero, Université Cergy – Pontoise and Member of the QMI
About the risks of alternative risk premia, Guillaume Monarcha, Orion Financial Partners
Inference in time series volatility models, C0369
J.-M. Zakoian, Chairman and organizer, CREST, Member of the QMI
Inferring volatility dynamics and risk premia from the S& P 500 and VIX markets E. Gourier, Queen Mary University of London
Cholesky-GARCH, theory and application to conditional beta S. Darolles, Université Paris-Dauphine, Member of the QMI
Goodness-of-fit tests for log and exponential GARCH models C. Francq, CREST and University Lille III
Noncausal heavy-tailed AR(p) processes S. Fries, CREST
Managing liquidity, C0501
Gaëlle Le Fol, Chairman and organizer, Université Paris-Dauphine, Member of the QMI
Event-studies and (endogenous) zero returns, F. Riva, Université Paris-Dauphine, Member of the QMI
Cholesky-GARCH, theory and application to conditional beta R. Sun, Université Paris-Dauphine
Financial market liquidity: Who is acting strategically, G. Le Fol, Université Paris-Dauphine, Member of the QMI
Multivariate Hawkes processes: A microscope for high-frequency order book dynamics S. M. Rambaldi, CMAP – Ecole Polytechnique
