Organizer: Serge Darolles, Université Paris – Dauphine, PSL Research University, CREST, Member of the QMI
The smart vega factor-based investing: Disentangling risk premia from implied volatility smirk, Anmar Al Wakil, Université Paris-Dauphine, PSL Research University (France)
Managing hedge fund liquidity risks, Serge Darolles, Université Paris – Dauphine, PSL Research University, CREST, Member of the QMI (France)
Risk-based allocation for illiquid and alternative investments, Emmanuel Jurczenko, Ecole Hotelière de Lausanne (Switzerland)
Styles of private equity funds, Elise Gourier, Queen Mary University of London (United Kingdom)
Multivariate volatility models, Session CO294
Organizer: Jean-Michel Zakoian, CREST and Member of the QMI
On the economic determinants of optimal stock-bond portfolios: International evidence, Christian Conrad, Heidelberg University (Germany),
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models, Christian Francq, CREST and University Lille III (France)
Misspecification tests in conditional covariances for large cross-sectional dimensions, Bilel Sanhaji, Paris VIII (France)
Consistent pseudo-maximum likelihood estimators and groups of transformations, Jean-Michel Zakoian, CREST and Member of the QMI
Contributions in liquidity, Session CO272
Chair: Gaëlle Le Fol, Université Paris – Dauphine, PSL Research University, Scientific director of the QMI
Variation in funding liquidity and financial stability risks, Gregory Bauer, Bank of Canada (Canada)
Liquidity taking and stock returns, Milla Siikane, Tampere University of Technology (Finland)
Illiquidity and volatility spillover effects in equity markets during and after a financial crisis: An MEM approach, Yongdeng Xu, Cardiff University (United Kingdom)
From a quote-driven to an order-driven market: The case of the EuroMTS government bond trading platform, Hanyu Zhang, University College Dublin (Ireland)
