December,16 2017 @ 0:00am - December,16 2017 @ 0:00am





Quantitative Investing, Session CO254

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)