December,14 2018 @ 0:00am - December,17 2018 @ 0:00am





Quantitative Investing, Session CO458

Chairman and Organizer : Gaëlle Le Fol and Organizer: Serge Darolles, Université Paris – Dauphine, PSL Research University, CREST, Member of the QMI

  • Abnormal tone and abnormal returns: An event study analysis, David Ardia, University of Neuchatel, Switzerland
  • Machine learning models applied in trading and their potential issues, Rafael Molinero, Molinero Capital Management, United States
  • Illiquid asset and portfolio management, Gaëlle Le Fol, Université Paris – Dauphine, CREST, Member of QMI
  • Community detection in large vector autoregressions, Gudmundur Gudmundsson, Aarhus University, Denmark

Multivariate volatility models and risk, Session CO294

Organizer: Jean-Michel Zakoian, CREST and Member of the QMI

  • Volatility estimation when observations are missing, Genaro Sucarrat, BI Norwegian Business School, Norway
  • A multivariate dynamic mixture model for discrete price changes at high frequency, Leopoldo Catania, Aarhus BBS, Denmark
  • Asymptotics of Cholesky GARCH models and time-varying conditional betas, Christian Francq, CREST and University Lille III
  • Virtual historical simulation for estimating the conditional VaR of large portfolios, Jean-Michel Zakoian, CREST, Member of QMI