2nd Empirical Finance Workshop
ESSEC

March 25, 2015 
La Defense (CNIT), Paris, France 
Room 104






Organizers: 

Andras Fulop, Associate Professor of Finance, ESSEC
Junye Li, Associate Professor of Finance, ESSEC
Jeroen Rombouts, Professor of Statistics and Econometrics, ESSEC
      

Session I: 10.00-12.00 
      Chair: Junye Li, ESSEC

      Jean-Paul Renne, Bank of France
      "Cloudy term structures of interest rates"

      Gabriele Zinna, Bank of Italy 
      "Price pressure in the UK index-linked market: An empirical investigation"

      Serge Darolles, University of Paris Dauphine
      "Robust Portfolio Allocation with Risk Contribution Restrictions"


LUNCH: 12.00-13.20 

Session II: 13.20-14.40 
      Chair: Andreas Heinen, THEMA, University of Cergy

       Andras Fulop, ESSEC

      "Inferring Volatility Dynamics and Variance Risk Premia: An Efficient Bayesian Approach"  

       Romeo Tedongap, Stockholm School of Economics
      "Volatility Downside Risk"


Coffee Break: 15.40-16.10



Session III: 16.10-17.30 
      Chair: Jeroen Rombouts, ESSEC

     Francesco Violante, CREATES, University of Aarhus
      "Variance risk premia: Estimation and international evidence"

      Fabio Trojani, University of Lugano
      "Divergence, Fear and the Price of Uncertainty"



Registration:
Registration free for Academia 
Registration 300€ for Private Sector

For registrationsend an email to jeanlouis@essec.edu.



Special thanks to European Commission for its support