2nd Empirical Finance Workshop

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


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 free for Academia 
Registration 300€ for Private Sector

For registrationsend an email to jeanlouis@essec.edu.

Special thanks to European Commission for its support