5th  Empirical Finance Workshop 
March 29, 2018
K-LAB, ESSEC, Cergy, France


Confirmed Speaker 

Prof. Federico Carlini 
Università della Svizzera Italiana

Prof. Serge Darolles
University of Paris Dauphine
Prof. Elena Dumitrescu
University Paris-Nanterre 
Prof. Bruno Feunou
 Bank of Canada

Prof. Andras Fulop
ESSEC Business School
Prof. Emanuel Moench
Deutsche Bundesbank
Prof. Lars Stentoft
Western University Ontario

Morning session (Chair: Andreas Heinen - UCP-Thema

10.00-10.40: Do Hedge Funds Hedge ? New Evidence from Tail Risk Premia Embedded in Options
                    Prof. Serge Darolles (University Paris-Dauphine), Anmar Al Wakil (University Paris-Dauphine & Natixis                                Investment Managers)

10.40-11.20: Identification and Inference in a Vector Autoregressive Model with Common Frailty
                           Prof. Federico Carlini (USI), Prof. Gagliardini (USI) 

11.20-12.00: Pricing Individual Stock Options using both Stock and Market Index Information – New results

                    Prof. Lars Stentoft (Western University Ontario), Jeroen Rombouts (ESSEC), Francesco Violante (ENSAE)


Afternoon session 1 (Chair: Luc Bauwens - CORE-UCL, Fellow of the Institute of Advanced Studies UCP Université 

13.00-13.40: The Term Structure of Bad and Good Variance Risk Premium
                       Prof. Bruno Feunou
(Bank of Canada), 
Ricardo Lopez Aliouchkin (Syracuse University)Romeo                                        Tedongap (ESSEC Business School) et Lai Xu 
(Syracuse University)

13.40-14.20: News-Based Indices on Country Fundamentals: Do They Help Explain Sovereign Credit Spread                                    Fluctuations?
                    Prof. Andras Fulop (ESSEC Business School), Zalan Kocsis (MNB)

Afternoon Session 2 (Chair: Francesco Violante - ENSAE)

14.40-15.20: Procyclical Asset Management, Reach for Yield, and Bond Risk Premia 
                    Prof. Emanuel Moench (Deutsche Bundesbank), Alexandru Barbu (LBS), Christoph Fricke (Bundesbank)

15.20-16h00: Exchange Rate Volatility Forecasting: a Multivariate Realized GARCH Approach 
                    Prof. Elena Dumitrescu (University Paris-Nanterre), Peter R. Hansen (UNC at Chapel Hill)

Key Facts

When     March 29,  2018
Where    Essec Business School


Prof. Luc Bauwens (Fellow of the Institute of Advanced Studies UCP Université Paris-Seine)
Prof. Andras Fulop (ESSEC)
Prof. Jeroen Rombouts (ESSEC)
Prof. Romeo Tedongap (ESSEC)

Please confirm your registration to Frédérique Jean-Louis: jeanlouis@essec.edu