Slides avaliable below. 

The ESSEC-CYU-Warwick Econometric workshop gathers at ESSEC Business School, 8 top scholars in econometrics, to foster discussion and collaboration on cutting-edge research ideas. It is meant to be a fertile think-thank that will strengthen the link among the three universities and boost the econometric profession. 

9:00 - 9:30 : Welcome and Registration 

9:30 - 10:50 

• Yacine AIT-SAHALIA (Princeton University) - "So Many Jumps, So Few News" (with Chen Xu Li and Chenxu Li)

• Arnaud DUFAYS (EDHEC) - “Modeling Higher Moments and Risk Premiums for S&P 500 Returns” (with Kris Jacobs and Jeroen Rombouts)

10:50 - 11:20 : Coffee break

11:20-12:40 

• Mingli CHEN (University of Warwick) - “Online Learning with Semiparametric Stochastic Approximation” 

• Francesca ROSSI (University of Verona) - “Spatial autoregressions with an extended parameter space and similarity-based weights: baseline model and its extensions” (with Offer Lieberman)

12:40 - 14:10 : Lunch 

14:10 - 15:30 

• Andreas HEINEN (THEMA, CY Cergy Paris Universite) - “Permanent and Transitory Jumps in a Limit Order Book in the Presence of High Frequency Traders” (with Nathaniel GBenro) 

• Cesare ROBOTTI (Warwick Business School) - “Return-based anomalies in corporate bonds: Are they there?” (with Alexander Dickerson and Giulio Rossetti)

15:30 -16:00 : Coffee break

16:00 - 17:20 

• Fabio TROJANI (University of Geneva) - “Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models” (with Alberto Quaini and Ming Yuan)

• Eric RENAULT (University of Warwick) - “Identifying Volatility Risk Price Through Leverage Effect” (with Xu Cheng and Paul Sangrey)