3rd Days of Econometrics for Finance
(Troisièmes Journées d’Économétrie de la Finance, JEF'2016)

Rabat, November 18-19, 2016 

The 3rd Days of Econometrics for Finance Conference, hosted by Mohammed V University and organized by the Faculty of Law, Economics and Social Sciences (Souissi) in Rabat, aims to bring together academics, practitioners and policymakers sharing interest in econometric modeling for finance. It provides a forum for presenting new research results as well as discussing current and challenging issues in econometric modeling and related topics.

For this third edition, the scientific and organizing committees invite contributors to submit full papers, in pdf format, in the areas of theoretical and applied econometrics with their applications in finance[1]. A particular emphasis will be given to the contributions in the following fields:


  • Quantitative analysis and financial risk management
  • Financial crisis and contagion
  • Portfolio management and optimization
  • Volatility modeling and correlation between financial markets
  • Emerging stock markets 
  • Forecasting of high-frequency financial data
  • Commodity prices and exchange rate volatility
  • Financial stability and stress testing
  • Statistical methods for financial time series


Paper submission is open until September 15, 2016 (New), and successful papers will be notified by September 30, 2016 (New). Each contributor may submit only one paper as presenter, but may be co-author on other papers.


All submissions should be sent via email to: jef.conference@gmail.comTo register, please download the REGISTRATION FORM, complete and return it before November 4, 2016 via email to conference co-chairs (Ahmed El Ghini and Youssef Saidi) at jef.conference@gmail.com in order to confirm your participation. 

If you want to attend the conference without being in the program, please send an email stating the intention to: jef.conference@gmail.com no later than November 4, 2016. Researchers interested in discussing paper are strongly encouraged to inform by end of October at the latest.

Keynote Speakers


Summary: Joint estimation of market and estimation risks in portfolios is investigated, when the individual returns follow a semi-parametric multivariate dynamic model and the asset composition is time-varying. Under ellipticity of the conditional distribution, asymptotic theory for the estimation of the conditional Value-at-Risk (VaR) is developed. An alternative method – the Filtered Historical Simulation - which does not rely on ellipticity, is also studied. Asymptotic confidence intervals for the conditional VaR, which allow to simultaneously quantify the market and estimation risks, are derived. The particular case of minimum variance portfolios is analyzed in more detail. Potential usefulness, feasibility and drawbacks of the two approaches are illustrated via Monte-Carlo experiments and an empirical study based on stock returns.

Title of the Talk:  BUBBLE MODELLING BY NON-CAUSAL PROCESSES” (joint work with C. Gouriéroux)

Summary: The noncausal autoregressive process with heavy-tailed errors possesses a nonlinear causal dynamics, which allows for bubbles (local explosion) or asymmetric cycles often observed in economic and financial time series. It provides a new model for multiple local explosions in a strictly stationary framework. The causal predictive distribution displays surprising features, such as the existence of higher moments than for the marginal distribution, or the presence of a unit root in the Cauchy case. Aggregating such models can yield complex dynamics with local and global explosion as well as variation in the rate of explosion. The asymptotic behavior of a vector of sample autocorrelations is studied in a semi-parametric noncausal AR(1) framework with Pareto-like tails, and diagnostic tests are proposed. Empirical results based on the Nasdaq composite price index are provided.

[1] The conference languages will be English and French.

“tba”: Tbannounced


Previous editions

JEF 2015       JEF 2014


     Important Dates 

    · Extended deadline for submission: September 15, 2016 (New)

    · Notification to authors: September 30, 2016 (New)

    · Deadline for registration: November 4, 2016

    · Conference event: November 18-19, 2016