TITLE OF THE TALK: GEORGE BOX: AN ACCIDENTAL STATISTICIAN WHO TRANSFORMED TIME SERIES ANALYSIS

Bovas Abraham is an Honorary Member of the Statistical Society of Canada (SSC) and is Professor Emeritus in the Department of Statistics and Act. Science at the University of Waterloo. He is the founding president of the International Society for Business and Industrial Statistics and is also the founding president of the ‘Business and Industrial Statistics Section’ of the Statistical Society of Canada. Bovas also served as the president of SSC. He was the Director of the Institute for Improvement in Quality and Productivity at the University of Waterloo for nearly ten years.

Bovas has been a faculty member at the University of Waterloo in the Department of Statistics and Actuarial Science since 1977. Bovas received his Bachelor of Science from the University of Kerala in India, his Masters from University of Guelph, Canada and his Ph.D. from the University of Wisconsin, Madison, U.S.A.

Bovas has extensive experience in the academic world as an administrative leader, a scientist, a mentor and an educator. He has been involved in graduate training in Statistics since 1977 teaching graduate courses, and supervising Masters and Ph. D students. He has published extensively in the major statistical journals. Bovas has been involved as a trainer and consultant in a wide range of statistical applications in industry in Canada.

His main areas of interest include Quality Improvement, and the management and implementation of statistical procedures such as Designed Experiments, SPC, and Time Series Analysis. He is co-author of the books “Statistical Methods for Forecasting”, and “Introduction to Regression Modeling”, and the editor of a volume “Quality Improvement through Statistical Methods”.

Bovas is also a recipient of many other awards, a Fellow of the American Society for Quality, a Fellow of the American Statistical Association, an Elected Member of the International Statistical Institute. In addition, he holds the Shewhart medal from the American Society for Quality (2014), Service Award from the International Statistical Institute (2007) and the William G. Hunter award from the Statistics Division of the American Society for Quality (2006).

TITLE OF THE TALK: NONPARAMETRIC BETA KERNEL ESTIMATOR FOR LONG MEMORY TIME SERIES

Taoufik Bouezmarni is Associate Professor of Statistics at the Départment de mathématiques, Université de Sherbrooke, Canada. He received, in 2004, his Ph.D. in statistics at the Catholic University of Louvain-La-Neuve (UCL, Belgium) under the direction of Prof. Jean-Marie Rolin.

His research interests include semi and non-parametric methods, time series analysis, dependence and conditional dependence modelling using copula with applications in economics, finance and survival analysis.

TITLE OF THE TALK: GENERALIZED TESTS OF CAUSALITY BETWEEN TWO VECTOR AUTOREGRESSIVE SERIES

Chafik BOUHADDIOUI is an Associate Professor of Statistics in the College of Business and Economics at UAE University. He got his Ph.D in 2002 from University of Montreal in Canada. He worked as lecturer at Concordia University for 4 years. He worked as assistant researcher in Revenue Canada. He worked as Senior Analyst in National Bank of Canada and developed statistical methods used in stock market forecasting. He joined in 2004 a team of researchers in finance group at CIRANO in Canada to develop statistical tools and modules in finance and risk analysis. He published several papers in well-known journals in the area of multivariate time series analysis and their applications in economics and finance. His area of research is diversified and includes modeling in multivariate time series, causality and independence tests, biostatistics and Big Data.

TITLE OF THE TALK: CONDITIONAL VARIANCE ESTIMATION IN HETEROSCEDASTIC FUNCTIONAL REGRESSION MODEL WITH MARTINGALE DIFFERENCE ERRORS

Mohamed Chaouch is an Assistant Professor in the Department of Statistics at the United Arab Emirates University. Before joining UAEU, he served as Research Associate at Masdar Institute of Science & Technology (UAE) and as Research Associate at the Department of Mathematics and Statistics at University of Reading (UK). He also worked as a permanent research fellow at the Research and Development center of the French Electricity Company (EDF-R&D, Paris) and as a teaching fellow at University of Burgundy and University Rennes II (France). He received a Ph.D. in Mathematics at University of Burgundy (France) and a M.Sc. in Biostatistics at University of Montpellier II (France).

TITLE OF THE TRAINING COURSE: FUNCTIONAL SPATIAL AUTOREGRESSIVE MODELS

Sophie Dabo-Niang is professor and Chair of MeQAME team of the laboratory LEM (Lille Economy and Management) of University of Lille. She completed a 3-year PhD in Statistics from the University Paris 6 in 2002.Sophie Dabo-Nianggot an associate professor position in the Department of Mathematics of University Lille 3 in 2004 where she practiced until being recruited as full professor in 2010. Dr. Sophie Dabo-Niang research program is focused on the study of non(semi)-parametric inference of functional and spatial data. From an applied perspective, she is interested in medical, environmental and hydrological studies. She published more than forty statistical papers. She is an elected member of CIMPA and EMS-CDC.

TITLE OF THE TALK: WEAK BETA, STRONG BETA: MULTI-FACTOR PRICING AND RANK RESTRICTIONS

Jean-Marie Dufour is the William Dow Professor of Political Economy at McGill University and one of the Canada’s leading economist and econometrician. Since 2007, he is a Bank of Canada Research Fellow, a prestigious title. Before 2007, he held the Canada research Chair in econometrics at the Université de Montréal. Through his expertise in applying statistical and mathematical techniques to economic issues, Professor Dufour has made important contributions to the fields of dynamic macroeconomic modelling, structural macroeconomics and finance, inflation, the pricing of financial assets, taxation and investment, and export financing. The quality of his research has been recognized by several prizes, including: Fellow of the Royal Society of Canada, Fellow of the Econometric Society, Fellow of the American Statistical Association, elected member de l’International Statistical Institute, the Killam Prize for Social Science (Government of Canada), the Léon-Gérin Prize for human sciences (Government of Québec), the Marcel-Vincent prize for the social sciences (Association francophone pour le savoir), the Konrad-Adenauer Research award (Alexander von Humboldt Foundation, Germany), the John Rae Prize for Outstanding Research (Canadian Economics Association), the Marcel-Dagenais prize (Société canadienne de science economique), a Guggenheim Fellowship (USA), a Killam Fellowship, the Pierre-de-Fermat Chair of Excellence (Université de Toulouse I, 2011-2013), and a Banco Santander “Cátedra de Excelencia” (Universitad Carlos III de Madrid, 2011-2012). He is also Officier de l’Ordre National du Québec (2006) and Officer of the Order of Canada (2008).

Jean-Marie Dufour has been very active in scientific organizations and conference organizations, including: President of the Canadian Economics Association (2002-2003), President of the Société Canadienne de Science Economique (1999-2000), Director of the Canadian Econometric Study Group (since 2002), Director of the Centre de recherche et développement en economique, Member of North American Regional Standing Committee of The Econometric Society (2015-2016), Member of Governing Council of the Social Sciences and Humanities Research Council of Canada (since 2013), Member of Donner Prize Jury for the Best Public Policy Book by a Canadian (since 2014), Director of a research group on “Mathematical and Statistical Methods for Financial Modelling and Risk Management” within one of the Canadian networks of centers of excellence (MITACS). He recently organized in Montréal the 2015 World Congress of the Econometric Society, the most prestigious international meeting in the field of Economics. He is very well known outside Canada and has frequently visited prestigious international universities.

TITLE OF THE TRAINING COURSE: TESTING CONTAGION AND SPILLOVER EFFECTS IN FINANCIAL MARKETS BASED ON MULTIVARIATE GARCH MODELS

Ahmed EL GHINI is currently an Associate Professor of Econometrics at the Faculty of Law, Economics and Social Sciences (Souissi) in Rabat, Morocco. He has been a Researcher at the National Center for Scientific Research (CNRS) of France, where he was involved in many national and international research projects, and previously an Assistant for Teaching and Research with the EQUIPPE Laboratory “Economie Quantitative, Intégration Politiques Publiques et Econométrie” of the Université Lille Nord de France. He holds a PhD and an MA in Applied Mathematics and Economics from Charles de Gaulle University - Lille3, and “Diplôme d’Etudes Approfondies” in pure mathematics from Lille 1 University, France. His teaching experiences include probability, statistics, econometrics and time series analysis at many universities and engineering schools in France and Morocco. His research interests focus on time-series modeling, econometrics, statistics and their applications in economics and finance. El Ghini’s research work is published in many peer-reviewed journals and presented at several international conferences. Dr. Ahmed El Ghini awarded many distinctions, in particular “Meilleur Prix - Chercheur de l’année 2015” in Humanities and Social Sciences from Mohammed V University in Rabat.

TITLE OF THE TALK: DETECTING CHANGE-POINTS IN TIME SERIES BY MAXIMUM MEAN DISCREPANCY OF ORDINAL PATTERN DISTRIBUTIONS

Ali Ghodsi is a Professor in the Department of Statistics and Actuarial science at the University of Waterloo, Canada. He is also a member of the Centre for Computational Mathematics in Industry and Commerce and the Artificial Intelligence Research Group at the University of Waterloo. He was a researcher at the University of Toronto with the Probabilistic and Statistical Inference Group and at the University of Alberta at the Alberta Ingenuity Centre for Machine Learning. His collaborations with well-known researchers involved applying statistical machine-learning methods to supervised and unsupervised learning, Deep learning, and bioinformatics problems. Ghodsi's research lies at the interface of statistics and computer science. They span a variety of areas in computational statistics. He studies theoretical frameworks and develops new machine learning algorithms for analyzing large-scale data sets, with applications to the economy, bioinformatics, data mining, pattern recognition, computer vision, and sequential decision making. He has published more than 50 refereed papers, in high-quality proceedings and journals. Some of his algorithms are used by well-known companies such as Oracle and Golden Helix.

TITLE OF THE TALK: EMPIRICAL PROCESSES BASED ON RESIDUALS AND THEIR APPLICATIONS IN MODEL DIAGNOSTICS

Kilani Ghoudi is a professor of statistics at the United Arab Emirates University. He holds a PhD in Statistics from the University of Ottawa, Canada.He also holds a bachelor degree in industrial engineering and a master degree in system sciences. Before joining the United Arab Emirates University, Kilani Ghoudi held an associate professor position at the University of Quebec, Canada.

Kilani’sresearch interests focus on empirical processes based on pseudo-observations, multivariate nonparametric statistics, extreme values, copula models and asymptotic statistical theory. Some of his research work is applied to the diagnostics of time series models. He is also interested in game theory equilibrium in the context of supply chain applications.

TITLE OF THE TRAINING COURSE: NUMERICAL PROBLEMS IN TIME SERIES ANALYSIS

Guy MELARD holds a PhD in sciences and Mathematics from the Université libre de Bruxelles (1975). His main interests are in time series analysis and forecasting and in computational statistics. Some of his recent research themes are multivariate models, models with time-dependent coefficients, high-frequency time series in economics, and on-line treatment, from asymptotic theory to algorithms and applications. He is the authors of three books, the last one being Méthodes de prévision à court terme, 2nd edition, 2007, and of a large number of articles in international journals, and is the co-author of a software package for time series analysis called Time Series Expert. Guy is now a retired tenure professor at the Solvay Brussels School of Economics and Management but continues his research at ECARES.

TITLE OF THE TALK: ANALYSIS OF THE CHINESE FUTURES MARKET USING HIGH-FREQUENCY TRADING DATA

Giovanni MEROLA received a PhD in Statistics from the University of Waterloo in 1998. He was associate professor at the Universitat Politecnica de Catalonya in Barcelona. Then he worked as principal methodologist at the Italian National Statistical Institute (ISTAT) and the UK Office for National Statistics (ONS). He worked as research analyst at Winton Capital Management in London. Then he moved back to academia, first working at the Royal Melbourne Institute of Technology campus in Ho Chi Minh City, Vietnam, and now at the Xi’an Jiaotong Liverpool University in Suzhou, China.

TITLE OF THE TALK: ON COPULA-BASED CONDITIONAL QUANTILE ESTIMATORS

Bouchra Nasri is currently working as a Postdoctoral Fellow at HEC Montreal. She received her PhD degree in 2017 and MSc degree in 2013 from Statistical hydrology department at INRS University. She earned her BSc in 2010 from INSEA. She worked as a statistical consultant at INRS University from 2013 to 2016. Her research interests include the areas of copulas, extreme value, conditional quantile, time series, etc.

TITLE OF THE TALK: EXECUTIVE CONSTRAINTS AND STOCK VOLATILITY IN THE MENA REGION

Kaveh S. Nobari is a PhD student in Finance at Durham University Business School (UK), working under the supervision of Professor Abderrahim Taamouti, and specialising on Granger causality analysis and hypothesis testing. Prior to enrolling onto the PhD programme, Kaveh obtained his Masters degree in Economics from Durham, where his thesis was on High-Frequency Econometrics. He also holds a Masters and an undergraduate degree in Accounting and Finance from Newcastle University (UK).

Kaveh currently works as a research assistant at Aix-Marseille University in France, where he collaborates with the members of the TMENA project on employing quantitative economic modelling approaches to investigate the economic and social issues in the Middle East and North Africa.

At the moment, Kaveh is working on a number of publications and has so far presented at the 10th International Conference on Computational and Financial Econometrics in Seville, Spain.

TITLE OF THE TALK: Measuring Local Heteroskedasticity, What Can we Learn from the Heterogeneity in the Heteroskedasticity?

Abderrahim Taamouti has a PhD (2007) in Economics from University of Montreal, Canada. Before joining Durham University Business School in 2014, Abderrahim held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management.

His research projects have resulted in several publications in internationally renowned journals in Econometrics, Finance and Statistics such as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Dynamics and Economic Control, Journal of Financial Econometrics, Journal of Business & Economic Statistics, Computational Statistics and Data Analysis, Journal of Empirical Finance, Journal of International Money and Finance, Statistics and Risk Modelling, Finance Research Letters, Financial Markets and Portfolio Management, etc.

TITLE OF THE TALK: ESTIMATING FUNCTIONS APPROACH FOR DURATION MODELS

Aera Thavaneswaran is a professor in the department of statistics, The University of Manitoba, Canada.

He finished his PhD from University of Waterloo in 1985. He has published more than hundred research papers in several areas, many in prestigious Journals. He is an associate editor for two international journals JSTA and JPS. His research interest includes estimating functions, financial time series, fuzzy option pricing and financial risk forecasting. He is also an elected member of ISI.