Belkacem ABDOUS is Director of Statistics Directorate at the High Commission for Planning (HCP) and Interim Director of the National Institute of Statistics and Applied Economics. After spending over 25 years working as a researcher and a full professor of statistics/biostatistics at Laval University and the Université du Québec à Trois-Rivières, Québec, Canada, Belkacem joined the HCP, where he is strongly involved in the production of official statistics in Morocco together with various national and international statistical activities and projects.

Throughout his career, Belkacem has been a researcher at the Montreal Mathematic Research Centre, a member of the Statistical Society of Canada, the Institute of Mathematical Statistics (IMS) and the International Statistical Institute (ISI).

TITLE OF THE TALK: TESTS OF CAUSALITY AT MULTIPLE HORIZON BETWEEN TWO INFINITE-ORDER COINTEGRATED 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 TRAINING COURSE: STATISTICS AND ECONOMETRICS OF SPATIAL DATA

Sophie DABO-NIANG is professor of Applied Mathematics (Statistics) at University of Lille, laboratory LEM CNRS 9221 and member of INRIA-MODAL team. She completed a 3-year PhD in Statistics from the University Paris 6 in 2002. She is chair of the axis MeQAME (Quantitative methods in Management and Economics) of LEM and vice-chair of EMS-CDC (European Mathematical Society-Committee of Developing Countries; http://euro-math-soc.eu/committee/developing-countries)

Dr. Sophie Dabo-Niang research program is focused on the study of non(semi)-parametric inference of functional and spatio-temporal data. From an applied perspective, she is interested in economic, medical, environmental and hydrological studies. She published more than forty statistical papers.

TITLE OF THE TALK: EXTREMILES: A NEW PERSPECTIVE ON ASYMMETRIC LEAST SQUARES (with Irène Gijbels and Gilles Stupfler)

Abdelaati DAOUIA is assistant professor in applied mathematics at Toulouse Capitole University and member of Toulouse School of Economics. Abdelaati’s research has been published in leading journals in Statistics, like Bernoulli and the Journal of the Royal Statistical Society-Series B. His main research fields are frontier models and extreme value theory. His recent works are related to statistical methods in production econometrics and financial risk. His attention is also directed towards shape constrained estimation and the problem of optimal location. Currently, he is Associate Editor for the Journal of Nonparametric Statistics. He has been awarded a Marie Curie Intra-European Fellowship in Mathematics, a personal grant financed by the Seventh Framework Programme of the European Union.

TITLE OF THE TALK: JACKKNIFE LIML ESTIMATOR WITH MANY INSTRUMENTS USING REGULARIZATION TECHNIQUES (with Marine Carrasco)

Mohamed DOUKALI has a PhD (2017) in Economics from University of Montreal, Canada. He worked as lecturer at University of Montreal for 3 years. He is currently researcher at Center for Interuniversity Research and Quantitative Economics (CIREQ). He mainly works on efficient estimation with many instruments, hypothesis testing, and risk management.

TITLE OF THE TRAINING COURSE: MULTIVARIATE GARCH MODELING WITH APPLICATIONS IN ECONOMICS AND FINANCE

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 mathematics 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 “Chercheur de l’année 2015” in Humanities and Social Sciences from Mohammed V University in Rabat.

TITLE OF THE TRAINING COURSE: STOCHASTIC CALCULUS FOR FINANCE

Omar ELHAJJAJI is graduated from Ecole Centrale de Paris (Applied Mathematics of Finance), Ecole Nationale des Ponts et Chaussées-Paris EST(ex DEA Lamberton), ENSAE-Paris 7 (ex DEA Laure Elie) and Sorbonne Paris I University. Omar started his career as quantitative analyst before joining the trading room of an investment bank as a derivatives trader, and he is currently Managing Director in a trading firm.

He has published in some international journals such as International Journal of Theoretical and Applied Finance and served as a Part-time teacher at several schools and universities: Ecole Centrale de Paris, Paris 6- Ecole Polytechnique (X) (DEA El karoui), Ecole Normale Supérieure(ENS Lyon), Ain Sbai University (Casablanca) and Sorbonne Paris I University, among others.

TITLE OF THE TRAINING COURSE: FORECASTING HIGH-FREQUENCY TIME SERIES BY STATISTICAL METHODS

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: A RE-EXAMINATION OF THE SIZE EFFECT (with Richard McGee from University College Dublin)

Jose OLMO is Professor of Financial Economics at University of Southampton. He holds a BSc. in Mathematics from Universidad de Zaragoza and a PhD in Economics from Universidad Carlos III de Madrid. Previous to his current appointment, Jose was Reader in Economics at University of Southampton and Senior Lecturer at City University London. His main research interests are in Financial Economics and Econometrics. José has published in international journals such as International Economic Review, Journal of Business and Economic Statistics, Journal of Royal Statistical Society - Series A, Journal of Banking and Finance, Journal of Financial Markets, Journal of Financial Econometrics and Journal of Time Series Analysis, among many others. He also serves as Associate Editor for Journal of Royal Statistical Society - Series A and Bulletin of Economic Research and as an academic referee for many scientific journals and several research funding bodies.

TITLE OF THE TALK: DYNAMICS OF VARIANCE RISK PREMIA: A NEW MODEL FOR DISENTANGLING THE PRICE OF RISK

Jeroen ROMBOUTS is the Head of Information Systems, Decision Sciences and Statistics Department, and Accenture Strategic Business Analytics Chair. As Professor of Statistics and econometrics, he teaches big data analytics and data science courses at the executive MBA and master programs at ESSEC in Paris and Singapore. He intervenes as expert consultant on strategic business analytics. He published numerous scientific articles and is Associate editor of Journal of Business and Economic Statistics, Econometrics & Statistics, International Journal of Forecasting. He is currently Guest editor for Journal of Econometrics on the theme of Nonlinear Financial Econometrics.

TITLE OF THE TALK: MULTIVARIATE TESTING FOR FRACTIONAL INTEGRATION UNDER CONDITIONAL HETEROSKEDASTICITY

Antonio RUBIA has been Associate Professor in finance at the University of Alicante since 2001. He was a visiting scholar at the Anderson School of Management (UCLA) in 2003. He has also made shorter research stays in Rady School of Management (UCSD), Westminster University (London), and Goethe University (Frankfurt). His main research topics include risk management, banking and financial econometrics. His most recent research has been published in Journal of Financial Econometrics, Journal of Banking and Finance, Econometric Theory, International Journal of Forecasting, Tourism Management, Journal of Financial Stability and Journal of International Money and Finance.

TITLE OF THE TALK: MEASURING NONLINEAR GRANGER CAUSALITY IN QUANTILES

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: DYNAMIC PROPERTIES AND CORRELATION STRUCTURE OF LARGE PANEL CRYPTO CURRENCIES

Professor Francesco VIOLANTE joined ENSAE-ParisTech in September 2017. His research interests span from financial econometrics, data rich environments, derivatives pricing and risk analysis to forecasting, business analytics and environmental quantitative economics. His research outcomes are published in international peer reviewed journals. He teaches courses from Econometrics, Financial Time Series Analysis to Big data Strategy/Analytics in Master, PhD and Executive programs. He has been Visiting Scholar at several universities such as Singapore Management University (Singapore), ESSEC Business School (France), HEC Montreal (Canada), Université catholique de Louvain (Belgium), and London School of Economics (UK). Prior to joining ESSEC Business School, Francesco was Professor at Sapienza University (Italy), Aarhus University (Denmark) and Maastrich University (Netherlands). Francesco is research fellow of CREST and international research fellow of CREATES.