Programme
São Paulo School of Advanced Science on High Dimensional Models
Event Dates: April 21, 2025, to April 30, 2025
Location: Rua Doutor Plínio Barreto, 365 – 15th floor - Bela Vista – 01313-020 – São Paulo - Brazil
Organizing Committee
Pedro Vallls Pereira (Sao Paulo School of Economics - FGV, Brazil)
Alexandre Rubesam (IÉSEG School of Management, Paris, France)
Emerson Marçal (Sao Paulo School of Economics - FGV, Brazil)
Jéfferson Colombo (Sao Paulo School of Economics - FGV, Brazil)
Luiz Hotta (IMECC-UNICAMP, Brazil)
Marcelo Fernandes (Sao Paulo School of Economics - FGV, Brazil)
Marcelo C. Medeiros (Jorge Paulo Lemann Endowed Chair , Depart. of Economics at UIUC, U.S.A.)
Scientific and Local Committees
Pedro Vallls Pereira (Sao Paulo School of Economics - FGV, Brazil)
Alexandre Rubesam (IÉSEG School of Management, Paris, France)
Emerson Marçal (Sao Paulo School of Economics - FGV, Brazil)
Jéfferson Colombo (Sao Paulo School of Economics - FGV, Brazil)
Luiz Hotta (IMECC-UNICAMP, Brazil)
Marcelo Fernandes (Sao Paulo School of Economics - FGV, Brazil)
Marcelo C. Medeiros (Jorge Paulo Lemann Endowed Chair , Depart. of Economics at UIUC, U.S.A.)
Andreza Aparecida Palma (Centro de Ciências em Gestão e Tecnologia/CCGT/UFSCAR, Brazil)
Bruno Tebaldi de Queiroz Barbosa (Sao Paulo School of Economics - FGV, Brazil)
Carlos Cesar Trúcios Maza (IMECC-UNICAMP, Brazil)
Diogo de Prince Mendonca (Campus Osasco/CO/ UNIFESP, Brazil)
Eduardo Fonseca Mendes (Sao Paulo School of Economics - FGV, Brazil)
Maurício Zevallos (IMECC-UNICAMP, Brazil)
André Barbosa Oliveira - Faculdade de Economia/FECON/UFF, R.J., Brazil)
Pedro Luiz Paulino Chaim (Centro Sócio-Econômico/CSE/UFSC, Brazil)
Vitor Borges Monteiro (Faculdade de Economia, Administração, Atuária e Contabilidade/FEAAC/UFC, Brazil)
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First Week
Day 1: Monday, April 21, 2025
- 9:00 AM - 12:30 PM: Welcome to São Paulo and Registration at FGV on Tuesday 22
Day 2: Tuesday, April 22, 2025
- 8:00 AM - 9:00 PM: Registration
- 9:00 AM - 10:30 AM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams (Fisher College of Business - Ohio State University , U.S.A.) (syllabus) (slides _ Lecture 1)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:30 PM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams
- 12:30 PM - 2:00 PM: Lunch
- 2:00 PM - 3:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos (CUNEF, Spain) (syllabus) (slides _ Lecture 1)
- 3:30 PM - 4:00 PM: Coffee Break
- 4:00 PM - 5:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos
Recording for Tuesday, April 22
Day 3: Wednesday, April 23, 2025
- 9:00 AM - 10:30 AM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams (slides _ Lecture 2)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:30 PM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams
- 12:30 PM - 2:00 PM: Lunch
- 2:00 PM - 3:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos (slides _ Lecture 2)
- 3:30 PM - 4:00 PM: Coffee Break
- 4:00 PM - 5:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos
Recording for Wednesday, April 23
Day 4: Thursday, April 24, 2025
- 9:00 AM - 10:30 AM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams (slides _ Lecture 3)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:30 PM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams
- 12:30 PM - 2:00 PM: Lunch
- 2:00 PM - 3:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos (slides _ Lecture 3) (code)
- 3:30 PM - 4:00 PM: Coffee Break
- 4:00 PM - 5:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos
Recording for Thrusday, April 24
Day 5: Friday, April 25, 2025
- 9:00 AM - 10:30 AM: Workshop 1 (online at EESP)- Cryptocurrencies by Amin Shams (slides _ Lecture 4)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:30 PM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams
- 12:30 PM - 2:00 PM: Lunch
- 2:00 PM - 3:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos (slides _ Lecture 4) (portfolio_allocation_programme)
- 3:30 PM - 4:00 PM: Coffee Break
- 4:00 PM - 5:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos
Recording for Friday, April 25
Day 6: Saturday, April 26, 2025
- 9:00 AM - 10:30 AM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams (slides _ Lecture 5) (presentation_Blockchain_Projects_and_DeFi)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:30 PM: Workshop 1 (online at EESP) - Cryptocurrencies by Amin Shams
- 12:30 PM - 2:00 PM: Lunch
- 2:00 PM - 3:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos (data_for_assigment ) (programme_to_read_data)
- 3:30 PM - 4:00 PM: Coffee Break
- 4:00 PM - 5:30 PM: Workshop 2 - Machine Learning in Portfolio Allocation by Andre Portela Santos
Recording for Saturday, April 26
Day 7: Sunday, April 27, 2025
- Visit to MASP (São Paulo Museum of Art) - Optional
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Second Week
Day 8: Monday, April 28, 2025
- 8:30 AM - 9:30 AM: Opening Panel of ESPCA
Chair of the Organizing Committee: Pedro Valls
Director of EESP: Lilian Furquin
Representative of the FGV Presidency: Ricardo Simonsen (REDECAP – FGV)
Representative of FAPESP: Prof. Sylvio Roberto Accioly Canuto - Coordenador Geral de Ciências, Humanidades e Artes
Representative of BB Asset: Juliano Santos
Representative of REAG: Marcelo Fonseca
Representative of RIPPLE: Isabel Sica Longhi - Diretora de Regulatório e Policy
President of SBFin: Marcelo Fernandes
- 9:30 AM - 10:30 AM: Conference 1 - chairperson - Alexandre Rubesam (IESEG, France) (slides) - Maurício Zevallos (UNICAMP) - On the estimation of long-memory stochastic volatility models (paper) (slides)
- 10:30 AM - 11:00 AM: Coffee Break
- 11:00 AM - 12:00 PM: Conference 2 chairperson - Pedro Chain (Centro Sócio-Econômico/CSE/UFSC, Brazil) (slides) - Hedibert Lopes (INSPER) Large Bayesian Additive Vector Autoregressive Tree Models - Minnesota BART (paper) (slides)
- 12:00 PM - 2:00 PM: Lunch
- 2:00 PM - 3:00 PM: Conference 3 chairperson - Carlos Trucíos (IMECC-UNICAMP, Brazil) (slides) - Marc Hallin (Université Libre de Bruxelles, Belgium) - Distribution-free VARMA Portmanteau Tests: Chitturi, Hosking, and Li--McLeod revisited (paper) (slides)
- 3:00 PM - 3:30 PM: Coffee Break
- 3:30 PM - 5:00 PM: Thematic Session 1 - Crypto Finance - chairperson and discussant Hugo Benedetti (ESE Business School - Chile) (slides)
João Marco Braga da Cunha (Consultant) 50 Shades of Crypto Allocation in Non-Crypto Portfolios (slides)
Marcelo Fernandes (EESP) Estimation risk in conditional expectiles (paper) (slides)
Jéfferson Colombo (EESP) - Distracted by Crypto (paper) (slides)
- 5:30 PM - 7:30 PM: Posters Section
Recording for Saturday, April 28
Day 9: Tuesday, April 29, 2025
- 8:30 AM - 10:00 AM: Thematic Session 2 - Asset Allocation - chairperson and discussant Eduardo Mendes (EESP-FGV) (slides)
Andre Portela Santos (CUNEF, Spain) - A Forest Full of Risk Forecasts for Managing Volatility (paper) (slides)
Alexandre Rubesam (IESEG, France) - Portfolio Optimization with Multiple Covariance Models: Forecast Combination Approaches (paper) (slides)
Olivier Scaillet (Geneva School of Economics and Management, Switzerland) - Sparse spanning portfolios and under-diversification with second-order stochastic dominance (paper) (slides)
- 10:00 AM - 10:30 AM: Coffee Break
- 10:30 AM - 12:00 PM: Thematic Session 3 - High Dimensional Models - chairperson and discussant Giuseppe Cavalieri (Università de Bologna) (slides)
Sebastien Laurent (IAE Aix en Provence, France) Estimation in high-dimensional linear regression: Post-Double-Autometrics as an allternative to Post-Double-Lasso (paper) (slides)
Marc Hallin (Université Libre de Bruxelles, Belgium) - Factor Models and the Analysis of High-Dimensional Time Series: the Dynamic, the Static and the Weak. (paper) (slides)
- 12:00 PM - 2:00 PM: Lunch
- 2:00 PM - 3:00 PM: Conference 4 chairperson - Emerson Marçal (EESP-FGV) (slides) - Sebastien Laurent (IAE Aix en Provence, France) - Penalized QMLE of Autoregressive Conditional Beta Models (paper) (paper_JoE) (slides)
- 3:00 PM - 3:30 PM: Coffee Break
- 3:30 PM - 4:30 PM: Conference 5 chairpeson - Pedro Valls (EESP-FGV) (slides) - Olivier Scaillet (Geneva School of Economics and Management, Switzerland) - Latent Factor Analysis in Short Panels (paper) (slides)
- 5:00 PM - 7:30 PM: Posters Section
Recording for Saturday, April 29
Day 10: Wednesday, April 30, 2025
- 9:00 AM - 10:00 AM: Conference 6 chairperson - Bruno Tebaldi (EESP-FGV) (slides) - Rodrigo Targino (EMAp-FGV) - Trading perfect Risk Budgeting for portfolio returns (paper) (slides)
- 10:00 AM - 10:30 AM: Coffee Break
- 10:30 AM - 12:00 PM: Thematic Session 4 - Climate Econometrics - chairperson and discussant Amanda Schutze (EESP) (slides)
Ricardo Buscariolli (Federal University of ABC) - Climate Change Risk in Brazil (paper) (slides)
Andrew Martinez (John Hopkins University , USA) - Testing for Differences in Hurricane Path Accuracy (paper) (slides)
Bruno Tebaldi (EESP) - Understanding and Forecasting the Effects of Global Shocks on Fuel Prices: The Brazilian case (paper) (slides)
- 12:00 PM - 2:00 PM: Closing Panel of ESPCA
Chair of the Organizing Committee: Pedro Valls
Representative of the FGV Presidency: Goret Paulo (REDECAP – FGV)
Representative of FAPESP: Prof. Marta Teresa da Silva Arretche - Coordenadora Geral de Ciências, Humanidades e Artes
Representative of BB Asset: Daphne Christianne da Costa Breyer
Representative of RIPPLE: Isabel Sica Longhi - Diretora de Regulatório e Policy
President of SBFin: Marcelo Fernandes
Recording for Saturday, April 30