SeminarsEventsPast Seminars and Events
- June 26, 12:15 am - 1:30 pm
Frederic Koessler (PSE) – “Long Information Design “
CREST Microeconomics Seminar : Time: 12:15 pm – 1:30pm Date: 26th June 2019 Place: Room 3001. Frederic Koessler (PSE) – “Long Information Design” with M. Laclau, J. Renault and T. Tomala Abstract:”We study competitive information design games between two designers who want to influence the final action of a decision-maker. Each designer controls the public
- July 3, 12:15 am - 1:30 pm
Antoine Ferey (CREST) – “Generalized Capital Taxation with Sufficient Statistics”
CREST Microeconomics Seminar : Time: 12:15 pm – 1:30pm Date: 3rd July 2019 Place: Room 3001. Antoine Ferey (CREST) – “Generalized Capital Taxation with Sufficient Statistics” with Benjamin Lockwood (Wharton) and Dmitry Taubinsky (UC Berkeley) Abstract: How should capital and labor income be taxed when people have heterogeneous income-earning abilities and heterogeneous savings preferences?
There are no upcoming events at this time.
- June 25, 12:15 pm - 1:30 pm
Gregory VERDUGO (Université d’Evry Val d’Essonne) – “The Political Economy of Public Housing”
- June 24, 12:15 pm
Marie Lalanne (SAFE Research Center, Goethe University of Frankfurt) “Social Networks and Job Referrals in Recruitment”
- June 24, 11:00 am - 12:00 pm
Morgane Guignard – “How Innovation Affects Bargaining and Profit Sharing ? Evidence from the Margarine Market”
- June 21, 12:15 pm - 1:30 pm
Johan VIKSTROM (Uppsala University) – “Caseworkers – do they matter, why, and for whom? Exploring caseworker value-added using random variation”
- June 20, 12:30 pm - 1:30 pm
Arthur Bauer (CREST): “Has Market Power Risen in France?”
- June 19, 12:15 am - 1:30 pm
Rossa O’Keeffe – O’Donovan (Oxford) – “Water, Spillovers and Free Riding: Provision of Local Public Goods in a Spatial Network”
- June 18, 12:15 pm - 1:30 pm
Attila LINDNER (University College London) – “Technological Change and Skill Demand in Non-Competitive Labor Markets”
- June 17, 12:15 pm
Pascal MICHAILLAT (Brown University) “Resolving New Keynesian Anomalies with Wealth in the Utility Function”
- June 17, 11:00 am - 12:00 pm
David Benatia – “Strategic Reneging in Sequential Imperfect Markets”
- June 14, 12:15 am - 1:30 pm
John Rust (Georgetown) – “Has dynamic programming improved decision making?”
- June 12, 12:15 am - 1:30 pm
Larry Samuelson (Yale) – “The Wisdom of a Confused Crowd: Model-Based Inference”
- June 11, 12:30 pm - 1:30 pm
Sander WAGNER (CREST) – “The Cost of Terror”
- June 11, 11:00 am - 12:15 pm
Guillaume ROCHETEAU (University of California at Irvine) “Money mining and price dynamics “
- June 6, 2:00 pm - 3:00 pm
Pierre-Edouard Collignon (CREST): “When is a life worth living ? A dynastic efficiency criterion for fertility decisions”
- June 5, 12:15 am - 1:30 pm
Anasuya Raj (CREST) – “Optimal income taxation in the presence of networks of altruism”
- June 4, 12:15 pm - 1:30 pm
Chris MURIS (University of Bristol) – “Binarization for Panel Models with Fixed Effects”
- June 3, 12:15 pm
Russel COOPER (European University Institute) “MPC Heterogeneity in Europe: Sources and Policy Implications “
- June 3, 11:00 am - 12:00 pm
Morgane Cure – “Price determinants and the effect of price parity in the hotel industry”
- May 29, 12:15 am - 1:30 pm
Carol Propper (Imperial) – “The Impact of CEOs in the Public Sector: Evidence from the English NHS”
- May 28, 12:15 pm - 1:30 pm
Julia CAGÉ (Sciences Po Paris) – “It Takes Money to Make MPs : New Evidence from 150 Years of British Campaign Spending”
- May 27, 12:15 pm - 1:30 pm
Pablo WINANT (PSE) “Will Artificial Intelligence Replace Computational Economists Any Time Soon?”
- May 27, 11:00 am - 12:00 pm
Rémi Avignon – “Buying Groups and Product Variety”
- May 22, 12:15 am - 1:30 pm
Matthias Hunold (Dusseldorf) – “Vertical Financial Interest and Corporate Influence”
- May 21, 12:15 pm - 1:15 pm
Anett JOHN (CREST) – “Can Simple Psychological Interventions Increase Preventive Health Investment?”
- May 21, 10:30 am - 11:30 am
Jérémy Fouliard (LBS) – “Answering the Queen : online machine learning and financial crises”, joint work with Hélène Rey (LBS)
- May 20, 12:15 pm - 1:30 pm
Hélène TURON (Bristol University) “Home Production of Childcare and Labour Supply Decisions in a Collective Household Model”
- May 20, 11:00 am - 12:00 pm
Michael Visser – “Are Jury Decisions Interrelated? Evidence from the Labor Court of Paris”
- May 17, 12:15 am - 1:30 pm
Gautam Gowrisankaran (Arizona) – “Reclassification Risk in the Small Group Health Insurance Market”
- May 16, 12:30 pm - 1:30 pm
Aurélien Bigo (CREST): “How can we explain the past trends in transport CO2 emissions in France? A decomposition analysis for the 1960-2017 period”
- May 15, 12:15 am - 1:30 pm
Toivanen Otto (Aalto) – “Welfare effects of R&D support policies”
- May 14, 12:15 pm - 1:30 pm
Peter FREDRIKSSON ( Uppsala University ) – “Consequences of advance layoff notice for workers and firms”
- May 13, 12:15 pm
Brian ROBERSON (PURDUE University) “Estimating the Gains from Liberalizing Services Trade: The Case of Passenger Aviation”
- May 7, 12:15 pm - 1:30 pm
Michèle BELOT (European University Institute) – “How wage announcements affect job search – a field experiment”
- May 6, 12:15 pm
Abdoulaye NDIAYE (NYU Stern and Chicago Fed.) “Flexible Retirement and Optimal Taxation”
- May 3, 12:15 am - 1:30 pm
George LOEWENSTEIN (Carnegie Mellon) – “Thanking, Apologizing, Bragging, and Blaming: Responsibility Exchange Theory and the Currency of Communication” with Shereen CHAUDRY
- April 18, 12:15 pm - 1:30 pm
François DE SOYRES (Banque Mondial Washington) “Value Added and Productivity Linkages Across Countries”
- April 17, 12:15 am - 1:30 pm
Phil Reny (Chicago) – “Conditional ε-Equilibria of Multi-Stage Games with Infinite Sets of Signals and Actions”
- April 16, 12:15 pm - 1:15 pm
Robert J. GARY-BOBO (CREST) – “Bargaining over Treatment Choice under Disagreement”
- April 15, 11:00 am - 12:00 pm
Linda Schilling – “Too many voters to fail”
- April 11, 12:30 pm - 1:30 pm
Louis Pape (CREST): “Bargaining Power and the Impact of Mergers on Workers”
- April 10, 12:15 pm - 1:30 pm
Xavier Gabaix (Harvard) – “Granular Instrumental Variables”
- April 9, 12:15 pm - 1:30 pm
Saurabh BHARGAVA (Carnegie Mellon University) – “Save(d) by Design”
- April 8, 12:15 pm
Christophe GOUEL (INRA) “Love of variety and gains from trade”
- April 8, 11:00 am - 12:00 pm
Rafael Veiel – “Complexity of Strategic Thinking and Robustness of Interim Rationalizability”
- April 3, 12:15 am - 1:30 pm
Lukasz Grzybowski (Telecom ParisTech) – “Benefits of regulation vs. competition where inequality is high: The case of mobile telephony in South Africa “
- April 2, 12:15 pm - 1:30 pm
Florian OSWALD (SciencesPo Paris) – “The Effect of Homeownership on the Option Value of Regional Migration”
- April 1, 12:15 pm - 1:30 pm
Barbara PETRONGOLO (Queen Mary University) “Economic incentives, home production and gender identity norms”
- March 29, 12:15 am - 1:30 pm
Antoine Dechezleprêtre (OCDE, LSE) – “The economic cost of air pollution: Evidence from Europe”
- March 27, 12:15 am - 1:30 pm
Tobias KLEIN (Tilburg) – “Does the framing of patient cost-sharing incentives matter? The effects of deductibles vs. no-claim refunds “
- March 26, 12:15 pm - 1:30 pm
Robert SAUER (RHUL, IZA) – “The Dynamics of Domestic Violence: Learning about the Match”
SeminarsEventsPast Seminars and Events
There are no upcoming events at this time.
There are no upcoming events at this time.
- June 24, 2:00 pm - 3:15 pm
Jonas PETERS (University of Copenhagen) – “The Impossibility of Conditional Independence Testing and Causality in Dynamical Systems”
- June 24, 10:30 am - 11:45 am
Zheng Tracy KE (Harvard University) – “Optimal Adaptivity of Signed-Polygon Statistics for Network Testing”
- June 3, 2:00 pm - 3:15 pm
Ilias DIAKONIKOLAS (University of Southern California) – “Algorithmic Questions in Robust High-Dimensional Statistics”
- May 27, 2:00 pm - 3:15 pm
Geoffrey CHINOT (CREST) – “ERM and RERM are tractable and optimal estimators in the ε-contamination model”
- May 21, 10:30 am - 11:30 am
Jérémy Fouliard (LBS) – “Answering the Queen : online machine learning and financial crises”, joint work with Hélène Rey (LBS)
- May 20, 2:00 pm - 3:15 pm
Yohann DE CASTRO (Ecole Ponts ParisTech) – “Exact False Negative Control using Stopping Times on the LAR’s Path”
- May 13, 2:00 pm - 3:15 pm
Alexey NAUMOV (Higher School of Economics, Moscow) – “Gaussian approximation for maxima of large number of quadratic forms of high-dimensional random vectors “
- April 8, 2:00 pm - 3:15 pm
Asaf WEINSTEIN (Carnegie Mellon University) – “A power analysis for knockoffs using Lasso and thresholded-Lasso statistics”
- April 1, 2:00 pm - 3:15 pm
Botond SZABO (Leiden University) – “On the fundamental understanding of distributed computation”
- March 25, 2:00 pm - 3:15 pm
Tengyuan LIANG (University of Chicago-Booth School of Business) – “New Thoughts on Adaptivity, Generalization and Interpolation Motivated from Neural Networks”
- March 11, 2:00 pm - 3:15 pm
Ismaël CASTILLO (Sorbonne Université) – “On frequentist false discovery rate of Bayesian multiple testing procédures”
- February 11, 2:00 pm - 3:15 pm
Olga KLOPP (CREST and ESSEC) – “Graphon Estimation in cut distance” (Canceled)
- February 6, 2:00 pm - 3:00 pm
Victor-Emmanuel Brunel (CREST) – “Different Forms of Negative Dependence in Statistics”
- February 4, 2:00 pm - 3:15 pm
Tom BERRETT(University of Cambridge) – “Efficient multivariate functional estimation and independence testing”
- January 28, 2:00 pm - 3:15 pm
Mohamed NDAOUD (CREST) – “Interplay of minimax estimation and minimax support recovery under sparsity”
- January 9, 2:00 pm - 3:00 pm
Pierre Alquier (CREST) – “Introduction to Online Prediction”
- December 5, 2018, 2:00 pm - 3:00 pm
Xavier d’Haultfoeuille (CREST) – “Treatment Effects: Presentation and Open Questions”
- December 3, 2018, 2:00 pm - 3:15 pm
Nabil MUSTAFA (ESIEE Paris) – “Sampling in Geometric Configurations”
- November 28, 2018, 2:00 pm - 3:00 pm
Martin Kroll (CREST) – “(Nonparametric) Estimation under Privacy Constraints”
- November 26, 2018, 2:00 pm - 3:15 pm
Stanislav MINSKER (University of Southern California) – “Median-of-means estimator and its generalizations”
- November 20, 2018, 2:00 pm - 3:15 pm
Guenther WALTHER (Stanford University) – “Constructing an optimal confidence set for a distribution function with applications to visualizing data”
- November 14, 2018, 2:00 pm - 3:00 pm
Victor-Emmanuel Brunel (CREST) – “Use of Random Polytopes in Statistics”
- November 12, 2018, 2:00 pm - 3:15 pm
Karim LOUNICI (Ecole Polytechnique) – “Online PCA: non-asymptotics statistical guarantees for the Krasulina scheme”
- November 7, 2018, 2:00 pm - 3:00 pm
Yannick Guyonvarch (CREST) – “Asymptotic Results for Exchangeable Arrays”
- October 31, 2018, 2:00 pm - 3:00 pm
Badr-Eddine Chérief-Abdellatif (CREST) – “Consistency of Variational Bayes”
- October 17, 2018, 2:00 pm - 3:00 pm
Lionel Riou-Durand (CREST) – “On sampling from a log-concave density using kinetic Langevin diffusions”, joint work with Arnak Dalalyan (CREST)
- October 15, 2018, 2:00 pm - 3:15 pm
Mathias DRTON (Université de Copenhague) – “Causal Discovery in Linear Non-Gaussian Models “
- October 10, 2018, 2:00 pm - 3:00 pm
Alexis Derumigny (CREST) – “Copulas and measures of dependence”
- October 8, 2018, 2:00 pm - 3:15 pm
Stefan WAGER (Université de Stanford) – “Machine Learning for Causal Inference”
- October 1, 2018, 2:00 pm - 3:15 pm
Christophe GIRAUD (Université Paris-Sud) – “Partial recovery bounds for clustering with (corrected) relaxed Kmeans (2/2)”
- September 17, 2018, 2:00 pm - 3:15 pm
Christophe GIRAUD (Université Paris-Sud) – “Partial recovery bounds for clustering with (corrected) relaxed Kmeans (1/2)”
- September 10, 2018, 2:00 pm - 3:15 pm
Alexander MEISTER (Université de Rostock) – “Nonparametric density estimation for intentionally corrupted functional data”
- June 27, 2018, 2:00 pm - 3:15 pm
Emtiyaz Khan (Riken, Tokyo) – “Fast yet Simple Natural-Gradient Variational Inference”
- June 18, 2018, 2:00 pm - 3:15 pm
Mihai Cucuringu (Oxford University) – “Laplacian-based methods for ranking and constrained clustering”
- June 11, 2018, 2:00 pm - 3:15 pm
Jeremy Heng (Harvard University) – “Controlled sequential Monte Carlo”
- May 28, 2018, 2:00 pm - 3:15 pm
Sivaraman BALAKRISHNAN (Carnegie Mellon University) – “On computationally-efficient robust and non-convex estimation”
- May 4, 2018, 2:00 pm - 3:30 pm
Quentin F. GRONAU (University of Amsterdam) – “Bayesian Model Comparison for Hierarchical Multinomial Processing Tree Models using Warp-III Bridge Sampling”
- April 13, 2018, 2:00 pm - 3:15 pm
Eric KOLACZYK (University of Boston) – “Dynamic Networks with Multi-scale Temporal Structure “
- April 6, 2018, 2:00 pm - 3:15 pm
Cheng MAO (MIT) – “Breaking the n^{-1/2} barrier for permutation-based ranking models “
- April 5, 2018, 2:00 pm - 3:15 pm
Angelika Rohde (University of Freiburg) – “Geometrizing rates of convergence under privacy constraints “
- March 5, 2018, 2:00 pm - 3:15 pm
Rajarshi MUKHERJEE (University of Berkeley) – “Global Testing Against Sparse Alternatives under Ising Models”
- February 19, 2018, 2:00 pm - 3:15 pm
Laëtitia COMMINGES (Université Paris-Dauphine) – “Some effects in adaptive robust estimation under sparsity “
- February 5, 2018, 2:00 pm - 3:15 pm
Frédéric CHAZAL (INRIA) – “An introduction to persistent homology in Topological Data Analysis and the density of expected persistence diagrams “
- January 29, 2018, 2:00 pm - 3:15 pm
Anatoli JUDITSKY (Université Grenoble Alpes) – “Agrégation des estimateurs à partir d’observations indirectes”
- January 8, 2018, 2:00 pm - 3:15 pm
Eric MOULINES (Ecole Polytechnique) – “Algorithmes de simulation de Langevin “
- December 11, 2017, 2:00 pm - 3:15 pm
Jamal NAJIM (CNRS UPEM) – “Grandes matrices de covariance empirique “
- December 4, 2017, 2:00 pm - 3:15 pm
Philip THOMPSON (ENSAE-ParisTech CREST) – “Stochastic approximation with heavier tails “
- November 27, 2017, 2:00 pm - 3:15 pm
Elisabeth GASSIAT (Université Paris-Sud) – “Estimation of the proportion of explained variation in high dimensions”
- November 20, 2017, 2:00 pm - 3:15 pm
Olivier COLLIER (Université Paris-Nanterre) – “Estimation robuste de la moyenne en temps polynômial”
- November 6, 2017, 2:00 pm - 3:15 pm
Martin KROLL (ENSAE-ParisTech CREST) – “On minimax optimal and adaptive estimation of linear functionals in inverse Gaussian sequence space models”
SeminarsEventsPast Seminars and Events
There are no upcoming events at this time.
There are no upcoming events at this time.
- June 20, 12:00 pm - 1:15 pm
Thomas GRUND (University College Dublin) – “Public Denunciation and the Limits of Scandal”
- May 16, 12:00 pm - 1:15 pm
Alyson VAN RAALTE (Max Planck Institute for Demographic Research) – “The case for monitoring lifespan inequality “
- May 9, 12:00 pm - 1:15 pm
Stine MOLLEGAARD (University of Copenhagen) “The Genetics of Education and the role of Cognitive and Non-Cognitive Skills”
- March 14, 12:00 pm - 1:15 pm
Etienne OLLION (CNRS-Université de Strasbourg) – “Vivre en politique. Carrières et pratiques après le second moment de professionnalisation politique “
- February 14, 12:00 pm - 1:15 pm
Man-Yee KAN (Oxford University) – “Lagged Adaptation in the Association between Women’s and Men’s Gender Attitudes and Housework Time in 24 countries”
- January 17, 12:00 pm - 1:15 pm
-Canceled- Camille Peugny (UVSQ) – “La polarisation de l’emploi en Europe à partir des enquêtes EU-LFS”
- December 13, 2018, 12:00 pm - 1:15 pm
Henning Hillmann (Universität Mannheim, MZES) – “Careers and Cohesion in Economic Networks”
- November 28, 2018, 12:00 pm - 1:00 pm
Felix TROPF (University of Oxford) – “How gene-environment interaction shapes genetic discovery in the social sciences”
- November 7, 2018, 12:30 pm - 1:45 pm
Haley McAvay (Ined) – “Pathways out of the Parental Home: Contextual Determinants of Home-Leaving Patterns Across Second Generation Immigrant Origins in France”
- October 18, 2018, 12:00 pm - 1:15 pm
Pierre MERCKLE (Université de Grenoble-Alpes) – “Mesurer, analyser (et corriger ?) les incohérences de réponses dans les enquêtes longitudinales”
- July 12, 2018, 12:00 pm - 1:15 pm
Diederik BOERTIEN (Centre for Demographic Studies, Barcelona) – “Same-sex parent families and school progress of children:an association that disappeared over time”
- July 5, 2018, 12:00 pm - 1:15 pm
Léa PESSIN (Pennsylvania State University) – “Race and class differences in linking women’s work and family lives across the life course – How gender, race and class shape the work and family trajectories of black, Latina, and white women from early adulthood to midlife”
- June 21, 2018, 12:00 pm - 1:15 pm
Dingeman WIERTZ (University of Oxford) – “Civic Inequalities across the United States : Civic Deserts, Civic Hotspots, and Their Persistence over Time”
- June 19, 2018, 2:00 pm - 3:30 pm
Felix TROPF (University of Oxford) – “Using genetic data for social science research”
- May 17, 2018, 12:00 pm - 1:15 pm
Marii PASKOV (Department of Social Policy and Intervention, Nuffield College, Institute for New Economic Thinking – The Oxford Martin School, University of Oxford) – “Intergenerational class mobility in Europe: A new account”
- April 12, 2018, 12:00 pm - 1:15 pm
CANCELED : Henning HILLMANN ( University of Mannheim) – “Careers and Cohesion in Economic Networks”
- February 15, 2018, 11:00 am - 12:30 pm
Sarah VALDEZ (Linköping University) – “Finding ethnic enclaves with Swedish population registers”
- January 18, 2018, 12:00 pm - 1:15 pm
Leïla FROUILLOU ( Paris 8 Vincennes – Saint-Denis) – “Ségrégations universitaires en Ile de France : d’APB aux trajectoires d’études “
- November 9, 2017, 12:00 pm - 1:15 pm
Anna BARBUSCIA ( Oxford University) – “Fertility Treatments and Divorce: Evidence from the National Survey of Family Growth”
- October 12, 2017, 12:00 pm - 1:15 pm
Gianluca MANZO – Complex contagions and the diffusion of innovations: evidence from a small-N case study
- September 28, 2017, 11:30 am - 1:00 pm
Margot DELON – Un privilège à double-tranchant. Trajectoires et positions des immigrés et descendants d’immigrés d’origine portugaise en France
- June 15, 2017, 11:00 am - 12:30 pm
Julien Boelaert – Une révolution statistique ? Machine Learning et prédiction en sciences sociales
SeminarsEventsPast Seminars and Events
There are no upcoming events at this time.
There are no upcoming events at this time.
- June 20, 11:30 am - 12:30 pm
Iryna OKHRIN (Dresden University of Technology, Germany) “On LASSO-GARCH Approach”
- June 20, 10:30 am - 11:30 am
Ostap OKHRIN (Dresden University of Technology, Germany) “Stochastic Volatility with Jump Models: Moments, Simulation, and Estimation”
- May 28, 11:00 am - 12:00 pm
Kris JACOBS (University of Houston) “Estimation and Filtering with Big Option Data : Implications for Asset Pricing”
- May 13, 3:30 pm - 4:30 pm
Archil GULISASHVILI (Ohio University) “Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions”
- May 9, 11:30 am - 12:30 pm
Erwan KOCH (EPFL, Lausanne) “Infinitesimal Perturbation Analysis for Risk Measures Based on the Smith Max-Stable Random Field”
- May 9, 10:30 am - 11:30 pm
Rogier QUAEDVLIEG (Erasmus University Rotterdam, Netherlands) “Conditional Superior Predictive Ability”
- April 11, 11:30 am - 12:30 pm
Jean-Paul RENNE (Lausanne University, Swiss) “Fiscal Limits and Sovereign Credit Spreads”
- April 11, 10:30 am - 11:30 am
Veronika CZELLAR (EDHEC, France) “Limited participation in the joint behavior of asset prices and individual consumptions”
- April 1, 3:30 pm - 4:30 pm
Pierre CARDALIAGUET (Université Paris-Dauphine) “Jeux à champs moyen avec un agent majeur”
- March 14, 11:30 am - 12:30 pm
Kris BOUDT (Free University Amsterdam) “Reliable estimation of higher order comoments”
- March 14, 10:30 am - 11:30 am
Roberto CASARIN (University Ca’Foscari, Venice) “Bayesian Markov Switching Tensor Regression for Time-varying Networks”
- March 4, 3:30 pm - 4:30 pm
Christian ROBERT (Université Lyon 1) « How large is the jump discontinuity in the diffusion coefficient of an to diffusion?”
- February 14, 11:30 am - 12:15 pm
Guillaume CHEVILLON (ESSEC, France) “The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons”
- February 14, 10:30 am - 11:15 pm
Leopoldo CATANIA (Aarhus University, Denmark) “Dynamic Discrete Mixtures and High-Frequency Prices”
- February 4, 3:30 pm - 4:30 pm
Salvatore FEDERICO (Universita di Siena) “Irreversible Investment with Fixed Adjustment Costs: a Stochastic Impulse Control Approach”
- January 31, 11:00 am - 12:00 pm
Hamdi RAISSI (PUC Valparaiso, Chile) “On the VAR modelling of unconditionnally heteroscedastic time series”
- January 17, 11:00 am - 12:00 pm
Luc BAUWENS (CORE, Belgium) “NONLINEARITIES AND REGIMES IN CONDITIONAL CORRELATIONS WITH DIFFERENT DYNAMICS”
- January 7, 3:30 pm - 4:30 pm
Anthony REVEILLAC (Insa Toulouse, IMT) “On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noise dispersion”
- November 22, 2018, 10:30 am - 11:30 pm
Alexander HEINEMANN (Maastricht University ) “A Residual Bootstrap for Conditional Value-at-Risk”
- November 5, 2018, 4:45 pm - 5:45 pm
Elena ISSOGLIO (The University of Leeds) – “A numerical scheme for multidimensional SDEs with distributional drift “
- November 5, 2018, 3:30 pm - 4:30 pm
DE ANGELIS Tiziano (The University of Leeds) – “Dynkin Games with Incomplete and Asymmetric “
- October 18, 2018, 11:30 am - 12:30 pm
Francesco VIOLANTE (CREST) “Dynamics of variance risk premia: A model for disentangling the price of risk”
- October 18, 2018, 10:30 am - 11:30 pm
Sébastien FRIES (CREST) “Path prediction of aggregated alpha-stable moving averages using semi-norm representations”
- October 1, 2018, 4:30 pm - 5:30 pm
Charles BERTUCCI (Université Paris-Dauphine) “Mean field games of optimal stopping and impulse control.”
- October 1, 2018, 3:30 pm - 4:30 pm
Pierre NYQUIST (Eindhoven University of Technology) – “The Infinite Swapping Algorithm: Properties and Applications.”
- September 20, 2018, 11:00 am - 12:00 pm
Richard LUGER (Université Laval, Québec) “Exact inference in long-horizon predictive quantile regressions with an application to stock returns”.
- June 21, 2018, 5:30 pm - 6:30 pm
Rasmus Søndergaard PEDERSEN (University of Copenhagen) “Testing GARCH-X type models”.
- June 21, 2018, 4:15 pm
Paolo SANTUCCI DE MAGISTRIS (Aarhus BSS) “Resuscitating the co-fractional model of Granger (1986)”.
- June 4, 2018, 3:30 pm - 4:30 pm
Huyên PHAM (Université Paris Diderot & CREST) – “Portfolio Diversification and Model Uncertainty: a Robust Dynamic Mean-Variance Approach”
- May 24, 2018, 5:30 pm - 6:30 pm
Christophe CROUX (Edhec Business School) “Sparse Vector Autoregressive Models”.
- May 24, 2018, 4:15 pm
Esther RUIZ (Universidad Carlos III de Madrid) “Accurate subsampling intervals of Principal Components Factors”.
- April 12, 2018, 5:30 pm - 6:30 pm
Clément CEROVECKI (ULB, Bruxelles) “Functional GARCH Models”.
- April 12, 2018, 4:15 pm - 5:15 pm
Jose OLMO (University of Southampton) “Tests of Asset Pricing with Time-Varying Factor Loads”.
- April 9, 2018, 4:30 pm - 5:30 pm
Roxana DUMITRESCU (King’s College London) – “On E^g-pricing of American options in complete and incomplete markets with default”
- April 9, 2018, 3:30 pm - 4:30 pm
GONCALO DOS REIS (University of Edinburgh) – “Mean field and N-Agent games for optimal investment under relative performance concerns and forward-utilities”
- March 5, 2018, 3:30 pm - 4:30 pm
Tyler ABBOT (Sciences Po, Paris) – “Heterogeneous Risk Preferences in Financial Markets”
- February 15, 2018, 5:30 pm - 6:30 pm
Alexis DERUMIGNY (CREST) “About Kendall’s Regression”.
- February 15, 2018, 4:15 pm - 5:15 pm
Matteo BARIGOZZI (LSE, UK) “Determining the Dimension of Factor Structures in Non-Stationary Large Dataset”.
- February 5, 2018, 3:30 pm - 4:30 pm
Ashkan NIKEGHBALI (University of Zurich) – ” Modélisation du risque, dépendance et graphes”
- January 25, 2018, 5:30 pm - 6:30 pm
Jean-Marc BARDET (Paris I) “Non-Parametric Estimation of Time Varying AR(1)-Processes with Local Stationarity and Periodicity”.
- January 25, 2018, 4:15 pm - 5:15 pm
Donatien HAINAUT (Université Catholique de Louvain, Belgium) “A Self-Excited Switching Jump Diffusion (SESJD): Properties, Calibration and Hitting Time.
- December 4, 2017, 3:30 pm - 4:30 pm
Claudio FONTANA (Université Paris-Diderot) – “The Value of Informational Arbitrage”
- November 16, 2017, 5:30 pm - 6:30 pm
Elise GOURIER (Queen Mary University of London) – “Inferring Volatility Dynamics and Risk Premia From the S&P 500 and VIX Markets”
- November 16, 2017, 4:15 pm - 5:15 pm
Francisco BLASQUES (VU University Amsterdam Tinbergen Institute) – “Transformed Polynomials for Semi-Nonparametric Conditional Volatility Models”
- November 6, 2017, 5:00 pm - 6:00 pm
Nicolas BARADEL (CREST) – “Optimal control under uncertainty and bayesian parameters adjustments”
- November 6, 2017, 3:30 pm - 4:30 pm
Eyal NEYMAN (Imperial College) – “Incorporating signals into optimal trading”
- October 26, 2017, 11:00 am - 12:00 pm
Enrique SENTANA (Cemfi) – “Specification Tests for non-Gaussian Maximum Likelihood Estimators”
- October 2, 2017, 4:00 pm - 5:00 pm
Sergio PULIDO – Stochastic Model in Finance
- October 2, 2017, 3:00 pm - 4:00 pm
Mitja STADJE – Perfect Hedging Under Endogenous Permanent Market Impacts
- June 22, 2017, 4:15 pm - 5:30 pm
Matthias Fengler – Textual sentiment, option information and stock predictability
For information concerning ENSAI’s events and/or Seminars, please visit the following page:
http://www.ensai.fr/crest-ensai/seminaires.html
– Theoretical results for deep neural networks – Johannes SCHMIDT-HIEBERr, Leiden University
– Topics in Behavioral Political Economy – Allan DRAZEN, University of Maryland
– Couplings and convergence of Markov Chain Monte Carlo methods – Andreas EBERLE, University of Bonn