- November 5, 12:15 pm - 1:30 pm
Abdoulaye NDIAYE (NYU Stern and Chicago Fed) “Flexible Retirement and Optimal Taxation”
Time: 12:15pm – 13:30 pm Date: 05th of November 2018 Place: Room 3001 Abdoulaye NDIAYE (NYU Stern and Chicago Fed) “Flexible Retirement and Optimal Taxation” Abstract : This paper studies optimal income taxes and retirement benefits in a life-cycle model with an intensive margin of labor supply and an endogenous retirement age. The government insures and
- November 6, 12:15 pm - 1:30 pm
Clément IMBERT (University of Warwick) – “TBA”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 6 th of November 2018 Place: Room 3001 Clément IMBERT (University of Warwick) – “TBA” Abstract: Organizers: Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST) Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST) Sponsors: CREST
- November 13, 12:15 pm - 1:30 pm
Alexandra ROULET (INSEAD) – “TBA”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 13 th of November 2018 Place: Room 3001 Alexandra ROULET (INSEAD) – “TBA” Abstract: Organizers: Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST) Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST) Sponsors: CREST
- November 27, 12:15 pm - 1:30 pm
Martin WEIDNER (University College London) – “Nuclear Norm Regularized Estimation of Panel Regression Models”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 27 th of october 2018 Place: Room 3001 Martin WEIDNER (University College London) – “Nuclear Norm Regularized Estimation of Panel Regression Models” Abstract: In this paper we investigate panel regression models with interactive fixed effects. We propose two new estimation methods that are
- December 4, 12:15 pm - 1:30 pm
Nicola PAVANINI (Tilburg University) – “TBA”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 4 th of December 2018 Place: Room 3001 Nicola PAVANINI (Tilburg University) – “TBA” Abstract: Organizers: Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST) Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST) Sponsors: CREST
- December 11, 12:15 pm - 1:30 pm
Thomas LE BARBANCHON ( BOCCONI University) – “TBA”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 11 th of December 2018 Place: Room 3001 Thomas LE BARBANCHON ( BOCCONI University) – “TBA” Abstract: Organizers: Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST) Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST) Sponsors: CREST
- December 18, 12:15 pm - 1:30 pm
Brigham FRANDSEN (Brigham Young University) – “TBA”
The Microeconometrics Seminar: Every Tuesday at 12:15 pm. Time: 12:15 pm – 1:30 pm Date: 18 th of December 2018 Place: Room 3001 Brigham FRANDSEN (Brigham Young University) – “TBA” Abstract: Organizers: Laurent DAVEZIES (Laboratoire de Microéconométrie-CREST) Arne UHLENDORFF (Laboratoire de Microéconométrie-CREST) Sponsors: CREST
- October 19, 12:00 am - 1:15 pm
Katheline SCHUBERT (PSE) – “Energy transition with variable and intermittent renewable electricity generation”
- October 18, 12:45 pm - 1:45 pm
Bérengère Patault (CREST): “The Uncertainty of Severance Payments and Firms’ Survival”
- October 17, 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 17, 12:15 am - 1:30 pm
Salvatore NUNNARI (Bocconi) – “A Model of Focusing in Political Choice”
- October 16, 12:15 pm - 1:30 pm
Christophe BELLEGO (CREST) – “Does it Pay to Fight Crime? The Effects of Drug Gangs Fighting Policy using Endogenously Reported Crime Data”
- October 15, 12:15 pm - 1:30 pm
Emilie SARTRE (CREST ) “Toxic Loans and the Entry of Extreme Candidates”
- October 10, 2:00 pm - 3:00 pm
Alexis Derumigny (CREST) – “Copulas and measures of dependence”
- October 10, 12:15 am - 1:30 pm
Florian SCHEUER (UZH) – “Signaling to Experts”
- October 8, 12:15 pm - 1:30 pm
James HARRIGAN (University of Virginia ) “Techies, Trade, and Skill-Biased Productivity: Firm Level Evidence from France”
- October 4, 12:30 pm - 1:30 pm
Antoine Valtat (CREST): “Representativeness of Labor Market Institutions”
- October 3, 12:15 am - 1:30 pm
Anastasios DOSIS (ESSEC) – “On the Informed Principal Model with Common Values”
- October 2, 12:15 pm - 1:30 pm
Alessandro IARA (University of Bristol) – “Navigation, World Trade and the Chronometer”
- October 1, 12:15 pm - 1:30 pm
Carlos THOMAS (Banco de España ) “A Large Central Bank Balance Sheet? Floor vs Corridor Systems in a New Keynesian Environment”
- September 26, 12:15 am
Reda ABOUTAJDINE (CREST) – “Should I Stalk or Should I Go? An Auditing Exploration/Exploitation Dilemma”
- September 25, 12:15 pm - 1:45 pm
Claire MONTIALOUX (CREST) – “Minimum Wages and Racial Inequality” – practice job talk
- September 24, 12:15 pm - 1:30 pm
Isabelle Méjean (CREST) “Foreign Shocks as Granular Fluctuations”
- September 18, 12:15 pm - 1:15 pm
Thierry KAMIONKA (CREST) – “Homeownership and Labour Market Transitions”
- September 17, 12:15 pm - 1:30 pm
Christian MERKL (Friedrich-Alexander Universität Erlangen-Nürnberg ) “Hartz IV and the Decline of German Unemployment: A Macroeconomic Evaluation”
- September 12, 12:15 pm - 1:30 pm
Geoffrey BARROWS (CREST-tba) – “tba” joint with tba
- September 11, 12:15 pm - 1:30 pm
Timothy ARMSTRONG (Yale University) – “Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness”
- September 10, 12:15 pm - 1:30 pm
Yoshiyasu Ono (Osaka University) “Country Size, Specialization Patterns and Secular Demand Stagnation”
- September 7, 12:15 pm - 1:30 pm
Roland RATHELOT(University of Warwick) – “Gender differentials in reservation utility, wage and commuting distance”
- September 6, 2:00 pm - 3:15 pm
Josef ZWEIMÜLLER (University of Zurich) – “Marginal jobs and job surplus: evidence from unemployment insurance and job separations” joint with Simon JÄGER and Benjamin SCHOEFER
- September 3, 12:15 pm - 1:30 pm
Winfried KOENIGER (St Gallen) “Differences in Euro-Area Household Finances and their Relevance for Monetary-Policy Transmission”
- July 11, 12:15 pm - 1:30 pm
Sabien DOBBELAERE (Vrije Universiteit Amsterdam ) – “Production Functions and Firm Labor Demand: Comparing Micro-Evidence on Rent Sharing from Two Different Econometric Models and Work in Progress” joint with E. Jousselin, R. Lecat and J. Mairesse
- July 10, 12:15 pm - 1:15 pm
Antoine Bertheau (CREST) – “Unexpected worker quits and within firm labor adjustment”, joint work with Pierre Cahuc (CREST, Polytechnique, IZA and CEPR)
- June 29, 12:15 pm - 1:30 pm
Tomas JAGELKA (CREST) – “The Effect of Consumer Reviews on Demand: Evidence from Amazon”
- June 28, 12:30 pm - 1:30 pm
Louis-Daniel Pape (CREST) – “Freemium in Digital Markets: Evidence from an Online Game”
- June 27, 12:15 pm - 1:30 pm
Sébastien MITRAILLE (Toulouse Business School) – “Outsource (some of) what you do best, to better outsource the rest” joint with Christophe Bernard
- June 22, 12:15 pm - 1:30 pm
Steven BERRY (Yale University) – “An Instrumental Variable Approach to Dynamic Models” joint with G. Compiani
- June 21, 2:00 pm - 3:30 pm
Botond KOSZEGI (Central European University) – “Browsing versus Studying: A Pro-Market Case for Regulation” joint with Johannes JOHNEN
- June 20, 12:15 pm - 1:30 pm
Glenn ELLISON (MIT) – “The Efficiency of Race-Neutral Alternatives to Race-Based Affirmative Action: Evidence from Chicago’s Exam Schools” joint with Parag A. Pathaky
- June 19, 12:15 pm - 1:30 pm
Lorenz GOETTE (University of Bonn) – “The Behavioural Mechanisms of Habit Formation:Evidence from a Field Experiment on Water Conservation”
- June 15, 12:00 pm - 1:15 pm
[Environment session] – Pierre COURTOIS (CEE-M) – “A Tale of Two Diversities” joint with C. Figuieres and C. Mulier
- June 14, 2:00 pm - 3:30 pm
Stephane BONHOMME (University of Chicago) – “Minimizing Sensitivity to Model Misspecification” joint with Martin WEIDNER
- June 13, 12:15 pm - 1:30 pm
Stefanie STANTCHEVA (Harvard University) – “Dancing with the Stars: Innovation through Interactions” joint with U. Akcigit, S. Caicedo, E. Miguelez and V. Sterzi
- June 12, 12:15 pm - 1:30 pm
Alex TETENOV (University of Bristol) – “An Economic Theory of Statistical Testing”
- June 11, 4:00 pm - 5:00 pm
Fabien Perez (CREST-ENSAE) – “Self-Selection into Strategic Environments”
- June 11, 12:15 pm - 1:30 pm
Tomasz MICHALSKI (HEC) “Financial Constraints and Propagation of Shocks in Production Networks”
- June 7, 2:00 pm - 3:30 pm
Andy ZAPECHELNYUK (University of St Andrews) – “Persuasion Meets Delegation”
- June 6, 12:15 pm - 1:30 pm
Julien MONARDO (CREST) – “Demand Models for Differentiated Products with Complementarity and Substitutability” joint with M. Fosgerau and A. de Palma
- June 5, 12:15 pm - 1:15 pm
Claire Montialoux (CREST) – “Minimum Wages and Racial Inequality”, joint work with Ellora Derenoncourt (Harvard)
- June 4, 12:15 pm - 1:30 pm
Sumiya KAZUHIKO (Aarhus) – “Accumulating Effects of Income Taxes on Wages: Micro Evidence from Denmark”.
- May 31, 12:30 pm - 1:30 pm
Emilie Sartre (CREST-ENSAE) – “Financial Crisis and Electoral Effects: Evidence from French Municipalities”
- May 31, 2:00 am - 3:30 pm
Jennifer LA’O (Columbia University) – “Optimal Monetary Policy with Informational Frictions”
- May 30, 12:15 pm - 1:30 pm
Simon ANDERSON (University of Virginia) – “Demand for privacy, selling consumer information, and consumer hiding vs. opt-out” joint with N. Larson, M. Sanchez, and A. Urbano
- May 29, 12:15 pm - 1:30 pm
Brit GROSSKOPF (University of Exeter) – “More Meat for Boys: Evidence of Gender Based Statistical Discrimination in British Carvery Restaurants “
- May 28, 12:15 pm - 1:30 pm
Edgard PREUGSCHAT (Dortmunt University) – “Low Homeownership in Germany- A Quantitative Exploration”
- May 24, 2:00 pm - 3:30 pm
Allan DRAZEN (University of Maryland) – “Intrinsic versus Instrumental Reciprocity in Elections”
- May 24, 12:30 pm - 1:30 pm
Paul Beaumont (CREST-INSEE) – “TBA”
- November 12, 2:00 pm - 3:15 pm
Karim LOUNICI (Ecole Polytechnique) – “Online PCA: non-asymptotics statistical guarantees for the Krasulina scheme”
The Statistical Seminar: Every Monday at 2:00 pm. Time: 2:00 pm – 3:15 pm Date: 12st of November 2018 Place: Room 3001. Karim LOUNICI (Ecole Polytechnique) – “Online PCA: non-asymptotics statistical guarantees for the Krasulina scheme” Abstract: Principal Component Analysis is a popular method used to analyse the covariance structure $\Sigma$ of a random vector. Recent results on the
- November 26, 2:00 pm - 3:15 pm
Stanislav MINSKER (University of Southern California) – “TBA”
The Statistical Seminar: Every Monday at 2:00 pm. Time: 2:00 pm – 3:15 pm Date: 26th of November 2018 Place: Room 3001. Stanislav MINSKER (University of Southern California) “TBA” Abstract: Organizers: Cristina BUTUCEA, Alexandre TSYBAKOV, Julie JOSSE, Eric MOULINES, Mathieu ROSENBAUM Sponsors: CREST-CMAP
- December 3, 2:00 pm - 3:15 pm
Nabil MUSTAFA (ESIEE Paris) – “Sampling in Geometric Configurations”
The Statistical Seminar: Every Monday at 2:00 pm. Time: 2:00 pm – 3:15 pm Date: 3rd of December 2018 Place: Room 3001. Nabil MUSTAFA (ESIEE Paris) – “Sampling in Geometric Configurations” Abstract: In this talk I will present recent progress on the problem of sampling in geometric configurations. A typical problem: given a set P of n points
- October 17, 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, 2:00 pm - 3:15 pm
Mathias DRTON (Université de Copenhague) – “Causal Discovery in Linear Non-Gaussian Models “
- October 10, 2:00 pm - 3:00 pm
Alexis Derumigny (CREST) – “Copulas and measures of dependence”
- October 8, 2:00 pm - 3:15 pm
Stefan WAGER (Université de Stanford) – “Machine Learning for Causal Inference”
- October 1, 2:00 pm - 3:15 pm
Christophe GIRAUD (Université Paris-Sud) – “Partial recovery bounds for clustering with (corrected) relaxed Kmeans (2/2)”
- September 17, 2:00 pm - 3:15 pm
Christophe GIRAUD (Université Paris-Sud) – “Partial recovery bounds for clustering with (corrected) relaxed Kmeans (1/2)”
- September 10, 2:00 pm - 3:15 pm
Alexander MEISTER (Université de Rostock) – “Nonparametric density estimation for intentionally corrupted functional data”
- June 27, 2:00 pm - 3:15 pm
Emtiyaz Khan (Riken, Tokyo) – “Fast yet Simple Natural-Gradient Variational Inference”
- June 18, 2:00 pm - 3:15 pm
Mihai Cucuringu (Oxford University) – “Laplacian-based methods for ranking and constrained clustering”
- June 11, 2:00 pm - 3:15 pm
Jeremy Heng (Harvard University) – “Controlled sequential Monte Carlo”
- May 28, 2:00 pm - 3:15 pm
Sivaraman BALAKRISHNAN (Carnegie Mellon University) – “On computationally-efficient robust and non-convex estimation”
- May 4, 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, 2:00 pm - 3:15 pm
Eric KOLACZYK (University of Boston) – “Dynamic Networks with Multi-scale Temporal Structure “
- April 6, 2:00 pm - 3:15 pm
Cheng MAO (MIT) – “Breaking the n^{-1/2} barrier for permutation-based ranking models “
- April 5, 2:00 pm - 3:15 pm
Angelika Rohde (University of Freiburg) – “Geometrizing rates of convergence under privacy constraints “
- March 5, 2:00 pm - 3:15 pm
Rajarshi MUKHERJEE (University of Berkeley) – “Global Testing Against Sparse Alternatives under Ising Models”
- February 19, 2:00 pm - 3:15 pm
Laëtitia COMMINGES (Université Paris-Dauphine) – “Some effects in adaptive robust estimation under sparsity “
- February 5, 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, 2:00 pm - 3:15 pm
Anatoli JUDITSKY (Université Grenoble Alpes) – “Agrégation des estimateurs à partir d’observations indirectes”
- January 8, 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”
- October 23, 2017, 2:00 pm - 3:15 pm
ANNULE – Philip THOMPSON (ENSAE-ParisTech CREST) – “Stochastic approximation with heavier tails “
- October 9, 2017, 2:00 pm - 3:15 pm
Zoltan SZABO (Ecole Polytechnique) – “Characteristic Tensor Kernels”
- October 2, 2017, 3:00 pm - 4:15 pm
Nicolas MARIE (Modal’X (Paris 10)/ESME Sudria) – “Estimation non-paramétrique dans les équations différentielles dirigées par le mouvement brownien fractionnaire”
- September 25, 2017, 3:00 pm - 4:15 pm
Mathias TRABS (Université de Hambourg) – Volatility estimation for stochastic PDE’s using high-frequency observations.
- September 11, 2017, 3:00 pm - 4:15 pm
Arnak DALALYAN – “User-friendly bounds for sampling from a log-concave density using Langevin Monte Carlo”
- June 26, 2017, 3:00 pm - 4:30 pm
Jianfeng Yao – Identifying the number of factors from singular values of a large sample auto-covariance matrix
- June 16, 2017, 3:00 pm - 4:30 pm
Mikhail Belkin – Subtle but not malicious? The (high) computational cost of non-smoothness in learning from big data
- November 7, 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”
The Sociology Seminar: Thursdays Time: 12:30 pm – 1:45 pm exceptionally Date: 7th of November 2018 Place: Room 3105, ENSAE. Haley McAvay (Ined) – “Pathways out of the Parental Home: Contextual Determinants of Home-Leaving Patterns Across Second Generation Immigrant Origins in France“ Abstract : Organizers : Jeanne GANAULT, Céline GOFFETTE, Sander WAGNER (Laboratoire de sociologie quantitative – CREST) Sponsors : CREST
- December 13, 12:00 pm - 1:15 pm
Henning Hillmann (Universität Mannheim, MZES) – “Careers and Cohesion in Economic Networks”
The Sociology Seminar: Thursdays Time: 12:00 pm – 1:15 pm Date: 13th of December 2018 Place: Room 3105, ENSAE. Henning Hillmann (Universität Mannheim, MZES) – “Careers and Cohesion in Economic Networks“ Abstract : Organizers : Jeanne GANAULT, Céline GOFFETTE, Sander WAGNER (Laboratoire de sociologie quantitative – CREST) Sponsors : CREST
- January 17, 2019, 12:00 pm - 1:15 pm
Camille Peugny (UVSQ) – “La polarisation de l’emploi en Europe à partir des enquêtes EU-LFS”
The Sociology Seminar: Thursdays Time: 12:00 pm – 1:15 pm Date: 17th of Juanary 2018 Place: Room 3105, ENSAE. Camille Peugny (UVSQ) – “La polarisation de l’emploi en Europe à partir des enquêtes EU-LFS“ Abstract : Organizers : Jeanne GANAULT, Céline GOFFETTE, Sander WAGNER (Laboratoire de sociologie quantitative – CREST) Sponsors : CREST
- October 18, 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, 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, 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, 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, 2:00 pm - 3:30 pm
Felix TROPF (University of Oxford) – “Using genetic data for social science research”
- May 17, 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, 12:00 pm - 1:15 pm
CANCELED : Henning HILLMANN ( University of Mannheim) – “Careers and Cohesion in Economic Networks”
- February 15, 11:00 am - 12:30 pm
Sarah VALDEZ (Linköping University) – “Finding ethnic enclaves with Swedish population registers”
- January 18, 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
- November 5, 3:30 pm - 4:30 pm
DE ANGELIS Tiziano (The University of Leeds) – “Dynkin Games with Incomplete and Asymmetric “
1st Monday of each month Time: 3:30 pm – 4:30 pm Date: 05 th of November 2018 Place: Room 3105 DE ANGELIS Tiziano (The University of Leeds) – “Dynkin Games with Incomplete and Asymmetric ” Abstract : We study Nash equilibria for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our set-up, the
- October 18, 11:30 am - 12:30 pm
Francesco VIOLANTE (CREST) “Dynamics of variance risk premia: A model for disentangling the price of risk”
- October 18, 10:30 am - 11:30 pm
Sébastien FRIES (CREST) “Path prediction of aggregated alpha-stable moving averages using semi-norm representations”
- October 1, 4:30 pm - 5:30 pm
Charles BERTUCCI (Université Paris-Dauphine) “Mean field games of optimal stopping and impulse control.”
- October 1, 3:30 pm - 4:30 pm
Pierre NYQUIST (Eindhoven University of Technology) – “The Infinite Swapping Algorithm: Properties and Applications.”
- September 20, 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, 5:30 pm - 6:30 pm
Rasmus Søndergaard PEDERSEN (University of Copenhagen) “Testing GARCH-X type models”.
- June 21, 4:15 pm
Paolo SANTUCCI DE MAGISTRIS (Aarhus BSS) “Resuscitating the co-fractional model of Granger (1986)”.
- June 4, 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, 5:30 pm - 6:30 pm
Christophe CROUX (Edhec Business School) “Sparse Vector Autoregressive Models”.
- May 24, 4:15 pm
Esther RUIZ (Universidad Carlos III de Madrid) “Accurate subsampling intervals of Principal Components Factors”.
- April 12, 5:30 pm - 6:30 pm
Clément CEROVECKI (ULB, Bruxelles) “Functional GARCH Models”.
- April 12, 4:15 pm - 5:15 pm
Jose OLMO (University of Southampton) “Tests of Asset Pricing with Time-Varying Factor Loads”.
- April 9, 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, 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, 3:30 pm - 4:30 pm
Tyler ABBOT (Sciences Po, Paris) – “Heterogeneous Risk Preferences in Financial Markets”
- February 15, 5:30 pm - 6:30 pm
Alexis DERUMIGNY (CREST) “About Kendall’s Regression”.
- February 15, 4:15 pm - 5:15 pm
Matteo BARIGOZZI (LSE, UK) “Determining the Dimension of Factor Structures in Non-Stationary Large Dataset”.
- February 5, 3:30 pm - 4:30 pm
Ashkan NIKEGHBALI (University of Zurich) – ” Modélisation du risque, dépendance et graphes”
- January 25, 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, 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
- June 22, 2017, 4:15 pm - 5:30 pm
Anna Petronevich – Dynamical interaction between financial and business cycles
For information concerning ENSAI’s events and/or Seminars, please visit the following page:
http://www.ensai.fr/crest-ensai/seminaires.html