MultiRisk
Other activities:
- Financial Time Series Workshop, CREST-ENSAE, Palaiseau, 3 décembre 2018
- 10th Annual Hedge Fund and Private Equity Research Conference, Paris, 18-19 January 2018
- 11th Annual Hedge Fund and Private Equity Research Conference, Paris, 17-18 January 2019
- Workshop ANR Multirisk, Florence, 28 Avril - 1 Mai 2019
- 12th Annual Hedge Fund and Private Equity Research Conference, Paris, 16-17 January 2020
- Organization of sessions at the Computational and Financial Econometrics, Pisa, December 2018
- Quantitative Investing, Session CO458 (G. Le Fol Chairman and organizer and S. Darolles, Organizer, Université Paris-Dauphine, Members of the QMI)
- Abnormal tone and abnormal returns: An event study analysis, David Ardia, University of Neuchatel, Switzerland
- Machine learning models applied in trading and their potential issues, Rafael Molinero, Molinero Capital Management, United States
- Illiquid asset and portfolio management, Gaëlle Le Fol, Université Paris - Dauphine, CREST, Member of QMI
- Community detection in large vector autoregressions, Gudmundur Gudmundsson, Aarhus University, Denmark
- Multivariate volatility and risk chai, Session CO192 (Chairman and organizer: Jean-Michel Zakoian)
- Volatility estimation when observations are missing, Genaro Sucarrat, BI Norwegian Business School, Norway
- A multivariate dynamic mixture model for discrete price changes at high frequency, Leopoldo Catania, Aarhus BBS, Denmark
- Asymptotics of Cholesky GARCH models and time-varying conditional betas, Christian Francq, CREST, France
- Virtual historical simulation for estimating the conditional VaR of large portfolios, Jean-Michel Zakoian, CREST, France
- Organization of sessions at the Computational and Financial Econometrics, London, December 2017.
- Quantitative Investing, Session CO254 (S. Darolles, Chairman and organizer, Université Paris-Dauphine, Member of the QMI)
- The smart vega factor-based investing: Disentangling risk premia from implied volatility smirk, Anmar Al Wakil, Université Paris-Dauphine, PSL Research University
- Managing hedge fund liquidity risks, Serge Darolles, Université Paris-Dauphine, PSL Research University, CREST, Member of the QMI
- Risk-based allocation for illiquid and alternative investments, Emmanuel Jurczenko, Ecole Hotelière de Lausanne and Member of the QMI
- Styles of private equity funds, Elise Gourier, Queen Mary University of London
- Contributions in liquidity, Session CO272 (Gaëlle Le Fol, Chairman, Université Paris-Dauphine, Member of the QMI)
- Variation in funding liquidity and financial stability risks, Gregory Bauer, Bank of Canada
- Liquidity taking and stock returns, Milla Siikane, Tampere University of Technology
- Illiquidity and volatility spillover effects in equity markets during and after a financial crisis: An MEM approach, Yongdeng Xu, Cardiff University
- From a quote-driven to an order-driven market: The case of the EuroMTS government bond trading platform, Hanyu Zhang, University College Dublin
