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Séminaires et colloques

Validation, Capacité de Prévision des Modèles et Risques Induits
Articles présentés

SESSION 1

Philippe Huber, Olivier Scaillet, Maria-Pia Victoria-Feser
A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Markets Movements

Jianqing Fan, Loriano Mancini
Option Pricing with Aggregation of Physical Models and Nonparametric Statistical Learning

SESSION 2

Christian Gourieroux, Wei Liu
Control and Out-Of-Sample Validation of Dependent Risks

Alfred Galichon
Rearranging Estimators of the Value-at-Risk and other Risk Measures

SESSION 3

Raffaella Giacomini, Barbara Rossi
Model Selection and Forecast Comparison in Unstable Environments

Raffaella Giacomini, Barbara Rossi
Detecting and Predicting Forecasts Breakdowns"Raffaella Giacomini

SESSION 4

Andrew Patton
Data-based Ranking of Realised Volatility Estimators

Torben G. Andersen, Tim Bollerslev, Nour Meddahi
Realized Volatility Forecasting and Market Microstructure Noise