Programme

13:00 - 13:50

Registration (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

13:50 - 14:00

Opening (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

14:00 - 15:00

Keynote Session I (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

Chair: Nikolaus Hautsch (University of Vienna)

The Power of the Common Task Framework

Lasse Heje Pedersen (Copenhagen Business School)

15:00 - 15:30

Coffee (Mensa Oskar-Morgenstern-Platz, 1st floor)

15:30 - 17:00 - Parallel Sessions I

Asset Pricing (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Christian Skov Jensen (University of Copenhagen)

Pricing News and No News with Heterogeneous Beliefs

Can Gao (University of St. Gallen)
Brandon Yueyang Han (University of Maryland)

A FOMO-based Capital Asset Pricing Model

Mohammed Kaddouhah (Swansea University)
Simon Rudkin (University of Manchester)
Wanling Rudkin (University of Exeter Business School)

The Cyclicality of Risk and Risk Premia

Christian Skov Jensen (University of Copenhagen)
Eben Lazarus (University of California, Berkeley)

15:30 - 17:00 - Parallel Sessions I

Covariance Estimation (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Matthias Fengler (University of St. Gallen)

Model-Estimation-Free, Dense, and High Dimensional Consistent Precision Matrix Estimators

Maurizio Daniele (ETH Zürich)
Mehmet Caner (North Carolina State University)
Agostino Capponi (Columbia University)
Mihailo Stojnic (Columbia University)

Spot Regressions with Candlesticks

Yasin Simsek (Duke University)

Proxy-identification of a structural MGARCH model for asset returns

Matthias Fengler (University of St. Gallen)
Jeannine Polivka (University of St. Gallen)

15:30 - 17:00 - Parallel Sessions I

Forecasting (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Lukas Bauer (University of Freiburg)

A Kernel Score Perspective on Forecast Disagreement and the Linear Pool

Fabian Krüger (Karlsruhe Institute of Technology)

Heavy Tails and Predictive Ability Testing

Rasmus Søndergaard Pedersen (University of Copenhagen & Danish Finance Institute)
Jonas F. Frederiksen (University of Copenhagen)
Muneya Matsui (Nanzan University)

Combining forecasts based on the evidence against equal predictive ability

Lukas Bauer (University of Freiburg)

18:30 - 19:30

Main Building University of Vienna Guided Tours (Meeting Point: Main Entrance of Main Building)

from 19:30 - 23:00

Conference Dinner

Inner Courtyard Arkadenhof, Main Building, University of Vienna

09:30 - 11:00 - Parallel Sessions II

Modeling and Forecasting Covariances (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Chen Zhang (Sun Yat-sen University)

Forecasting High-Dimensional Realised Covariances via Machine Learning

Natasia Villadsen (Aarhus University)
Kim Christensen (Aarhus University)
Bezirgen Veliyev (Aarhus University)

Modeling Time-Varying Eigenvectors in Dynamic Covariance Matrices

Justus Holman (Vrije Universiteit Amsterdam and Tinbergen Institute)
André Lucas (Vrije Universiteit Amsterdam and Tinbergen Institute)
Anne Opschoor (Vrije Universiteit Amsterdam and Tinbergen Institute)

Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion

Chen Zhang (Sun Yat-sen University)
Markus Bibinger (University of Würzburg)
Jun Yu (University of Macau)

09:30 - 11:00 - Parallel Sessions II

Explosive Time Series (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Peter Boswijk (University of Amsterdam)

Limit theory for mildly explosive time series when initialization is in the infinite past

Xuewen Yu (Fudan University)
Yiu Lim Lui (Dongbei University of Finance and Economics)

Payout-Price Ratio’s Fever

Christoph Wegener (Aalborg University)

Testing for Explosiveness in Financial Asset Prices Using High-Frequency Volatility

Peter Boswijk (University of Amsterdam)
Jun Yu (University of Macau)
Yang Zu (University of Macau)

09:30 - 11:00 - Parallel Sessions II

Market Microstructure (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Johannes Muhle-Karbe (Imperial College London)

Exchange-Traded Liquidity

Lars C. Larsen (Copenhagen Business School)
Paul Whelan (Chinese University of Hong Kong Business School)
Gyuri Venter (Aarhus University)

A unified theory of order flow, market impact, and volatility

Grégoire Szymanski (Université du Luxembourg)
Johannes Muhle-Karbe (Imperial College London)
Youssef Ouazzani Chahdi (Ecole Polytechnique)
Mathieu Rosenbaum (Ecole Polytechnique)

Information Leakage and Opportunistic Trading Around the FX Fix

Johannes Muhle-Karbe (Imperial College London)
Roel Oomen (Imperial College London & Deutsche Bank)
Mateo Rodríguez Polo (ETH Zürich)

11:00 - 11:30

Coffee (Mensa Oskar-Morgenstern-Platz, 1st floor)

11:30 - 12:30

Keynote Session II (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

Chair: Anders Rahbek (University of Copenhagen)

Inference-Based Performance Evaluation Using the Sortino Ratio

Michael Wolf (University of Zurich)

12:30 - 13:30

Lunch & Poster Session (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

Variance-mixture of Factor Models, Robust Estimation and Shrinkage

Sergey Sosnovskiy (Frankfurt School of Finance & Management)

Dynamic Clustering in Multi-Factor Copulas with Hidden Markov Models

Anastasija Tetereva (Erasmus University Rotterdam)
Anouk Rensen (Erasmus University Rotterdam)
Aaron Popa (Erasmus University Rotterdam)

Comparative Analysis of Spatiotemporal Volatility Models: An Empirical Study on Financial Network Series

Ariane Meli Chrisko (University of Glasgow)
Jessie Li (University of Glasgow)
Philipp Otto (University of Glasgow)
Wolfgang Schmid (European University Viadrina)

Stock Price Bubbles, Inflation and Monetary Policy Surprises

Jamel Saadaoui (University of Paris)
William Ginn (Labcorp)
Evangelos Salachas (University of Macedonia)

Return to Nature: Biodiversity Loss and Global Stock Returns

Marloes Hagens (Erasmus University Rotterdam)
Mathijs van Dijk (Erasmus University Rotterdam)

Volterra Path-Dependent Volatility models

Marcus Piil Pedersen (University of Copenhagen)

EU ETS Market Expectations and Rational Bubbles

Robinson Kruse-Becher (FernUniversität Hagen)
Christoph Wegener (Aalborg University)
Tony Klein (Technische Universität Chemnitz)

Clustering-Based Estimation of Score-Driven Models for Extremes

Luuk de Wit (Erasmus School of Economics & Tinbergen Institute)
Onno Kleen (Erasmus University Rotterdam, Tinbergen Institute)

Stochastic Dynamic Correlations with Exogenous Shifts: Connecting Macroeconomic Events and Financial Risk

Igor F. B. Martins (Örebro University)
Sune Karlsson (Örebro University)
Tamas Kiss (Örebro University)
Stepan Mazur (Örebro University)

Risk Measurements Using Machine Learning and Extreme Value Theory: Application on the Cryptocurrency Market

Daniel Mihalik (WU Vienna)

(Re-)Imag(in)ing and Graphing Correlation Risks

Jinbo Cai (University of New South Wales)

Stylized facts of cryptocurrency markets: Robust definitions and inference approaches

Nursultan Abdullaev (Innopolis University)
Rustam Ibragimov (Imperial College)

13:30 - 15:00 - Parallel Sessions III

Systemic Risk (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Richard Luger (Université Laval)

Joint Backtesting Procedure for Systemic Risk Measures

Jérémy Leymarie (Clermont School of Business)
Sylvain Benoit (Université Paris Dauphine)
Yujian Chen (Ecole Polytechnique, ENSAE)

Systemic Influence in Structural Breaks: Granular Time Series Detection

So Jin Lee (CUNEF Universidad)

Multiple testing for the topology of financial networks

Richard Luger (Université Laval)
Wenying Yao (University of Melbourne)
Matthew Greenwood-Nimmo (University of Melbourne)

13:30 - 15:00 - Parallel Sessions III

Factor Models & Portfolio Analysis (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Onno Kleen (Erasmus University Rotterdam, Tinbergen Institute)

International Investing: Diversification and Beyond

Soohun Kim (Korea Advanced Institute of Science and Technology)
Robert A. Korajczyk (Kellogg School of Management)
Andreas Neuhierl (Purdue University)

A New Approach to Forecasting Realized Correlations

Jasper Rennspies (University of Freiburg)
Ilya Archakov (York University)
Roxana Halbleib (University of Freiburg)

Timing hedging opportunities

Onno Kleen (Erasmus University Rotterdam, Tinbergen Institute)
Rasmus Lönn (Erasmus University Rotterdam)

13:30 - 15:00 - Parallel Sessions III

Intraday Price Dynamics (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Marco Almbauer (Vrije Universiteit Brussel)

Fast and Slow Level Shifts in Intraday Stochastic Volatility

Igor F. B. Martins (Örebro University)
Audrone Virbickaite (CUNEF Universidad)
Hoang Nguyen (Linköping University)
Hedibert Lopes (Insper Institute of Education and Research)

Too Short to Ignore: Forecasting Intraday Volatility with 0DTE options

Vaishnav Garg (ESSEC Business School)
Fulvio Corsi (Università di Pisa)
Nicola Fusari (Johns Hopkins University)
Roberto Renò (ESSEC Business School)

Monetary Policy Announcements and Market Disagreement

Marco Almbauer (Vrije Universiteit Brussel)
Ioannis Papantonis (Bank of England & Athens University of Economics and Business)

15:00 - 15:30

Coffee (Mensa Oskar-Morgenstern-Platz, 1st floor)

15:30 - 17:00 - Parallel Sessions IV

Factor Models and Regularization (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Jeremias Huber (International Finance Corporation)

Realized Regularized Regressions

Aleksey Kolokolov (New Economic School)
Shifan Yu (Oxford-Man Institute of Quantitative Finance)

Common Factors in Currency Characteristics

Dennis Umlandt (University of Innsbruck)
Moritz Dauber (University of Innsbruck)

Factor Model Selection Using the ICAPM

Jeremias Huber (International Finance Corporation)
Paul Glasserman (Columbia Business School)
Harry Mamaysky (Columbia Business School)

15:30 - 17:00 - Parallel Sessions IV

Estimation Theory (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Peter Reinhard Hansen (University of North Carolina at Chapel Hill)

Convex validation of kernel ridge regression

Paul Schneider (USI Lugano and SFI)
Damir Filipović (EPFL and SFI)
Reza Izadpanah Tousi (USI Lugano)

Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices

Jeroen Dalderop (Amsterdam School of Economics & University of Amsterdam)
Peter Boswijk (University of Amsterdam)
Roger J. A. Laeven (University of Amsterdam, EURANDOM, and CentER)
Niels Marijnen (University of Amsterdam, and Tinbergen Institute)

Moments by Integrating the Moment-Generating Function

Peter Reinhard Hansen (University of North Carolina at Chapel Hill)
Chen Tong (Xiamen University)

15:30 - 17:00 - Parallel Sessions IV

Return Prediction (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Yeming Matthew-Ma (Universitat Pompeu Fabra)

The Nonstationarity-Complexity Tradeoff in Return Prediction

Kaizheng Wang (Columbia University)
Chengpiao Huang (Columbia University)
Agostino Capponi (Columbia University)
J. Antonio Sidaoui (Columbia University)
Jiacheng Zou (Stanford University)

Betting on Stocks with Options?

Tobias Sichert (Stockholm School of Economics)
Adrien d’Avernas (Stockholm School of Economics)
Christian Schlag (Goethe University Frankfurt)
Martin Waibel (Federal Reserve Board of Governors)
Chunjie Wang (KU Leuven)

Forecasting in Fragments: Latent Group Heterogeneity in Stock Return Prediction

Yeming Matthew-Ma (Universitat Pompeu Fabra)
Christian Brownlees (LUISS Guido Carli)
Andre B.M. Souza (ESADE Business School)

17:15 - 18:00

Industry Talk (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

Chair: Nikolaus Hautsch (University of Vienna)

Algorithmic Trading: Insights from Industry

Ruihong Huang & Yue Wang (LOBSTER Data Tech. & Sci. Ltd., First Fortune Trading Tech. Ltd.)

09:00 - 10:30 - Parallel Sessions V

Price Discovery & Market Microstructure (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Wenying Yao (University of Melbourne)

The Informational Content of the Limit Order Book on Cryptocurrency Markets

Maria Grith (NEOMA Business School)
Miguel Ventura (University of Cergy and University of Venice)

Direct Estimation of Information Shares in Higher-Order Continuous-Time Models

Karsten Schweikert (University of Hohenheim)
Daniel González Olivares (Universidad de Guadalajara)
Gustavo Fruet Dias (University of East Anglia & CREATES)

Breaking news

Wenying Yao (University of Melbourne)
Lars Winkelmann (School of Business and Economics, Freie Universität Berlin)

09:00 - 10:30 - Parallel Sessions V

Time Series Modeling (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Peter Korsbakke Christensen (Aarhus University)

Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)

Linqi Wang (Queen Mary University of London)
Christian Hafner (UCLouvain)
Oliver Linton (University of Cambridge)

The “rough” HAR model

Peter Korsbakke Christensen (Aarhus University)
Mikkel Bennedsen (Aarhus University)
Kim Christensen (Aarhus University)
Jun Yu (University of Macau)
Chen Zhang (University of Macau)

09:00 - 10:30 - Parallel Sessions V

Asset Pricing & Machine Learning (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Aaron Popa (Erasmus University Rotterdam)

Debiased Tests for Sharpe Ratios of Machine Learning Portfolios

Sander Barendse (University of Amsterdam)
Ming Cheng (University of Amsterdam & Tinbergen Institute)

Nelson–Siegel Autoencoders for Global Yield Curve Forecasting

Aaron Popa (Erasmus University Rotterdam)
Maria Grith (NEOMA Business School)
Anastasija Tetereva (Erasmus University Rotterdam)

Missing Data Substitution for Enhanced Robust Filtering and Forecasting in State-Space Models

Dobrislav Dobrev (Board of Governors of the Federal Reserve System)
Pawel J. Szerszén (Federal Reserve Board)

10:30 - 11:00

Coffee (Mensa Oskar-Morgenstern-Platz, 1st floor)

11:00 - 12:00 - Parallel Sessions VI

Asset Price Dynamics & Bubbles (Lecture Room 7, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Rustam Ibragimov (Imperial College Business School)

Causal Non-causal State Space Models and the Modelling of Financial Bubbles

Frederik Krabbe (Aarhus University and CoRE)

Fundamental Value and Bubbles: Identifying Mispricing in Cryptocurrencies and Other Novel Assets

Rustam Ibragimov (Imperial College Business School)
Christine A. Parlour (University of California at Berkeley)
Johan Walden (University of California at Berkeley)

11:00 - 12:00 - Parallel Sessions VI

Factor Models (Lecture Room 8, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Pierluigi Vallarino (USI Università della Svizzera italiana)

From rotational to scalar invariance: Enhancing identifiability in score-driven factor models

Emilija Dzuverovic (University of Venice)
Giuseppe Buccheri (University of Verona)
Fulvio Corsi (University of Pisa)

The Latent Factor Space in Short Portfolio Panels

Pierluigi Vallarino (USI Università della Svizzera italiana)
Patrick Gagliardini (USI Università della Svizzera italiana)
Fabio Trojani (University of Geneva)

11:00 - 12:00 - Parallel Sessions VI

Tail Risk (Lecture Room 9, Oskar-Morgenstern-Platz 1, 1st floor)

Chair: Ekaterina Kazak (University of Birmingham)

Score-driven density forecasts of high-frequency extreme price movements: the role of liquidity

Julien Hambuckers (University of Liège - HEC & Georg-August-Universität Göttingen)
Philippe Hübner (University of Liège – HEC)

Forecast Combination for Tail Risk with Regulator-Aware Decision Trees

Ekaterina Kazak (University of Birmingham)
Anastasija Tetereva (Erasmus University Rotterdam)

12:15 - 13:15

Keynote Session III (Skylounge Oskar-Morgenstern-Platz 1, 12th floor)

Chair: Stefan Voigt (University of Copenhagen)

Counterfactuals in Booming Markets: Staggered Policy Evaluation

Shuping Shi (Macquarie University)