EDHEC Faculty at the CFENetwork Conference

The International Conference on Computational and Financial Econometrics (CFE 2019)

Written on 08 November 2019.

The International Conference on Computational and Financial Econometrics (CFE 2019) will take place at the Senate House, University of London, UK, 14-16 December 2019

EDHEC faculty will be represented by Professors Christophe Croux, Abraham Lioui, and Mirco Rubin.

  • In the session Recent developments in multivariate data analysis, Christophe Croux will present a paper entitled “Cellwise robust and sparse regression with the shooting S” co-authored with Ines Wills and Lea Bottmer
  • In the session Pricing kernels and factor models, Abraham Lioui will discuss the results of his research “Anomaly or risk factor? Some simple tests”, joint work with Michael Weber and Benjamin Holcblat. Prof. Lioui will also serve as chair of the session dedicated to Contributions in portfolio optimization.
  • In the session Inference in data-rich environments: Methods and applications, Mirco Rubin will introduce a model inspired by the recent extensions of the classical approximate factor model in a presentation entitled “Testing for changes in systematic correlation with approximate threshold group-factor models”, based on a paper co-authored with Daniele Massacci and Dario Ruzzi.

This conference is organized by the CFEnetwork and Birkbeck University of London. The new journal Econometrics and Statistics (EcoSta) and Annals of Computational and Financial Econometrics are the main sponsors of the conference.

Full programme and abstracts are available at: http://www.cfenetwork.org/CFE2019/index.php


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