Session: TU-P-BU
Econometrics

Chair

Dilip Madan

Time

14:30 - 16:30 on Tuesday, 17th of July 2018

Venue

Burke Theater

14:30

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Diego Amaya (Wilfrid Laurier University), Mathieu Boudreault (Universite du Quebec a Montreal), Don McLeish (University of Waterloo)
15:00

Self Similarity in Long Horizon Returns

Dilip Madan (Robert H. Smith School of Business)
15:30

Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options

Anmar Al Wakil (University of Paris-Dauphine), Serge Darolles (University of Paris-Dauphine)
16:00

Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data

Yuta Koike (University of Tokyo)