2010 

03/12 10th IWH-CIREQ Macroeconometric Workshop: Recent Advances in Macroeconomic Forecasting
14/05 Quatrième colloque CIREQ sur les sées temporelles / Time Series Conference

2009 

23/10 Colloque sur l'économétrie des interactions / Conference on Econometrics of Interactions
22/05 Troisième colloque CIREQ sur les sées temporelles / Time Series Conference
24/04 Septième colloque CIREQ-CIRANO sur l'Éonoméie de la finance / Financial Econometrics Conference
15/05 Toulouse School of Economics Conference on Financial Econometrics, London.
03/12 10th IWH-CIREQ Macroeconometric Workshop: .Recent Advances in Macroeconomic Forecasting., Institut fütschaftsforschung Halle / Halle Institute for Economic Research (Halle, Germany.
04/06 2009 North American Summer Meeting of the Econometric Society (Boston) member of Programme Committee.
13/05 2009 Annual Meeting of the Société canadienne de science énomique (Mont Tremblant; May)

2008 

04/12 9th IWH-CIREQ Macroeconometric Workshop: Challenges of Forecasting in Applied Macroeconometrics

2007 

Marcel Dagenais Seminar of Macroeconomics and Econometrics

26/04 Werner PLOBERGER (U. of Washington in St Louis) "The Admissibility of Estimators under Nonstandard Conditions"
18/04 Denis PELLETIER (North Carolina State U.) "Non-Nested Testing in Models Estimated via Generalized Method of Moments"
12/04 Tao ZHA (Federal Reserve Bank of Atlanta) "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference"
05/04 Xiaodong ZHU (U. of Toronto) "Structural Transformation and Growth in China: 1978-2000"
29/03 Ivan JELIAZKOV (U. of California, Irvine) "Estimation of Semiparametric Models in the Presence of Endogeneity and Sample Selection"
22/03 Manuel AMADOR (Stanford U.) "Learning from the Public and Private Observations of Others Actions"
15/03 Chuan GOH (U. of Toronto) "Minimax Detection of Structural Change Using Large Deviations"
01/03 Giorgio PRIMICERI (Northwestern U.) "The Time Varying Volatility of Macroeconomic Fluctuations"

2006 

Marcel Dagenais Seminar of Macroeconomics and Econometrics

15/12 Bertille ANTOINE (U. de Montréal., Ph.D.) "Efficient GMM with Multiple Rates of Convergence and Application to Nearly-Weak Identification"
07/12 Stephanie SCHMITT-GROHÉ (Duke U.) "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model"
30/11 John CHAO (U. of Maryland) "Asymptotic Properties of IV Estimators for the Case with a Large Number of Weak Instruments"
09/11 Tim CONLEY (Chicago Business School) "Inference With "Difference in Differences" With a Small Number of Policy Changes"
02/11 Ximing WU (Texas A&M) "Information-Theoretic Deconvolution Approximation of Treatment Effect Distribution"
19/10 Ariel BURSTEIN (UCLA) "Firm Dynamics, Innovation, and International Trade"
12/10 Paul GOMME (Concordia U.) "Measuring the Welfare Costs of Inflation in a Life-cycle Model"
05/10 Juan RUBIO-RAMIREZ (Duke U.) "Estimating Macroeconomic Models: A Likelihood Approach"
28/09 Til SCHUERMANN (Federal Reserve Bank of New York) "Firm Heterogeneity and Credit Risk Diversification"
21/09 Jess BENHABIB (New York U.) "The Distribution of Wealth and Redistributive Policies"
14/09 Russell DAVIDSON (McGill U.) "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables"
07/09 Adi MAYER (Texas A&M) "The Old Boy (and Girl) Network: Social Network Formation on University Campuses"
30/05 Richard J. SMITH (Cambridge University) "Exogeneity in Semiparametric Models: Definitions and Tests"
27/04 Philippe FÉVRIER (CREST-ENSAE) "The Nonparametric Identification of the Mineral Rights Model"
20/04 Zhijie XIAO (Boston College) "Quantile Autoregression and Nonlinear Dynamics"
13/04 Michele BOLDRIN (University of Minnesota) "A Theory of Growth and Cycles"
06/04 Peter PEDRONI (Williams College) "Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems"
30/03 Arpàd ÀBRAHÀM (University of Rochester) "Endogenous Trading Constraints with Incomplete Asset Markets"
23/03 Norman SWANSON (Rutgers University) "Simulation Based Specification Testing and Predictive Density Based Model Selection for Diffusion Processes"
17/03 Jonathan HEATHCOTE (Georgetown University) "Consumption and Labor Supply with Partial Insurance"
09/03 Yixiao SUN (UCSD) "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing"
23/02 Pol ANTRÀS (Harvard University) "Contracts and Technology Adoption"

 

2005 

Marcel Dagenais Seminar of Macroeconomics and Econometrics

05/02/24 Alexander Monge Naranjo (Northwestern University), "International Mobility of Entrepreneurs"
05/03/17 Nezih Guner (Penn State University) "Macroeconomic Implications of Size Dependent Policies"
05/03/23 Patrik Guggenberger (UCLA) "Subsampling Tests of Parameter Hypotheses and Overidentifying Restrictions with Possible Failure of Identification"
05/03/24 Jonathan Wright (Federal Reserve Board) "Testing the null of identification in GMM"
05/03/31 Césaire Meh (Banque du Canada), "Housing, Personal Bankruptcy and Entrepreneurship"
05/04/07 James Stock (Harvard University),Optimal Invariant Similar Tests for Instrumental Variables Regression
05/04/14 Mikhail Golosov (MIT, MACRO), "Patents, Copyrights and Hidden Trading: Lessons from a Ricardian Theory of Innovations"
05/04/14 Motohiro Yogo (Wharton Business School, ECONOM) "Asset Pricing with Reference-Dependent Preferences : Behavioral Foundations and Empirical Tests"
05/04/21 Daniel Houser (George Mason University), "Experiments and Econometrics in Emotions and Individual Differences"
05/04/28 Ernesto dal Bo (University of Berkeley), "Workers, Warriors, and Criminals: Social Conflict in General Equilibrium"
05/09/08 Thierry MAGNAC (IDEI, Université de Toulouse I), “Partial Identification in Monotone Binary Models”
05/09/15 Francisco BUERA (Northwestern University), “A Dynamic Model of Entrepreneurship with Borrowing Constraints : Theory and Evidence”
05/09/29 Gian Luca CLEMENTI (Stern School of Business, New York University), “Legal Institutions, Sectoral Heterogeneity, and Economic Development”
05/10/06 Marco BONOMO (Fundaçao Getùlio Vargas), “Imperfectly Credible Disinflation under Endogenous Time-Dependent Pricing”
05/10/13 Barbara ROSSI (Duke University), “ Detecting and Predicting Forecast Breakdowns”
05/10/20 Aysegul SAHIN (Federal Reserve Bank of New York), “Patterns of Specialization”
05/11/10 Marco DEL NEGRO (Atlanta Federal Reserve Bank), “On the Fit and Forecasting of New Keynesian Models”
05/11/17 Rohit DEO (Stern School of Business, NYU), “The Propagation of Memory from Durations to Counts: Theory and Empirical Analysis”
05/11/24 Jean-Marc ROBIN (Université de Paris I), “Identification and Estimation of Independent Factor Models”
05/11/24 Jing ZHANG (University of Michigan), “Can Financial Frictions Account for the Cross-Section Feldstein-Horioka Puzzle?”
05/12/01 Marvin GOODFRIEND (Carnegie-Mellon University), “Narrow Money, Broad Money, and the Transmission of Monetary Policy”

05/12/02 Marina AZZIMONTI RENZO (University of Iowa) "On the Dynamic Inefficiency of Governments "

CIRANO-CIREQ-MITACS Financial Econometrics Conference

04/05/07 Peter Brockwell (Colorado State University) “Lévy-Driven and Fractionally Integrated Arma Processes with Continuous time Parameter”

04/05/07 Jianqing Fan (Princeton University) “Higher-Order Difference and GLR Tests for Diffusion Models”
04/05/07 John Heaton (University of Chicago) “Consumption Strikes Back?”
04/05/07 Sydney Ludvigson (New York University) “Lank of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models”
04/05/07 Lynda Khalaf (Université Laval) “Testing Black's CAPM with Possibly Non-Gaussain Errors: An Exact Identification-Robust Simulation-Based Approach”
04/05/07 Rohit Deo (New York Univeristy) “The Variance Ratio Statistic at Large Horizons”
04/05/07 Samuel Thompson (Harvard University) “Cross-Sectional Forecasts of the Equity Premium”
04/05/07 Motohiro Yogo (Harvard University) “Efficient Tests of Stock Return Predictability”
04/05/08 Ivana Komunjer (California Institute of Technology) “Asymmetric Power Distribution: Theory and Applications to Risk Measurement”
04/05/08 René Garcia (Université de Montréal ) “ Estimation of Stable Distributions by Indirect Inference”
04/05/08 Werner Ploberger (University of Rochester) “Optimal Test for Markov Switching”
04/05/08 Roch Roy (Université de Montréal ) “Goodness-of-Fit Tests for ARMA Models with Uncorrelated Errors”
04/05/08 Robert McCulloch (University of Chicago) “On the Determination of General Scientific Models”
04/05/08 Haitao Li (Cornell University) “A MCMC Analysis of Time-Changed Levy Processes of Stock Return Dynamics”
04/05/08 Bjørn Eraker (Duke University) “The Performance of Model Based Option Trading Strategies”

04/04/02 Monika Piazzesi (University of Chicago) “What Does the Yield Curve Tell us about GDP Growth?”

04/04/02 Frandis X. Diebold (University of Pennsylvania) “The Macroeconomy and the Yield Curve”
04/04/02 Glenn Rudebusch (Federal Reserve Bank of San Francisco) “A Macro-Finance Model of the Term Structure Monetary Policy, and the Economy”
04/04/02 George Tauchen (Duke University) “Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle”
04/04/02 Andrew Ang (Columbia University) “The Term Structure of Real Rates and Expected Returns”
04/04/02 Wayne Ferson (Boston College) “Evaluating Bond Government Fund Performance with Stochastic Discount Factors”
04/04/02 Christian Gourieroux (University of Toronto) “Affine versus Quadratic Term Structure Models”
 

 

CIRANO Seminar in Finance and Econometrics

03/05/16 Andrew HARVEY (Cambridge University) "Testing for Trend and Seasonality"

03/04/25 Christopher A. SIMS (Princeton University) "Bayesian Approaches to GMM and IV"
03/04/11 Jeffrey M. WOOLDRIDGE (Michigan State University) "Inverse Probability Weighted Estimation for General Missing Data Problems"

03/12/05 Lisa Kramer (University of Toronto) and Mark Kamstra (Federal Reserve Bank of Atlanta) “SAD Investors: Implications of Seasonal Variations in Risk Aversion”

03/12/05 Anthony Lynch (New York University) “Does Mutual Fund Performance Vary over the Business Cycle?”
03/12/05 Ravi Jagannathan (Northwestern University) “Assessing the Risk in Mean-Variance Efficient Portfolios”
03/12/05 Russell Wermers (University of Maryland at College Park) “ Mutual Fund "Stars: The Performance and Behavior of US Fund Managers"”
03/12/05 Simon Gervais (Duke University) “Fund Families as Delegated Monitors of Money Mangers”
03/12/05 Massimo Massa (INSEAD) “Mutual Fund Competition and Stock Market Liquidity”
03/12/05 Jeffrey Busse (Emory University) “Bayesian Alphas and Mutual fund Persistence”
03/12/05 Susan Christoffersen (McGill University) “What are the Value of Assets Under Management”

03/06/06 Angelo Melino (University of Toronto) “State Dependent Preferences Can Exploain the Equity Premium Puzzle”

03/06/06 Pascal St-Amour (HEC Montréal) “Total Wealth, Consumption and Portfolio Shares: Evidence and Theory”
03/06/06Ravi Bansal (Duke University) Interpreting Risk Premia Across Size, Value and Industry Portfolios”
03/06/06 Kris Jacobs (McGill University) “Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns”
03/06/06 Urban Jermann (University of Pennsylvania) “Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth”
03/06/06 René Garcia (Université de Montréal) “A Consumption CAPM with a Reference Level”
03/06/06 Martin Lettau (New York University) “The Declining Equity Premium: What Role Does Macroeconomic Risk Play?”
03/06/06 Jesus Santos (University of Chicago) “Understanding Predictability”

03/05/10 Yongmiao Hong (Cornell University) "Are the Directions of Stock Price Changes Predictable? A Generalized Cross-Spectral Approach"

03/05/10 Yanqin Fan (Vanderbilt University) "Estimation of Copula-Based Semiparametric Time Series Models"
03/05/10 William McCausland (Université de Montréal, CIRANO and CIREQ) "Time Reversibilityor Irreversibility of Asset Return Volatility"
03/05/10 Torben G. Andersen (Northwestern University and NBER) "Correcting the Errors: A Note on Volatility Forecast Evaluation based on high-Frequency Data and Realized Volatilities.
03/05/10 Oliver Linton (London School of Economics) "Estimating Semiparametric ARCH () Models by Kernel Smoothing Methods"
03/05/10 Nour Meddahi (Université de Montréal, CIRANO and CIREQ) "Aymptotic tests based on estimators with a partially unknown distribution"
03/05/10 Lars Peter Hansen (University of Chicago and NBER) "Semigroup Pricing"
03/05/10 Jérôme Detemple (Boston University and CIRANO) "Asset Prices with General Processes"
03/05/10 Jin-Chuan Duan (University of Toronto and CIRANO) "A Specification Test for Time Series Models by a Normality Transformation"
03/05/10 Federico Bandi (University of Chicago) "Robust Stock Return Predictability"
03/05/10 Eric Ghysels (University of North Carolina at Chapel Hill and CIRANO) "The MIDAS Touch: Mixed Data Sampling Regression Models"
03/05/09 Yacine Ait-Sahalia (Princeton University and NBER) "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)?"
03/05/09 Siddhartha Chib (Washington University) "Analysis of Partially Observed Diffusions"
03/05/09 Sean Campbell (Brown University) "Weather Forecasting for Weather Derivatives"
03/05/09 Ronald Gallant (Duke University and University of North Carolina at Chapel Hill) "Rational Pessimism and Exuberance"
03/05/09 Qiang Dai (New York University) "Are Regime Shifts Priced in the U.S. Treasury Markets?"
03/05/09 Nikolay Gospodinov (Concordia University and CIREQ) "Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes"
03/05/09 Michael Johannes (Columbia University) "MCMC Maximum Likelihood"
03/05/09 Luca Benzoni (University of Minnesota) "Stochastic Volatility, Mean Drift and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvatre in the Yield Curve"
03/05/09 Graham Elliott (University of California at San Diego) "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?"
03/05/09 Christian Gourieroux (University of Toronto, CREST, CIRANO and CIREQ) "Extended Methodof Moments"
03/05/09 Benoit Perron (Université de Montréal, CIRANO and CIREQ) "Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence"

03/05/03 Robert Stambaugh (University of Pennsylvania) "Inference about survivors"

03/05/03 John Geweke (University of Iowa) "Compound markov-mixtures models with applications in finance"
03/05/03 Jay Shanken (Emory University) "Mutual fund performance with learning across funds"
03/05/03 Giovanni Barone-Adesi (University of Southern Switzerland) "A multivariate FGD technique for powerful VaR computation in equity markets"
03/05/03 Denis Pelletier (North Carolina State University and Université de Montréal) "Backtesting portfolio risk measures"
03/05/02 Yangru Wu (Rutgers University) "Technical trading-rule profitability, data snooping, and reality check: evidence from the foreign exchange market"
03/05/02 Raymond Kan (University of Toronto) "Hansen-Jagannathan Distance: Geometry and exact districution"
03/05/02 Peter Reinhard Hansen (Brown University) "Regression analysis with many specifications: a bootstrp method for robust Inference"
03/05/02 Joseph Chen (University of Southern California) "CAPM over the long run: 1926-2001"
03/05/02 Jean-Marie Dufour (Université de Montréal) "Testing Black's CAPM with possibly non-Gaussian errors: an exact simulation-based approach"
03/05/02 Bruce Lehmann (University of California at San Diego) "Diversification and the optimal construction of basis portfolios"
03/05/02 Adlai Fisher (University of British Columbia) "Corporate investment and asset price dynamics: implications for the cross section of returns"

03/04/04 Nizar Touzi (CREST) "Discrete-time Approximation and Simulation of Backward Stochastic Differential Equation"

03/04/04 Michael S. Johannes (Columbia University) "Nonlinear Filtering of Stochastic Differential Equiations with Jumps"
03/04/04 Mark Broadie (Columbia University) "Pricing American Options by Simulation: The Primal-Dual Method and Efficiency Enhancements"
03/04/04 Marcel Rindisbacher (University of Toronto) "Asymptotic Efficiency of Monte Carlo Estimators for Diffusions"
03/04/04 Jin-Chuan Duan (University of Toronto) "An Enhancement Path-Derivative Monte Carlo Method for Computing Option Greeks"
03/04/04 A. Ronald Gallant (Duke University) "A Bayesian Approach to EMM"

2002 

CIRANO Seminar in Finance and Econometrics

02/11/15 James HAMILTON (University of California, San Diego) "Normalization in Econometrics"

02/11/08 James STOCK (Harvard University) "Testing for Weak Instruments in Linear IV Regression"
02/10/18 Donald ANDREWS (Yale University) "End-of-sample Instability Tests" and "End-of-sample Cointegration Breakdown Tests".
02/10/11 Guido IMBENS (University of California, Berkeley) "Identification and Inference in Nonlinear Difference-In-Differences Models"
02/09/17 Ken SINGLETON (Graduate School of Business, Stanford University) "The Market Prices of Risk in Fixed Income Markets".
02/05/10 Jushan BAI (Boston College) "Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data".
02/04/19 Roza MATZKIN (Northwestern University) "Nonparametric Estimation of Nonadditive Random Functions".
02/04/16 Jan MAGNUS (Tilburg University) "On the Harm that Pretesting Does".
02/04/10 Pierre DUCHESNE (HEC-Montréal) "Utilisation des ondelettes pour élaborer des tests dans les modèles Autorégressifs dans les Durées Conditionnelles".
02/04/05 Offer LIEBERMAN (Technion and Yale University) "High Order Theory for Fractional Gaussian Processes".
02/03/28 Nicholas POLSON (University of Chicago) "Sequentiel Optimal Portfolio Performance: Market and Volatility Timing".
02/03/27 Alain LATOUR (Université du Québec à Montréal ) "Processus GARCH a valeurs entières ".
02/03/22 Jon KNIGHT (University of Western Ontario) "Efficient Estimation of Markov Models when the Transition Density is Unknown".
02/03/14 John HEATON (University of Chicago) "Wealth and Asset Prices".
02/03/08 Yongmiao HONG (Cornell University) "Evaluation of Out-of-Sample Density Forecasts whit Application to Stock Prices".
02/02/28 Robert De JONG (Michigan State University) "Further Results on the Asymptotics for Nonlinear Transformations of Integrated Time Series".
02/01/28 Christian BONTEMPS (CENA, Toulouse) "Testing Gaussianity: A GMM Approach".
02/01/14 Philippe NAVEAU (École Polytechnique, Paris) "La convergence presque partout des valeurs extrêmes".

02/10/26 Vassilis Polimenis (University of California at Riverside) "The Volatility Sensitivity Ratio and its Asset Pricing Implications".

02/10/26 Stephen Figlewski (New York University) "Estimation Error and the Assessment of Financial Risk Exposure"
02/10/26 Peter Christoffersen (McGill University) "Backtesting Portfolio Risk Measures".
02/10/26 Michael Stutzer (University of Iowa) "Performance and Risk Aversion of Funds with Benchmarks: A Large Deviations Approach".
02/10/26 Jose Olmo (Universisad Carlos III de Madrid) "Which Extreme Values are really Extremes?".
02/10/26 David Bates (University of Iowa) "The Market for Crash Risk".
02/10/26 Claudio Albanese (University of Toronto) "Dimension Reduction in the Computation of Value-at-Risk".
02/10/25 Éric Ghysels (University of North Carolina - Chapel Hill) "Quality Control for Financial Risk Management: Monitoring Disruptions in the Distribution of Risk Exposure".
02/10/25 Neil Shephard (Nuffield College, University of Oxford) "Power Variation with Stochastic Volatility and Jumps: Distribution Theory".
02/10/25 Mark Salmon (CUBS) " Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets".
02/10/25 John W. Galbraith (McGill University) "Circuit Breakers and the Tail Index of Equity Returns".
02/10/25 Benoît Pochart (École Polytechnique) "Skewness and Multifractality in Financial Time Series, applications to Option Smiles"
02/10/25 Assaf Zeevi (Columbia University) "Bey and Correlation: Extreme Co-Movements Between Financial Assets".
02/10/25 Andrew J. Patton (London School of Economics) "On the Out-of-Sample Inportance of Skewness and Asymmetric Dependence for Asset Allocation".
02/10/25 Adlai Fisher (University of British Columbia) "Regime Switching and the estimation of Multifractal Processes".

02/05/04 Xiahong Chen (London School of Economics) "Mixing and Strong Dependence Properties of Multivariate Diffusions"

02/05/04 Silvia Gonçalves (CIREQ, CIRANO and Université de Montréal) "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form"
02/05/04 Robert Kimmel (Princeton University) "Maximum Likelihood Estimation of Affine Yield Models"
02/05/04 Robert Engle (New York University, University of California at San Diego) "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH"
02/05/04 Nour Meddahi (CIREQ, CIRANO and Université de Montréal) "Moments of Continuous Time Stochastic Volatility Models"
02/05/04 Marine Carrasco (University of Rochester) "Estimating Diffusions with a Continuum of Moments"
02/05/04 Lynda Khalaf (CIREQ and Université Laval) "Testing the CAPM with Possibly Non-Gaussian Error Distributions: An Exact Simulation-Based Approach"
02/05/04 John Galbraith (CIREQ, CIRANO and McGill University) "Dimension Reduction for Statistical Controls".
02/05/04 Jeffrey Russell (University of Chicago) "Using Temporal Aggregation to Distinguish Between rue and Spurious Long Memory"
02/05/04 Francis X. Diebold (University of Pennsylvania, NBER) "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations"
02/05/04 Denis Pelletier (CIREQ, CIRANO and Université de Montréal) "Regime Switching for Dynamic Correlations"
02/05/04 Christopher Jones (University of Rochester) "Identification and Estimation of "Maximal" Affine Term Structure Models: An Application to Stochastic Volatility"
02/05/03 Ronald Gallant (North Carolina University at Chapel Hill) "Effective Calibration"
02/05/03 René Garcia (CIREQ, CIRANO and Université de Montréal) "A Consumption CAPM with a Reference Level"
02/05/03 Peter Christoffersen (CIREQ, CIRANO and McGill University) "A Dynamic Model of Option Skewness"
02/05/03 Mikhail Chernov (Columbia University) "Alternative Models for Stock Price Dynamics".
02/05/03 Marcel Rindisbacher (CIRANO and University of Toronto) "Asymptotic Properties of monte Carlo Estimators of Diffusion Processes"
02/05/03 Luca Benzoni (University of Minnesota) "Pricing Options under Stochastic Volatility: An Empirical Investigation"
02/05/03 Ernst Schaumburg (Northwestern University) "Estimation of Discretely Sampled Markov Processes with Jumps"
02/05/03 Enrique Sentana (University of Chicago, NBER) "Underidentification?"
02/05/03 Christian Gouriétoux (CIREQ, CIRANO, CREST and University of Toronto) "Affine Term Structure Models"

2001 

CIRANO Seminar in Finance and Econometrics

01/12/21 Christian ROBERT (Université Paris Dauphine et CREST) " Estimation de mélanges de distributions: Résultats récents et perspectives ".

01/12/13 Kilani GHOUDI (Université du Québec à Trois-Rivières) "Estimateurs non- paramétriques des distributions de valeurs extrêmes multivariées".
01/12/11 Michael CHERNOV (Columbia University) "Alternative Models for Stock Price Dynamics''.
01/11/29 Eric ZIVOT (Univesrity of Washington) "Why are Beveridge-Nelson and Unobserved Component Decompositions of GDP so Different?".
01/11/22 Erzo LUTTMER (University of Minnesota) "Subjective Discounting in an Exchange Economy".
01/11/20 Nour MEDDAHI (C.R.D.E., CIRANO and Université de Montréal) "A Theoretical Comparison between Integrated and Realized Volatilities".
01/11/15 Catherine DOZ (Université de Cergy-Pontoise) "Dynamic Factor Models: Estimation and Test with an Application to European Business Surveys".
01/10/19 Ronald GALLANT (University of North Carolina) "Effective Calibration".
01/10/18 Lutz KILIAN (University of Michigan) "Why Is It so Difficult to Beat the Random Walk Forecast of Exchange Rates?".
01/10/05 Richard SMITH (University of Bristol) "GEL Criteria for Moment Condition Models".
01/10/04 Narayana KOCHERLAKOTA (University of Minnesota) "Societal Benefits of Illiquid Bonds".
01/09/13 Massimo GUIDOLIN (University of Virginia) "Option Prices and Implied Volatility Dynamics under Rational Learning".
01/07/05 Marco BONOMO (Fundação Getulio Vargas) "Optimal State-Dependent Rules, Credibility, and Inflation Inertia".
01/06/07 Marine CARRASCO (University of Rochester) "Estimating Diffusions with a Continuum of Moment Conditions".
01/05/28 Quang VUONG (University of Southern California) "Semiparametric Estimation of First-Price Auctions with Risk-Averse Bidders".
01/04/27 Richard BLUNDELL (University College of London)
01/04/11 Éric GHYSELS (University of North Carolina - Chapel Hill and CIRANO) "When Does Microstructure Noise Affect the Estimation of Asset Pricing Models?".
01/03/30 Peter ROBINSON (London School of Economics)
01/03/29 Javier HIDALGO (London School of Economics), "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models".
01/03/22 Xiahong CHEN (London School of Economics)
01/03/16 Guido IMBENS (University of California at Los Angeles)
01/03/06 René GARCIA (Université de Montréal, CIRANO and CRDE)
01/03/02 Peter ROBINSON (London School of Economics), "Fractional Cointegration".
01/02/29 Christian GOURIÉROUX (CREST, PARIS) "Tails and extremal behaviour of stochastic unit root models".
01/02/26 Éric RENAULT (Université de Montréal, IFM2, CRDE and CIRANO) " Débat informel autour des exposés de la Journée Finance du 23 février".
01/02/06 Bryan CAMPBELL (Condordia University, CIRANO and CRDE)

01/10/14 Yuichi Kitamura (University of Wisconsin - Madison) "Predictive Inference and the Bootstrap"

01/10/14 Wofgang Härdle (Humblodt-Univrsität zu Berlin) "Dynamic Nonparametric State Price Density using Constrained Least Squares and the Bootstrap".
01/10/14 Silvia Gonçalves (Université de Montréal) "Maimum Likelihood and the Bootstrap for Nonlinear Dynamic Models".
01/10/14 Russell Davidson (Queen's University) "Improving the Reliability of Bootstrap Confidence Intervals"
01/10/14 Olivier Scaillet (Université Catholique de Louvain) "A Fast Subsampling Method for Nonlinear Dynamic Models".
01/10/14 Norman R. Swanson (Texas A&M University) "Bootstrap Conditional Distribution Tests Under Dynamic Misspecification".
01/10/14 Nikolay Gospodinov (Concordia University) "Median unbiased Forecasts for highly Persistent Autoregressive Processes".
01/10/14 Michael Wolf (Universitat Pompeu Fabra) "Subsampling Inference in Threshold Autoregressive Models".
01/10/14 Joon Park (Seoul National University) "A Bootstrap Theory for Near-Integrated Processes".
01/10/14 James Mackinnon (Queen's University) "The Power of Bootstrap and Asymptotic Tests".
01/10/14 Greg Tkacz (Bank of Canada) "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data".
01/10/14 Gene Savin (University of Iowa) "Bootstrapping the Box-Pierce Q Test: A Robust Test of Uncorrelatedness"
01/10/14 Atsushi Inoue (North Carolina State University) "Bootstrapping GMM Estimators for Time Series"
01/10/13 Yoosoon Chang (Rice University) "Bootstrapping Unit Root Tests with Covariates".
01/10/13 Richard Luger (Bank of Canada) "Exact Tests for Non-Nested Non-Linear Regression Models".
01/10/13 Panagiotis Mantalos (Blekinge Institute of Technology) "ECM-Cointegration Test with GARCH"
01/10/13 Lutz Killian (University of Michigan) "Bootstrapping Autoregressive Processes with Possible Unit Roots".
01/10/13 Joel Horowitz (Northwestern University) "Bootstrap Methods for Time Series Data".
01/10/13 Jean-Marie Dufour (Université de Montréal) "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics"
01/10/13 Javier Hidalgo (London School of Economics) "Bootstrap Specification Tests for Covariance Stationary Processes".
01/10/13 James Davidson (Cardiff University) "Alternative Bootstrap Procedures for Testing Cointegration in Fractionally Integrated Processes"
01/10/13 Frédéric Sion-Jouneau (Université de Lille III) "Techniques for Limited Dependent Variables Models: Implementation by the Branch and Bound Algorithm".
01/10/13 Efstathios Paparoditis (University of Cyprus) "Bootstrap Methods for integrated and Cointegrated Processes".
01/10/13 Donald Andrews (Yale University) "Higher-Order Improvements of the Parametric Bootstrap for Long-Memory Gaussian Processes"
01/10/13 Dimitris Politis (University of California, San Diego) "Recent Advances in Resampling for Integrated (or Possibly Integrated) Univariate Time Series".

01/06/30 Steven E. Shreve (Carnegie Mellon University) "A Unified Model for Credit Derivatives".

01/06/30 René Carmona (Princeton University) "Filtering by Particles: Applications to Finance".
01/06/30 Lars Peter Hansen (University of Chicago) and Éric Renault (Université de Montréal and CIRANO) "5 Econometric Methods for Option Pricing".
01/06/30 L.C.G. Rogers (University of Bath) "5 Dual Problems Made Useful: Some Examples Where We Can Actually Say Something".
01/06/30 Christian Gourieroux (CREST) "Compound Autoregressive Models".
01/06/29 Werner Ploberger (University of Rochester) " Ambiguous Brownian Motion".
01/06/29 Marcel Rindisbacher (University of Toronto) " Asymptotic Properties of Monter Carlo Estimators of Diffusion Processes".
01/06/29 Lars Peter Hansen (University of Chicago) "Hidden State Markov Models of Asset Princes"
01/06/29 L.C.G. Rogers (University of Bath) "Dual Problems Made Honest: Proving Something".
01/06/29 Geneviève Gauthier (HEC, Université de Montréal and CIRANO) "Numerical Pricing of Contingent Claims on Multiple Assets and/or Factors - A Low-Discrepancy Markov Chain Approach".
01/06/29 Fulvio Ortu (University of Southern California) "Generalized Numeraire Portfolio".
01/06/29 Elyès Jouini (Université Paris Dauphine and CREST) " Fixed Trading Costs and Arbitrage: Application to Interest Rate Models".
01/06/29 Bruno Bouchard (CREST) "Monte Carlo Estimation of Optimal Stopping Rules".
01/06/28 Robert Kimmel (Princeton University) "Infinite Dimensional Term Structure Models".
01/06/28 Philippe Schoenbucher (University of Bonn) "Copula-Dependent Defaults in an Intensity Framework".
01/06/28 Peter Christoffersen (University of McGill) "The Inportance of the Loss Function in Option Princing".
01/06/28 Lars Peter Hansen (University of Chicago) "3. Intertemporal Preferences and Risk-Return Tradeoffs".
01/06/28 Larry G. Epstein (University of Rochester) "Recursive Multiple-Priors".
01/06/28 L.C.G. Rogers (University of Bath) "3. Dual Problems Made Difficult: A General Result".
01/06/28 Kenji Kamizono (Columbia University) "Utility Maximization under Transaction Costs".
01/06/28 Julien Hugonnier (Carnegie Mellon University) "Optimal Investment in a Delegated Portfolio Management Framework".
01/06/28 Dilip B. Madan (University of Maryland at College Park) "Stochastic Volatility for Levy Processes".
01/06/27 Yacine Aït-Sahalia (Princeton University) "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions".
01/06/27 Xiaohong Chen (London School of Economics) "Some Temporal Dependence Properties of Diffusion Processes".
01/06/27 Stanley R. Pliska (University of Illinois at Chicago) "Risk Sensitive Asset Management with Constrained Trading Strategies".
01/06/27 Nour Meddahi (Université de Montréal and CIRANO) "An Eigenfunction Approach Modelling".
01/06/27 Lars Peter Hansen (University of Chicago) "2 Semigroup Models of Markov Princing".
01/06/27 L.C.G. Roger (University of Bath) "2 Dual Problems Made Concrete: Examples".
01/06/27 Federico Bandi (University of Chicago) "Functional Estimation of Non-Stationary Continuous-Time Processes"
01/06/27 Dietmar Leisen (McGill University) "Equilibrium Open Interest".
01/06/27 David Hobson (University of Bath) "Utility Princing of Claims on Non-Traded Assets".
01/06/26 Lars Peter Hansen (University of Chicago) "1 Semigroup Models of Markov Processes".
01/06/26 L.C.G. Rogers (University of Bath) "1 Dual Problems Made Easy: The Pontryagin Approach".
01/06/26 Jose A. Scheinkman (Princeton University) "Nonlinear Principal Components"
01/06/26 Ioannis Karatzas (Columbia University) "Optimal Portfolio / Consumption Rules for a "Small Investor" under Habit-Formation.
01/06/26 Francis X. Diebold (University of Pennsylvania) "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models".
01/06/26 Darrell Duffie (Stanford University) "Valuation in Dynamic Bargaining Markets"

01/05/04 Nikolay Gospodinov (Concordia), "Median unbiased Forecasts for Highly Persistent Autoregressive processes".

01/05/04 Silvia Gonçalves (Université de Montréal) "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models".
01/05/04 Gordon Fisher (Concordia) "Style Index Investment, Margin of Safety, and Robustness".
 

 

CIRANO Seminar in Finance and Econometrics

00/12/08 Yuichi KITAMURA (University of Wisconsin) "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models".

00/12/07 Lutz KILIAN (University of Michigan) "Bootstrapping with Possible Unit Roots".
00/11/24 Russell DAVIDSON (Queen's University) "Improving the Reliability of Bootstrap Tests".
00/11/21 Nour MEDDAHI (Université de Montréal, CRDE, CIRANO) "Modélisation de la volatilité : une approche par fonctions propres".
00/11/14 Richard LUGER (Banque du Canada and CIRANO) "Exact Nonparametric Tests for a Random Walk with Unknown Drift under Conditional Heteroskedasticity".
00/11/13 Jean-Marie DUFOUR (CRDE, Université de Montréal, CIRANO) "Dévergondages asymptotiques - QD : une méthode simple et rapide pour construire des tests asymptotiques sans connaître la distribution asymptotique de la statistique de test".
00/11/10 Lars Peter HANSEN (University of Chicago) "Robustness and Pricing with Uncertain Growth"
00/11/09 Enrique SENTANA (CEMFI, CEPR and LES FMG) "Least Squares Predictions and Mean-Variance Analysis".
00/11/07 Enrique SENTANA (CEMFI, Madrid, CEPR and LES FMG) "Constrained EMM and Indirect Inference Estimation".
00/11/02 Paolo ZAFFARONI (Banca d’Italia) "Contemporaneous Aggregation of GARCH Processes".
00/10/31 Lynda Khalaf (Université Laval), "Tests d'hypothèses basés sur des simulations pour les grands échantillons et les échantillons finis dans les modèles d'équations simultanées" .
00/10/27 Bruce Hansen (Wisconsin-Madison University), "Hypothesis Testing and Confidence Intervals for Nonlinear Functions of Regression Parameters".
00/05/28 White, Halbert (University of California at San Diego), "A Reality Check for Data Shooping".
00/05/20 Fan, Yanqin (Windsor University), "Wavelets and Their Applications", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CREFE and CIRANO.
00/05/14 Newey, Whitney (MIT), "Bootstrapping from Efficient Distributions", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CREFE and CIRANO.
00/05/01 Jacquier, Eric (Graduate School of Business, Boston College and CIRANO), "Introduction to Bayesian Econometrics an some Applications to Finance", May 5, 8 and 12.
00/03/31 Perron, Benoît (Université de Montréal), "The seemingly unrelated dynamic cointegration regression model and testing for purchasing power parity", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CRDE, CREFE and CIRANO.
00/03/31 Meddahi, Nour (Université de Montréal), "Temporal aggregation of volatility models", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CRDE, CREFE and CIRANO.
00/03/31 Galbraith, John (McGill University), "Using high-frequency data in estimating daily GARCH models", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CRDE, CREFE and CIRANO.

1999 

CIRANO Seminar in Finance and Econometrics

99/11/26 Ghysels, Eric (Pennsylvania State University and CIRANO), "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation", CIRANO finance seminar.

99/11/19 Horowitz, Joel (Iowa University), "An Adaptive, Rate-Optimal Test of a Parametric Model against a Nonparametric Alternative", joint with Université de Montréal, Université du Québec à Montréal, Université Concordia, Université McGill, CREFE and CIRANO.
99/11/10 Lari-Lavassani, Ali (University of Calgary), "A Discrete Valuation of Swing Options", CIRANO finance seminar.
99/10/29 Dufour, Jean-Marie, and Olivier Torrès, "Markovian Processes, Two-Sided Autoregressions and Exact Inference for Stationary and Nonstationary Autoregressive Processes", Journal of Econometrics, forthcoming.
99/10/15 Tauchen, George (Duke University), "Efficient Method of Moments", Joint seminar (finance) of departments of economics of Université de Montréal, UQAM, Concordia, Mc Gill, CRDE and CREFE.
99/10/15 Bollerslev, Tim (Duke University), "High Frequency Data and Integrated Volatility", CIRANO finance seminar.
99/09/27 Zakoian, Jean-Michel (CREST et Lille), "Linear-Representations Based Estimation of Switching-Regime GARCH Models", CIRANO seminar finance.
99/09/24 Andrews, Donald (Yale University), "Testing when a Parameter is on the Boundary of the Maintained Hypothesis", Joint seminar (econometrics) of departments of economics of Université de Montréal, UQAM, Concordia, Mc Gill and CREFE.
99/09/17 Jacobs, Kris (Mc Gill University), "Short and long memory in equilibrium interest rate dynamics", CIRANO finance seminar.
99/07/14 Bonomo, Marco (Graduate School of Economics, Getulio Vargas Foundation) "Elections and Exchange Rate Policy Cycles", CIRANO finance seminar.
99/06/28 Montini, Emmanuel, "Les modèles de risque de crédit", CIRANO finance seminar.
99/06/02 Mahieu, Ronald (Erasmus University, Rotterdam), "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders", Joint seminar, CIRANO, CRDE and Department of Economics, Université de Montréal.
99/05/07 Decamps, Jean-Paul (GREMAQ, Université de Toulouse), "Should I Stay or Should I Go? Excessive Continuation and Dynamic Agency Costs of Debt".
99/04/30 Hallock, Kevin (University of Illinois et Princeton University), "Have Employment Reductions Become Good News for Shareholders? The Effects of Job Loss Announcements on Stock Prices, 1970-1997".
99/04/01 Wright, Jonathan (Universiy of Virginia), "Semiparametric Estimation of Long-Memory Volatility Dependencies: The Role of High Frequency Data", Joint seminar, CIRANO, Université de Montréal and CRDE.
99/03/26 Jouini, Elyès (CREST-ENSAE et Stern School of Business, NYU) "Pricing Non-Redundant Assets in Continuous Time: An Equilibrium Approach".
99/03/18 Calvet, Laurent (Harvard University), "A Multifractal Model of Asset Returns", Joint seminar, CIRANO, Université de Montréal and CRDE.
99/02/19 Gençay, Ramazan (Windsor University), "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Trade".

99/10 Third Lecture - George Constantinides, University of Chicago, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence"; Alon Brav, Duke University; Christopher Geczy, University of Pennsylvania

99/10 Second Lecture - Larry Epstein, University of Rochester, "Ambiguity, Risk and Asset Returns in Continuous Time", Zengjing Chen, Shandong University
99/10 First Lecture - Franklin Allen, University of Pennsylvania, "Optimal Currency Crises", Douglas Gale, New York University,
99/10 "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices", Suleyman Basak, University of Pennsylvania, Alex Shapiro, New York University
99/10 "Money, Market Equilibrium and Stock-Return Predictability", Pierluigi Balduzzi, Boston College
99/10 "Learning-Induced Securities Price Volatility", Peter Bossaerts, California Institute of Technology
99/10 "Investment Distortions Caused by Debt Financing", Nathalie Moyen, University of Colorado at Boulder
99/10 "Financial Innovation and Information : The Role of Derivatives when a Market for Information Exists", Massimo Massa, INSEAD
99/10 "Efficient Intertemporal Allocations with Recursive Utility", Bernard Dumas, INSEAD, NBER and CEPR; Raman Uppal, University of British Columbia and MIT; Tan Wang, University of British Columbia
99/10 "Crash Discovery in Stock and Option Markets", Gurdip Bakshi, University of Maryland, Dilip Madan, University of Maryland
99/10 "Comparing Stochastic Discount Factors through their Implied Measures", Paul Glasserman, Columbia University, Yan Jin, Goldman, Sachs & Co.
99/10 "A Multivariate Model of Strategic Asset Allocation", John Campbell, Harvard University; Yeung Lewis Chan, Harvard University; Luis M. Viceira, Harvard University
99/09 "Semiparametric Indirect Inference", Ramdan Dridi (GREMAQ, London School of Economics), Éric Renault (CREST-INSEE, Université de Paris IX-Dauphine).
99/09 "Resampling in Neural Network With Application to Exchange-Rate Data", Peter Kim, Lingxue Pan (Univeristy of Guelph), Tony Wirjanto (University of Waterloo).
99/09 "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates", Ramazan Gençay (University of Windsor), Giuseppe Ballocchi, Michel Dacorogna, Richard Olsen and Olivier Pictet (Olsen & Associates).
99/09 "Nonlinear Innovations and Impulse Responses", Christian Gouriéroux (CREST) and Joanna Jasiak (York University).
99/09 "Modeling Stock Return Data with Time Varying Higher Moments", Anil Bera, Gamini Premarathne (Univeristy of Illinois at Urbana-Champaign).
99/09 "Lets’s Get "Real" about Data: A Reexamination of Macroeconomic Announcements and Tracking Portfolios", Peter Christoffersen (McGill University), Eric Ghysels (Pennsylvania State University) and Norm Swanson (Pennsylvania State University).
99/09 "Intertemporal Asset Pricing Conference" (Jérôme Detemple and René Garcia).
99/09 "High-order Improvements of a Computationally Attractive k-step Bootstrap for Extremum Estimators", Donald Andrews (Yale University).
99/09 "Estimation of Discrete Response Models Under Multiplicative Heteroscedasticity", Songnian Chen (Hong Kong University of Science and Technology) and Shakeeb Kahn (University of Rochester).
99/09 "Cointegration and Threshold Adjustment", Walter Enders (Iowa State University) and Pierre Siklos (Wilfrid Laurier University).
99/09 "Aggregation of Long Memory Processes", Nour Meddahi (C.R.D.E., CIRANO, Université de Montréal).
99/09 "A New Approach to Modeling the Volatility of Short-Term Interest Rates", Huirong Li and Jian Yang (University of Western Ontario).
99/09 "A New Approach to Modeling Volatility Dynamics", John M. Maheu (University of Alberta), Thomas H. McCurdy (University of Toronto).
99/09 "A Dependence Metric for Nonlinear Time Series", E. Maasoumi, Jeffrey Racine, C.W. Granger (University of South Florida).
99/09 "A Complete Class of Tests When the Likelihood is Locally Asymptotically Quadratic", Werner Ploberger (University of Rochester).

99/05 "Non-linéarité stochastique et importance des événements rares dans le rejet de l’hypothèse de normalité des rendements boursiers à partir des tests statistiques classiques", Mourad Dridi (MODEM, Université de Paris X-Nanterre).

99/05 "L’État-providence des entreprises: Les politiques canadiennes de promotion de l’investissement", André Raynauld (Université de Montréal), Françoy Raynauld (consultant).
99/05 "La composante d’aversion au risque de l’écart cours acheteur-cours vendeur: le cas de titres interlistes", Marie-Claude Beaulieu (CRÉFA, Université Laval), Guy Bellemare (CRÉFA, Université Laval).
99/05 "Information, Arbitrage and Optimal Portfolio and Consumption Policies", Marcel Rindisbacher (Université de Montréal).
99/05 "Estimation non paramétrique de fonctions de prix d’option sous contrainte de monotonicité et de convexité", René Garcia (C.R.D.E., CIRANO, Université de Montréal), Ramazan Gençay (University of Windsor).
99/05 "Asymmetric Smiles, Leverage Effects and Structural Parameters", René Garcia (C.R.D.E., CIRANO, Université de Montréal), Richard Luger (Université de Montréal), Éric Renault (CREST et Paris IX-Dauphine).
 
 

Events organized for students - workshops, courses, summer schools, graduate courses etc. :

2004

CIRANO-CREFÉ-CIREQ-MITACS Montreal Econometrics Seminar (Université de Montréal, Montréal)

04/02/27 Mark Watson (Princeton University) “To be announced”

04/03/19 Werner Ploberger (University of Rochester) “To be announced”
04/03/26 Ken West (University of Wisconsin, Madison) “To be announced”
04/04/30 John Geweke (Iowa University)

2003

CIRANO-CREFÉ-CIREQ-MITACS Montreal Econometrics Seminar (Université de Montréal, Montréal)

03/03/21 William McCausland (Université de Montréal) "Time Reversibility or Irreversibility of Asset Return Volatility"

03/03/21 Douglas Hodgson (Université du Québec à Montréal) "Asset Pricing Theory and the Valuation of Canadian Paintings"
03/03/21 Lynda Khalaf (Université Laval) "Finite Sample Multivariate Diagnostic Tests of Asset Pricing Models"
03/06/19 Aman Ullah (University of California at Riverside) “Combined Estimator of Time Series Conditional Geteroscedasticity”
03/09/12 James Heckman (University of Chicago) “Structural Equations, Treatment Effects and Econometric Polity Evaluation”
03/10/10 Ariel Pakes (Harvard University) “Simple Estimators for the Parameters of Discrete Dynamic Games”
03/10/24 Timothy J. Vogelsang (Cornell University) “A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests”
03/10/31 Alastair Hall (North Carolina State University) “Information in Empirical Likelihood and Generalized Method of Moments Estimation”
03/11/21 Charles Manski (Northwestern University) “Statistical Treatment Rules for Heterogeneous Populations”
03/11/28 James Mackinnon (Queen's University) “Finite-Sample Properties of Tests Based on a Single Structural Equation”

03/03/07 Raman Uppal (London Business School) Systemic Risk and International Portfolio Choice".

03/03/07 Ali Lazrak (University of British Columbia) "Revisiting Treynor and Black (1973): an Intertemporal model of Active Portfolio Management"
03/03/07 Costis Skiadas (Northwestern University) "Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences"
03/03/07 Hong Liu (Washington University) "Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets"
03/03/07 Peter Bossaerts (Caltech and CEPR) "Equilibrium Asset Pricing Under Heterogeneous"
03/03/07 Tan Wang (University of British Columbia) "Model Misspecification and Under-Diversification"
03/03/07 Michael Brandt (University of Pennsylvania and NBER) "Portfolio and Consumption Choice with Option Implied State Prices"
03/03/07 Jessica Wachter (New York University) "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?"

2002

CIRANO-MITACS Finance Day : Portolio Management: Fund Performance and Flows (CIRANO, Montréal)

02/12/06 Allan Timmerman (Univerisyt of California, San Diego) "Can Mutual Fund "Stars" really prick Stocks? New Evidence form a Boostrap Analysis"

02/12/06 Lu Zheng (University of Michigan Business School) "On Industry Concentration of Actively Managed Equity Mutual Funds"
02/12/06 Susan Christoffersen (McGill University) "The Market for Record-Date Ownership"

02/06/17 Francis Diebold (University of Pennsylvania and NBER) "Forecasting the Term Structure of Government Bond Yields"

02/06/17 Monika Piazzesi (UCLA and NBER) "Bond Risk Premia"
02/06/17 Michael McCracken (University of Missouri-Columbia) "Forecast-Based Model Selection in the Presence of Structural Break"
02/06/17 Barbara Rossi (Duke University) "Testing Long-Horizon Predictive Ability with High Persistence, and the Meese and Rogoff Puzzle"
02/06/17 Frank Schorfheide (University of Pennsylvania) "Priors from General Equilibrium Models for VARs: Forecasting and Identification"
02/06/17 Simon van Norden (HEC and CIRANO) "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time"
02/06/17 Bryan Campbell (Concordia University, CIRANO and CIREQ) "Forecasting Some Low-Predictability Time Series Using Diffusion Indices"
02/06/17 Clive Granger (University of California at San Diego) "Some Thoughts on the Future of Economic Forecasting"

02/03/15 Ulrich Haussmann (University of Brithish Columbia) "Convergence of the Modefied Willow Tree"

02/03/15 Nizar Touzi (CREST, Paris and CIRANO) "Application of Malliavin Calculus for the Computation of the Regression Function"
02/03/15 Marcel Rindisbacher (University of Toronto and CIRANO) "Asymptotic Properties of Monte Carlo Estimators of Diffusion Process"
02/03/15 Fernando Zapatero (University of South California) "Monte Carlo Valuation of America Options through Computation of the Optimal Exercise Frontier"
02/03/15 Alfredo Ibanez (ITAM, Mexico) "Option Pricing Implications of Maximum Hedging Strategies in Incomplete Markets"
02/03/15 Michael Brandt (University of Pennsylvania and NBER) "Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data"
02/03/15 Garland Durham (University of Iowa) "Numerical Techniques For Maximum Likelihood Estimation of Continuous-Time Diffussion Processes"

2001

CIRANO-MITACS Finance Day: Financial Derivatives (CIRANO, Montréal)

01/12/07 Steve Heston (Goldman Sachs): "The Expectations Hypothesis in a Log-Linear Bond Model"

01/12/07 Kenneth Vetzal (University of Waterloo): "Understanding the Behaviour and Hedging of Segregated Funds Offering the Reset Feature"
01/12/07 Kris Jacobs (McGill University and CIRANO): "GARCH Option Pricing: Specifying and Estimating Objective and Risk Neutral Volatility Dynamics"

01/11/09 Graciela Kaminsky (George Washington University) "Currency Crises: Fundamentales or Contagion".

01/11/09 Francesca Carrieri (McGill University) "Characterizing World Market Integration Through Time".
01/11/09 Peter Christoffersen (McGill University and CIRANO) "Size Matters: The Impact of Capital Market Liberalization on Individual Firms".

01/10/19 Ronald Gallant (University of North Carolina, Chapel Hill), "Effective Calibration".

01/10/19 Pierre Collin-Dufresnes (Carnegie Mellon University) "Do Bonds Span Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility".
01/10/19 Jean-Marie Dufour (Université de Montréal, CIRANO, CRDE) "Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Princing Models".

01/05/11 Randall Morck (University of Alberta), "Does Firm-specific Information in Stock Prices Guide Capital Allocation?".

01/05/11 Denis Gromb (MIT), "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs".
01/05/11 Anup Agrawal (University of Alabama), "CEO Succession: Insiders versus Outsiders".
01/05/11 Martin Boyer (HEC and CIRANO), "Do CEOs Exercise Their Stock Options Earlier than Other Executives?".

01/04/06 David Bates (University of Iowa), "The Market for Crash Risk"

01/04/06 Jin-Chuan Duan (University of Toronto and Hong Kong University of Science & Technology), "Risk Premium and Pricing of Derivatives in Complete Markets".
01/04/06 Stylianos Perrakis (Concordia University), "Stochastic Dominance Bounds on Derivatives Prices in a Multiperiod Economy with Proportional Transaction Costs".
01/04/06 Éric Renault (Université de Montréal, CRDE and CIRANO), "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables".

01/03/12 Nizar Touzi, (Université de Paris I-Panthéon-Sorbonne et CIRANO), "Couverture dans un marché financier complet en temps continu".

01/03/21 Nizar Touzi, (Université de Paris I-Panthéon-Sorbonne et CIRANO), "Formulation duale du problème de sur-couverture de présence de contraintes de portefeuille".
01/03/26 Nizar Touzi, (Université de Paris I-Panthéon-Sorbonne et CIRANO), "Exemples : modèles de Black et Scholes avec contraintes de portefeuille et Modèle à volatilité stochastique".
01/04/02 Nizar Touzi, (Université de Paris I-Panthéon-Sorbonne et CIRANO), "Évaluation et couverture dans le modèle d'utilité exponentielle".
01/04/09 Nizar Touzi, (Université de Paris I - Panthéon-Sorbonne et CIRANO), "Marchés financiers avec coûts de transaction".
01/04/12 Nizar Touzi, (Université de Paris I - Panthéon-Sorbonne et CIRANO), " Mesure de risque scalaire et vectorielle : axiomatique et caractérisation duale".

01/03/05 Eric Jacquier (CIRANO and Boston College): Financial Market Volatility

01/03/06 Eric Jacquier (CIRANO and Boston College): Financial Market Volatility
01/04/02 Peter Christofersen (CIRANO and McGill) and Francis X. Diebold (University of Pennsylvania): Value at Risk: State of the Art
01/04/03 Peter Christofersen (CIRANO and McGill) and Francis X. Diebold (University of Pennsylvania): Value at Risk: State of the Art
01/05/14 René Garcia and Eric Renault (CIRANO and Université de Montréal): Black_Scholes and Beyond
01/05/15 René Garcia and Eric Renault (CIRANO and Université de Montréal): Black_Scholes and Beyond

01/02/23 Robert Engle (Stern Business School, New York University), "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models".

01/02/23 Neil Shephard (Nuffield College, Oxford University), "Econometric Analysis of Realised Volatility and its Uses in Estimating Levy Based Non-Gaussian OU type Stochastic Volatility Models"
01/02/23 Nour Meddahi (Université de Montréal, CRDE and CIRANO), "An Eigenfunction Approach for Volatility Modeling"

2000

CIRANO-MITACS Finance Day: Volatility Modeling and Financial Applications (CIRANO, Montréal)

00/12/01 Andrew Matytsin (Merrill Lynch), "Modelling Volatility and Volatility Derivatives"

00/12/01 Eric Jacquier (Boston College University & CIRANO), "Portfolio Optimization with Factor Constrained Time Varying Covariances"
00/12/01 Marc-André Lewis (CIRANO), "Estimation of Objective and Risk Neutral Distributions Based on Moments of Integrated Volatility"

00/11 Jeanblanc, Monique (Université d’Évry): 4 workshops on Credit risk

00/11/07 Gouriéroux, Christian (CREST): "Definition and Estimation of Value-at-Risk"

00/11/13 Gouriéroux, Christian (CREST): "Portfolio management with extreme risks: VaR sensitivity, efficient VaR portfolio, LIRA utility functions"
00/11/21 Gouriéroux, Christian (CREST): "VaR in credit and derivative portfolios"

00/11/03 Yacine Ait-Sahalia (Princeton University), "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach"

00/11/03 Ola Elerian (Nuffield College, Oxford University), "Likelihood Inference for Discretely Observed Non-Linear Diffusions"
00/11/03 Michael Johannes (Columbia University), "A Non-Parametric Approach to Jumps in Interest Rates"

00/10/13 Frank Diebold (University of Pennsylvania and NBER), "VARs for VaRs "

00/10/13 John Galbraith (McGill University and CIRANO), "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations"
00/10/13 Victor Chernozhukov (MIT), "Conditional Extremes and Near-Extremes"
00/10/13 Simone Manganelli (European Central Bank), "CAViaR: Conditional Autoregressive Value-at-Risk by Regression Quantiles"

00/04/07 Anderson, Torben (Kellogg Graduate School of Management, Northwestern University), "Estimating Jump-Diffusions for Equity Returns".

00/04/07 Bakshi, Gurdip (Robert H. Smith School of Business, University of Maryland), "Why are Implied Volatility Curves Embedded in Individual Equity Options so Flat?
00/04/07 David, Alexander (Federal Reserve Board, Washington, DC), "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities and Over/Underreaction in the Options Market".

00/01/21 Gouriéroux, Christian (CREST), "Sensitivity Analysis of Values at Risk".

00/01/21 Renault, Éric (ENSAI-CREST), "Asymmetric Smiles, Leverage Effects and Structural Parameters".
00/01/21 Rindisbacher, Marcel (University of Toronto and CIRANO), "A Monte-Carlo Method for Optimal Portfolios".
00/01/21 McCurdy, Tom (University of Toronto), "Measuring and Forecasting FX Volatility Dynamics".

1999

CIRANO-MITACS Short course on nonparametic methods in finance (CIRANO, Montréal)

99/02/17 Gouriéroux, Christian (CREST), "Nonparametric Methods in Finance - 1", CIRANO seminar.

99/02/18 Gouriéroux, Christian (CREST), "Nonparametric Methods in Finance - 2", CIRANO seminar.
99/03/04 Gouriéroux, Christian (CREST), "Nonlinear Innovations and Impulse Response Functions", Joint seminar, CIRANO, Université de Montréal and CRDE.

99/01/15 Renault, Éric (CREST), "Cross-Sectional and Longitudinal Latent Variable Models for Stochastic Discount Factors".

99/01/22 Renault, Éric (CREST), "Factor Analysis, Principal Components and Financial Applications".
99/01/29 Renault, Éric (CREST), "Dynamic and Non-Linear Extensions of Factor Analysis and Principal Components".
99/02/05 Renault, Éric (CREST), "A General Asset Pricing Framework with State Variables".
99/02/12 Renault, Éric (CREST), "Hidden Markov State Variables and Volatility Analysis.