Presentations

All presentations: by MITACS investigators 2009 /03 Nour Meddahi Bid-Ask Bounds and Volatility, Humboldt-Copenhagen Conference on Financial econometrics, Berlin, March 2009. /03 Nour Meddahi Generalized Affine Models, University of Chicago, March, 20099. /03 Nour Meddahi Generalized Affine Models, Northwestern University, March, 2009. /10 Benoît Perron Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel. Confénce CIREQ-CIRANO sur l.économétrie des interactions. /03 Benoît Perron Past Market Variance and the Distribution of Stock Returns Texas A&M University. /03 Benoît Perron Past Market Variance and the Distribution of Stock Returns Rice University /05 Benoît Perron Past Market Variance and the Distribution of Stock Returns. Congrès de la Socié canadienne de science énomique, Mont-Grabriel /08 Marcel Rindisbacher EFA, Bergen, Norway, August 2009. /01 Marcel Rindisbacher AFA, San Francisco, January 2009. /06 Jean-Marie Dufour Confidence sets for covariances between errors and endogenous regressors. (with Firmin Doko Tchatoka), North American Summer Meeting of the Econometric Society, Boston university (Boston, MA; June 6, 2009). Paper presented by F. Doko. /06 Jean-Marie Dufour Measuring Causality between Volatility and Returns with High-Frequency Data. (with Renéarcia and Abderrahim Taamouti), North American Summer Meeting of the Econometric Society, Boston university (Boston, MA; June 5, 2009). Paper presented by A. Taamouti. /05 Jean-Marie Dufour GMM and hypothesis tests when rank conditions fail: a regularization approach. (with Pascale Valé), Canadian Economics Association 43rd Annual Conference, University of Toronto (Toronto, Ontario; May 30, 2009). Paper presented by P. Valé. Discussants: Raymond Kan (University of Toronto) and James MacKinnon (Queen.s University). /05 Jean-Marie Dufour Confidence sets for covariances between errors and endogenous regressors. (with Firmin Doko), Canadian Economics Association 43rd Annual Conference, University of Toronto (Toronto, Ontario; May 29, 2009). Paper presented by F. Doko. Discussants: Russell Davidson (McGill University) and Victoria Zinde-Walsh (McGill University). /05 Jean-Marie Dufour Identification robust inference in structural multivariate factor models with rank restrictions. (with Marie-Claude Beaulieu and Lynda Khalaf), Canadian Economics Association 43rd Annual Conference, University of Toronto (Toronto, Ontario; May 29, 2009). Paper presented by L. Khalaf. Discussant: Liqun Wang (University of Manitoba). /05 Jean-Marie Dufour Identification Robust Inference in Structural Multivariate Factor Models with Rank Restrictions. (with Marie-Claude Beaulieu and Lynda Khalaf), Third CIREQ Conference onTime Series (Montré; May 22, 2009). Paper presented by L. Khalaf. /05 Jean-Marie Dufour FactorModels and VARMA Processes. (with Dalibor Stevanovic), Third CIREQ Conference onTime Series (Montré; May 22, 2009). Paper presented by D. Stevanovic. /05 Jean-Marie Dufour Comment on .Path Forecast Evaluation. by Òcar JordàUniversity of California, Davis) and Massimiliano Marcellino (European University Institute), Third CIREQ Conference onTime Series (Montré; May 22, 2009). /05 Jean-Marie Dufour Réons de confiance exactes pour les matrices de covariance entre les termes d.erreur et les réesseurs. (with Firmin Doko), 49th Annual Meeting of the Socié canadienne de science énomique, Hô Mont Gabriel (Sainte-Adè, Quéc; May 14, 2009). Paper presented by F. Doko. Discussant: Gbowan Barnabéjegné (Universitée Montré, CIREQ). /05 Jean-Marie Dufour Comment on .La méode Hessian avec déndance conditionnelle. by Gbowan Barnabéjegné andWilliam J.McCausland (Universitée Montré), 49th Annual Meeting of the Socié canadienne de science énomique, Hô Mont Gabriel (Sainte-Adè, Quéc; May 14, 2009). /05 Jean-Marie Dufour Exogeneity tests, non Gaussian distributions and weak identification: finite-sample and asymptotic distributional theory. (with F. Doko), CIREQ Colloquium on Computationally-Intensive Econometrics, McGill University (Montré; May 4, 2009). /05 Jean-Marie Dufour IV estimation: is the cure worse than the illness?. (with F. Doko), CIREQ Colloquium on Computationally-Intensive Econometrics, McGill University (Montré; May 4, 2009). /05 Jean-Marie Dufour Wald tests when restrictions are locally singular. (with Eric Renault and Victoria Zinde-Walsh), CIREQ Colloquium on Computationally-Intensive Econometrics, McGill University (Montré; May 4, 2009). Paper presented by V. Zinde-Walsh. /04 Jean-Marie Dufour Moderator of .Financial Stability Workshop., 2009 Fellowship Learning Exchange, Bank of Canada (Ottawa, Ontario; April 7, 2009). /03 Jean-Marie Dufour Measuring Causality Between Volatility and Returns with High-Frequency Data. (with Renéarcia and Abderrahim Taamouti), Humboldt-Copenhagen Conference, Recent Developments in Financial Econometrics, Humboldt-Universitäzu Berlin (Berlin; March 21, 2009). Paper presented by A. Taamouti. /09 Lynda Khalaf Identification-Robust Inference in Structural Multivariate Factor Models with Rank Restrictions, with Marie-Claude Beaulieu and Jean-Marie Dufour, NBER-NSF Meetings, Davis California, September 12, 2009. /08 Lynda Khalaf Identification-Robust Inference in Structural Multivariate Factor Models with Rank Restrictions, with Marie-Claude Beaulieu and Jean-Marie Dufour, European Meetings of the Econometric Society, Barcelona, August 27, 2009. /08 Lynda Khalaf Estimating and Testing Cross-Sectional Asset-Pricing Models, a Robust IV Econometric Technique, with Huntley Schaller, European Meetings of the Econometric Society, Barcelona, August 26, 2009. Presented by Huntley Schaller). /08 Lynda Khalaf The Impact of Political Convergence on Financial Integration, European Meetings of the Econometric Society, with Marie-Claude Beaulieu and Marie-Héne Gagnon, Barcelona, August 24, 2009. (Presented by Marie-Hél&eagrave; Gagnon). /05 Lynda Khalaf The Impact of Political Convergence on Financial Integration, European Meetings of the Econometric Society, Canadian Economic Association Meetings, with Marie-Claude Beaulieu and Marie-Héne Gagnon, Toronto /05 Lynda Khalaf Identification-Robust Inference in Structural Multivariate Factor Models with Rank Restrictions, with Marie-Claude Beaulieu and Jean-Marie Dufour, Canadian Economic Association Meetings, Toronto /06 Marine Carrasco Assessing the Nature Pricing Inefficiencies via Realized Measures. (joint with R. Kotchoni), presented at North American Summer Meeting of the Econometric Society (Boston, June 2009). /08 René Garcia Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels, Econometric Society European Meeting, August 2009, Barcelona, Spain. /08 René Garcia Bond Liquidity Premia, European Finance Association, August 2009, Bergen, Norway. /06 René Garcia Disappointment Aversion, Long-Run Risks and Aggregate Asset Prices, June 2009, SOFIE Conference, Geneva. /05 René Garcia Discussion of Pricing kernels with coskewness and volatility risk by Fousseni Chabi-Yo, Fisher College of Business, Ohio State University, May 2009, Toulouse School of Economics. /05 René Garcia Extreme Events and Correlations: Current and Future Models, May 2009, Toulouse School of Economics, France. /05 René Garcia Disappointment Aversion, Long-Run Risks and Aggregate Asset Prices, May 2009, Banque de France, Paris. /04 René Garcia Bond Liquidity Premia, University College Dublin, April 2009, Dublin, Ireland. /03 René Garcia Empirical Likelihood Estimators for Stochastic Discount Factors, 6th Madrid Finance Workshop, March 2009, Madrid. /03 René Garcia Bond Liquidity Premia, Department of Banking and Financial Management, University of Piraeus, March 2009, Athens, Greece. /03 René Garcia Bond Liquidity Premia, CORE, March 2009, Louvain-la-Neuve, Belgium /02 René Garcia Bond Liquidity Premia, Department of Economics, University of Lugano, February 2009, Lugano, Switzerland. /02 René Garcia Bond Liquidity Premia, Risk Management Institute, February 2009, Singapore. /02 René Garcia Lectures on Hedge Fund Performance, Risk Management Institute, February 2009, Singapore. /01 René Garcia Empirical Likelihood Estimators for Stochastic Discount Factors, 1st Annual Conference on Econometrics of Hedge Funds, January 2009, CREST, Paris. 2008 /08 Lynda Khalaf Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach., with Jean-Marie Dufour and Maral Kichian, European Meetings of the Econometric Society, Milan, August 26, 2008. (Presented by Maral Kichian). /06 Lynda Khalaf Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach., with Jean-Marie Dufour and Maral Kichian, Society For computational Econometrics Conference, Paris, June 28, 2008. /06 Lynda Khalaf How Much Do Real Wage Rigidities Matter for Canadian Inflation?. with Jean-Marie Dufour and Maral Kichian, Society For computational Econometrics Conference, Paris, June 28, 2008. (Presented by Maral Kichian). /06 Lynda Khalaf The Impact of Political Parties Convergence on Tests of Financial Integration., with Marie-Claude Beaulieu and Marie-Héne Gagnon, Society For computational Econometrics Conference, Paris, June 26, 2008. (Presented by Marie-Héne Gagnon). /06 Lynda Khalaf Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield, with Jean-Thomas Bernard, Maral Kichian and Sebastien MacMahon, Society For computational Econometrics Conference, Paris, June 26, 2008. (Presented by Sebastien MacMahon). /06 Lynda Khalaf Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield, with Jean-Thomas Bernard, Maral Kichian and Sebastien MacMahon, International Symposium on Forecasting, Nice, June 22, 2008. (Presented by Maral Kichian). /06 Lynda Khalaf The Impact of Political Parties Convergence on Tests of Financial Integration., with Marie-Claude Beaulieu and Marie-Héne Gagnon, 2nd International Workshop on Computational and Financial Econometrics, Neuchâl, Switzerland, June 21, 2008. (Presented by Marie-Héne Gagnon). /06 Lynda Khalaf How Much Do Real Wage Rigidities Matter for Canadian Inflation?. with Jean-Marie Dufour and Maral Kichian, 2nd International Workshop on Computational and Financial Econometrics, Neuchâl, Switzerland, June 19, 2008. (Presented by Maral Kichian). /06 Lynda Khalaf The Impact of Political Parties Convergence on Tests of Financial Integration., with Marie-Claude Beaulieu and Marie-Héne Gagnon, Canadian Economic Association Meetings, Vancouver, June 8, 2008. (Presented by Marie-Héne Gagnon). /06 Lynda Khalaf How Much Do Real Wage Rigidities Matter for Canadian Inflation?. with Jean-Marie Dufour and Maral Kichian, Canadian Economic Association Meetings, Vancouver, June 7, 2008. /05 Lynda Khalaf Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield, with Jean-Thomas Bernard, Maral Kichian and Sebastien MacMahon, Socié canadienne de science énomique, Montebello (Quéc), May 15, 2008. (Presented by Maral Kichian). /05 Lynda Khalaf The Impact of Political Parties Convergence on Tests of Financial Integration., with Marie-Claude Beaulieu and Marie-Héne Gagnon, Socié canadienne de science énomique, Montebello (Quéc), May 14, 2008. (Presented by Marie-Héne Gagnon). /06 Lynda Khalaf Identification robust inference in multivariate reduced rank regression and factor models., with Marie-Claude Beaulieu and Jean-Marie Dufour, Inference and Tests in Econometrics . A Tribute to Russell Davidson, Marseilles, April 25, 2008. /04 Lynda Khalaf Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach., with Jean-Marie Dufour and Maral Kichian, New York Camp Econometrics III, Ithaca, April 6, 2008. /07 Marine Carrasco ,“Efficient Estimation using the Characteristic Function” (joint with R. Kotchoni), presented at Econometric Study Group conference (Bristol). /06 Marine Carrasco ,Operator Methods and Inverse Problems in Econometrics (Cowles Foundation). /09 Nour Meddahi Financial Econometrics & Vast Data, Oxford-Man Institute Conference. /08 Nour Meddahi Symposium on Volatility, CREATES, University of Aarhus, Denmark. /07 Nour Meddahi Generalized A±ne Models, Bachelier Finance Society, Fifth World Congress. /07 Nour Meddahi Generalized A±ne Models, NBER Summer Meeting, Boston. /06 Nour Meddahi Temporal Aggregation of Nonlinear Volatility Models, Cowles Foundation and Yale University Conference on Operator Methods and Inverse Problems. /06 Nour Meddahi Bootstrapping Realized Multivariate Volatility Measures, Inaugural Conference of the Society for Financial Econometrics, New York University. /04 Nour Meddahi Bootstrapping Realized Multivariate Volatility Measures, Marseille, Inference and Tests in Econometrics: A Tribute to Russell Davidson. /03 Nour Meddahi Generalized A±ne Models, Oberwolfach Workshop on \The Mathematics and Statistics of Quantitative Risk Management. /02 Nour Meddahi Generalized A±ne Models, Oxford University. /08 Jean-Marie Dufour “Exact Fisher-type tests and confidence regions in semi-parametric linear dynamic models with exchangeable errors” (with Frédéric Jouneau-Sion and Olivier Torrès), 63rd European Meeting of the Econometric Society (Milan). Paper presented by F. Jouneau-Sion. /08 Jean-Marie Dufour Finite and large sample distribution-free inference in median regressions with instrumental variables (with Élise Coudin), 63rd EuropeanMeeting of the Econometric Society. /08 Jean-Marie Dufour Optimal invariant tests for autoregressive coefficients in linear regressions with Gaussian possibly nonstationary AR(2) errors” (with Malika Neifar), 63rd European Meeting of the Econometric Society (Milan). Paper presented by M. Neifar. /08 Jean-Marie Dufour Structuralmulti-equationmacroeconomicmodels: identification-robust estimation and fit (with Lynda Khalaf and Maral Kichian), 63rd EuropeanMeeting of the Econometric Society (Milan). Paper presented by M. Kichian. /08 Jean-Marie Dufour Exogeneity tests and weak identification (with Firmin Doko Tchatoka), 63rd European Meeting of the Econometric Society (Milan). Paper presented by F. Doko. /05 Jean-Marie Dufour Tests d’exogénéité et identification faible (with Firmin Doko), 48th annual meeting of the Société canadienne de science économique (Château Montebello, Québec). Discussant: Rachidi Kotchoni (Université de Montréal). Paper presented by F. Doko. /04 Jean-Marie Dufour Identification robust inference in multivariate reduced form regression and factor models (with Marie- Claude Beaulieu and LyndaKhalaf), conference on Inference and Tests in Econometrics,A Tribute to Russell Davidson, GREQAM, Université d’Aix-Marseille (Marseille). Paper presented by L. Khalaf. /04 Jean-Marie Dufour Testability and Methods of Moments in Nonparametric and Semiparametric Models (with Frédéric Jouneau-Sion and Olivier Torr&eagrave;s), New York Camp Econometrics III (Ithaca, New York). /03 Jean-Marie Dufour Measuring Causality between Volatility and Returns with High-Frequency Data” (with Renée Garcia and Abderrahim Taamouti), The Tenth Annual Financial Econometrics Conference The Econometrics of Ultra High Frequency Data in Finance, University of Waterloo (Waterloo, Ontario). 2007 /10 Silvia Gonçalves, CEFAGE Workshops: Perspectivas da Investigação em Portugal: Econometria, Évora, Portugal (October). /10 Silvia Gonçalves, Multivariate Volatility Models Conference, Universidade do Algarve (October). /09 Silvia Gonçalves, Seminar ISCTE, Lisbon, Finance Department (September). 09/07 Marine Carrasco "A regularization approach to the many instruments problem" (at University of North Carolina at Chapel Hill) 31/08 E. Coudin “Robust sign-based estimators and generalized confidence distributions in median regressions under heteroskedasticity and nonlinear dependence of unknown form” (Jean-Marie Dufour with Élise Coudin), 62nd European Meeting of the Econometric Society (Budapest; August 31, 2007). 30/08 A. Taamouti “Measuring Causality between Volatility and Returns with High-Frequency Data” (Jean-Marie Dufour with René Garcia and Abderrahim Taamouti), 62nd European Meeting of the Econometric Society (Budapest; August 30, 2007). 27/08 F. Jouneau-sion “The performance of conventional tests about an expectation: a reassessment” (Jean-Marie Dufour with Frédéric Jouneau-sion and Olivier Torrès), 62nd European Meeting of the Econometric Society (Budapest; August 27, 2007). /08 Silvia Gonçalves, ISI 2007, Lisbon (August). /08 Silvia Gonçalves, European Econometric Society Meeting, Budapest (August). /07 Marine Carrasco “Instrumental Variables Estimators based on Principal Components”, renamed as “A regularization approach to the many instruments problem” presented at Econometric Society (Chicago, January 2007), and the Econometric Study Group Conference (Bristol, July 2007). 15/06 A. Taamouti.“Measuring Causality between Volatility and Returns with High-Frequency Data” (Jean-Marie Dufour with René Garcia and Abderrahim Taamouti), 13th Conference on Computing in Economics and Finance, Society for Computational Economics (HEC Montréal; June 15, 2007). 14/06 Lynda Khalaf “Testing Financial Integration in North America Using Fama and French Risk Factors and an Error-in-Variables Correct approach”, with Marie-Claude Beaulieu and Marie-Hélène Gagnon, Society for Computational Economics Conference, Montréal, June 14, 2007. (Presented by Marie-Hélène Gagnon). 04/06 Lynda Khalaf “Testing Financial Integration in North America Using Fama and French Risk Factors and an Error-in-Variables Correct approach”, with Marie-Claude Beaulieu and Marie-Hélène Gagnon, Administrative Sciences Association of Canada, Ottawa, June 4, 2007. (Presented by Marie-Hélène Gagnon). 01/06 Lynda Khalaf “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach”, with Jean-Marie Dufour and Maral Kichian. , Canadian Economic Association meetings, Halifax, June 1, 2007 (presented by Maral Kichian). /06 Silvia Gonçalves "First Meeting of the Portuguese Economics Journal", Ponta Delgada, Açores, Portugal (June). /06 Silvia Gonçalves, Seminar Universidade Técnica de Lisboa, ISEG, Economics Department (June). 15/05 Lynda Khalaf “Testing Financial Integration in North America : Using Fama and French Risk Factors and an Error-in-Variables Correct approach”, with Marie-Claude Beaulieu and Marie-Hélène Gagnon, Société canadienne de science économique, Québec, May 15, 2007. (Presented by Marie-Hélène Gagnon). 04/05 Jean-Marie Dufour “Finite-sample identification-robust inference for unobservable zero-beta rates and portfolio efficiency with non-Gaussian distributions” (with M.-C. Beaulieu and L. Khalaf), Departamento de Economia, Universidad Carlos III de Madrid (Spain; May 4, 2007). 21/04 Lynda Khalaf “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, International workshop on Computational and Financial Econometrics, University of Geneva, April 21, 2007. 21/04 Lynda Khalaf “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach”, with Jean-Marie Dufour and Maral Kichian. , International workshop on Computational and Financial Econometrics, University of Geneva, April 21, 2007 (presented by Maral Kichian). 16/03 Jean-Marie Dufour “Point-optimal instruments and generalized Anderson-Rubin procedures for nonlinear models” (with Mohamed Taamouti), Department of Economics, Carleton University (Ottawa; March 16, 2007). 28/02 Jean-Marie Dufour “Point-optimal instruments and generalized Anderson-Rubin procedures for nonlinear models” (with Mohamed Taamouti), Department of Economics, University of California, Santa Barbara (February 28, 2007). 2006 /06 Eric Renault, Seminar Presentation, Finance Seminar, Tilburg, 2005 01/ Nour Meddahi, "Testing Distributional Assumptions: A GMM Approach", Seminar Presentation, GREQAM, Marseille. 01/ Roch Roy, "Estimation de vraisemblance maximale exacte de modèles structurés ou à racine unitaire". Séminaire de statistique, GREMARS, Université Lille 3, janvier 2006. 01/ Marcel Rindisbacher, AFA Meetings in Boston, January 2006. 01/12 Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Economics Department, Carleton University, January 12, 2006. 01/20 Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Economics Department, Ryerson’s University, January 20, 2006. 01/24 Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Economics Department, Université du Québec à Montréal, January 24, 2006. 01/27 Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Economics Department, University of Alberta, January 27, 2006. 02/ Benoit Perron, "Incidental Trends and the Power of Panel Unit Root Tests", New York Econometrics Camp, Saratoga Springs, New York 02/ Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, New York Econometrics Camp, Saratoga Springs, February 5, 2006. 03/ Rene Garcia, "The Value of Real and Financial Risk Management", Seminar, PUC, Rio de Janeiro, March 2006. 03/ Rene Garcia, "A Consumption Capital Asset Pricing Model with a Reference Level", Seminar, FGV-EPGE, March 2006. 03/ Benoit Perron, «An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors», University of Toronto 04/13 Jean-Marie Dufour, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models” (with Mohamed Taamouti), Department of Economics, University of California Los Angeles (April 13, 2006). 04/22-23 Nour Meddahi (responsable), Volatilité réalisée / Realized Volatility. 05/ Silvia Goncalves, Seminar Presentation, Universidade Técnica de Lisboa, ISEG, Mathematics Department (May 2006). 05/ Roch Roy, "Robust Optimal Tests for Causality in Multivariate Time Series" (with A. Saidi), Annual Meeting of the Statistical Society of Canada, London, May 2006. 05/ Marcel Rindisbacher, BIRS: Optimization problems in financial economics, May 2006. 05/ Marcel Rindisbacher, Invitation to the Bendheim Center, Princeton University, Spring 2006. 05/ Rene Garcia, "An Analytical Framework for Assessing Asset Pricing Models and Predictability", Seminar, Université de Cergy, May 2006. 05/ Marcel Rindisbacher, Invitation to the Bendheim Center, Princeton University, Spring 2006. 05/ Marcel Rindisbacher, BIRS: Optimization problems in financial economics, May 2006. 05/5-6 Nour Meddahi (responsable), Colloque sur l'Économétrie de la finance / Financial Econometrics Conference. 06/ Lynda Khalaf, “Structural Estimation and Evaluation of Calvo-Style Inflation Models”, with Jean-Marie Dufour and Maral Kichian, Canadian Economic Association Meetings, North American Meetings of the Econometric Society, Minneapolis, June 23, 2006. 06/ Marcel Rindisbacher, Festkolloquium in honor of Phelim Boyle, University of Waterloo, June 2006. 06/05 Jean-Marie Dufour, «Testing portfolio efficiency with an unobservable zero-beta rate and non-Gaussian distributions: a finite-sample identification-robust approach» (avec M.-C. Beaulieu et L. Khalaf), Canadian Mathematical Society Summer 2006 Meeting, Invited plenary session (Calgary; June 5, 2006). 08/ Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, European Meetings of the Econometric Society, Vienna, August 26, 2006. 08/ Marcel Rindisbacher, EFA Meetings, Zurich, August 2006. 08/ Marcel Rindisbacher, Bachelier World Congress, Tokyo, August 2006 08/26 Jean-Marie Dufour, “Testing Threee-Moments Based Asset Pricing Models: An Exact Non-Gaussian Multivariate Regression Approach” (with Marie.-Claude Beaulieu and Lynda Khalaf), 2006 European Meeting of the Econometric Society (Vienna; August 26, 2006). Paper presented by Lynda Khalaf. /06 Marine Carrasco "A regularization approach to the many instruments problem" (at the University of Bristish Columbia, at Simon Fraser University, at the University of Chicago) /06 Marine Carrasco “Instrumental Variables Estimators based on Principal Components”, renamed as “A regularization approach to the many instruments problem” presented at NBER-NSF CEME (Cambridge, March 2005), the European Econometric Society meeting (Vienna, August 2006), Canadian Econometric Study Group (Niagara Falls, October 2006). 09/06 Marine Carrasco “Optimal Tests for Markov Switching” (with L. Hu and W. Ploberger), presented at at the NBER-NSF Time Series conference (Montreal). 09/ Lynda Khalaf, “Structural Estimation and Evaluation of Calvo-Style Inflation Models”, with Jean-Marie Dufour and Maral Kichian, Canadian Economic Association Meetings, NBER/NSF conference, Montreal, September 29, 2006. 09/29-30 Nour Meddahi (responsable), Conférence NBER-NSF 2006 en séries temporelles / 2006 NSF-NBER Time Series Conference. 09/29 Jean-Marie Dufour, “Measuring Causality between Volatility and Returns with High-Frequency Data” (with René Garcia and Abderrahim Taamouti), 2006 NBER-NSF Time Series Conference (Montréal; September 29, 2006). 17/10 Jean-Marie Dufour “Problems of Weak Identification in Econometrics”, Juristische und Wirtschaftswissenschaftliche Fakultät, Martin-Luther-Universität Halle-Wittenberg (Germany; October 17, 2006). 20/10 T. Jouini, “Simplified order selection and efficient linear estimation for VARMA Models with a macroeconomic application” (Jean-Marie Dufour with Tarek Jouini), 2006 Canadian Econometrics Study Group Meetings (Niagara Falls; October 20, 2006). 20/10 Lynda Khalaf, “Structural Estimation and Evaluation of Calvo-Style Inflation Models”, with Jean-Marie Dufour and Maral Kichian, Canadian Economic Association Meetings, Canadian Econoemtrics Study Group, Niagara Falls, October 20, 2006. 10/ Marine Carrasco “Instrumental Variables Estimators based on Principal Components” presented at NBER-NSF CEME (Cambridge March 2005), the European Econometric Society meeting (Vienna, August 2006), and the Canadian Econometrics Study Group (Niagara Falls, October 2006). 11/ Marcel Rindisbacher, UBC, Mitacs-Pims Seminar, November 2006 11/ Marcel Rindisbacher, Princeton, ORFE Seminar, November 2006 14/11 Jean-Marie Dufour, “Point-optimal instruments and generalized Anderson-Rubin procedures for nonlinear models” (with Mohemed Taamouti), Department of Economics, Northwestern University (Evanston, Illlinois; November 14, 2006). 16/11 Jean-Marie Dufour, “Testing portfolio efficiency with an unobservable zero-beta rate and possibly non-Gaussian distributions: a finite-sample identification-robust approach” (with Marie-Claude Beaulieu and Lynda Khalaf), Department of Economics, Michigan State University (East Lansing, Michigan; November 16, 2006). 21/11 Jean-Marie Dufour, “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach” (with Lynda Khalaf and Maral Kichian), Bank of Canada (Ottawa; November 21, 2006). 23/11 Jean-Marie Dufour, “Finite-sample identification-robust inference for unobservable zero-beta rates and portfolio efficiency with non-Gaussian distributions” (with Marie-Claude Beaulieu and Lynda Khalaf), Department of Economics, Queen’s University (Kingston, Ontario; November 23, 2006). 30/11 Jean-Marie Dufour, “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach” (with Lynda Khalaf and Maral Kichian), European University Institute (Florence, Italy; November 30, 2006). 08/12 Lynda Khalaf “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach”, with Jean-Marie Dufour and Maral Kichian, CIREQ/CIRANO Time Series conference, Montreal, December 8, 2006. 12/8-9 Marine Carrasco & Nour Meddahi (responsables), Conférence CIREQ sur les séries temporelles / Time Series Conference. 12/8-9 Silvia Gonçalves, 2006 CIREQ Time Series Conference, Montréal (December). 12/12 Lynda Khalaf “Exact Multivariate Structural Change Tests with Application to Energy Demand Models”, with Jean-Thomas Bernard, Clément Yélou and Nadhem Idoudi, Cass Business School, Breaks and Persistence in Econometrics , London, December 12, 2006. 15/12 Lynda Khalaf “Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach”, with Jean-Marie Dufour and Maral Kichian, EC2 Conference, Rotterdam, December 15, 2006. 2005 / Eric Renault, Seminar Presentation, Econometrics Seminar, Vanderblit University, Nashville, 2005 / Eric Renault, Seminar Presentation, Finance Seminar, Tilburg, 2005 / Eric Renault, Seminar Presentation, Macro Seminar, Atlanta Fed, 2005 / Eric Renault, Seminar Presentation, Mathematical Finance Seminar, NC State University, Raleigh, 2005 01/ Silvia Goncalves, Conference Presentation, North American Winter Meeting of the Econometric Society, Philadelphia (January). 02/ René Garcia, "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-based Approach, Workshop on Identification, prediction and causality in macroeconomic and financial time series", Bank of Canada, February 2005. 02/18 Jean-Marie Dufour, “Financial Asset prices and Monetary Policy: A Causality Analysis” (with David Tessier), Colloquium on Identification, Prediction and Causality in Macroeconomic and Financial Time Series, Bank of Canada / Banque du Canada (Ottawa; February 18, 2005). 02/24 Lynda Khalaf, “Conditional Heteroskedasticity, Jumps and Long-Run dynamics in Commodity Prices”, with Jean-Thomas Bernard, Maral Kichian and Sebastien MacMahon, Bank of Canada, February 24, 2005. 02/25 Jean-Marie Dufour, “Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Tests” (with Tarek Jouini), Department of Economics, University of Guelph (Guelph, Ontario; February 25, 2005). 03/ Benoit Perron, «An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors», Queen’s University at Kingston 03/13 Jean-Marie Dufour, “A consistent test for independence between two infinite order cointegrated series” (with Chafik Bouhaddioui), Statistical Society of Canada, University of Saskatchewan (Saskatoon; June 13, 2005). Paper presented by C. Bouhaddioui. 04/ Silvia Goncalves, Conference Presentation, Simulation Based and Finite Sample Inference in Finance II, Québec (April). 04/ Silvia Goncalves, Conference Presentation, The First Symposium on Econometric Theory and Applications, Statistica Sinica, Taip 04/ Marcel Rindisbacher, SBFSI II Conferenece in Quebec, April 2005. 04/08-09 Nour Meddahi (responsable), Prévisions en macroéconomie et finance / Forecasting in Macroeconomics and Finance. 04/29 Jean-Marie Dufour, “Testing Three-Moment Based Asset Pricing Models: Non-Gaussian Multivariate Regression Approach” (with Marie-Claude Beaulieu and Lynda Khalaf), Second IFM2-CIRANO-MITACS Conference on “Simulation Based and Finite Sample Inference in Finance” (Château Frontenac, Québec City; April 29, 2005). Discussant: Raja Velu (Syracuse University). Paper presented by Marie-Claude Beaulieu. 04/29-30 Jean-Marie Dufour, Second IFM2-CIRANO-MITACS Conference on “Simulation Based and Finite Sample Inference in Finance” (Château Frontenac, Québec City; April 29-30, 2005). Organized jointly with Craig MacKinlay (Wharton School, University of Pennsylvania), Marie-Claude Beaulieu and Lynda Khalaf (Université Laval). Conference sponsored by the Institut de finance mathématique de Montréal (IFM2), MITACS, CIRANO and CIREQ. 05/ René Garcia, "The Value of Risk Management: A Frontier Analysis", Seminar, CIRANO, May 2005. 05/ René Garcia, "Discussion: No-Arbitrage Macroeconomic Determinants of the Yield Curve, by Ruslan Bikbov and Mikhail Chernov", Financial Econometrics Conference, CIREQ and CIRANO, Montréal, May 2005. 05/ Silvia Goncalves, Conference Presentation, Canadian Economics Association, McMaster University, Hamilton (May). 05/ Silvia Goncalves, Seminar Presentation, 2005 Federal Reserve Bank of St. Louis (May). 05/ Marcel Rindisbacher, DQF Meeting on Monte Carlo Methods, Isaac Newton Institute, Cambridge, May 2005. 05/11 Lynda Khalaf, “Identification Robust Confidence Set Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time and Elasticities”, with Denis Bolduc and Clément Yélou, Société canadienne de science économique, Charlevoix, Québec, May 11, 2005. 05/11 Lynda Khalaf, “Testing Portfolio Efficiency with an Unobservable Zero-Beta Rate and non-Gaussian Distributions: an Exact Identification-Robust Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Société canadienne de science économique, Charlevoix, Québec, May 11, 2005. 05/11-14 Jean-Marie Dufour, MITACS 6th Annual Conference (University of Calgary, Alberta; May 11-14, 2005), organization of a session on “Financial Econometrics and Volatilty Modelling”. 05/12 Jean-Marie Dufour, “Inférence exacte et asymptotique sur des modèles de volatilité stochastique” (with Pascale Valéry), 45th Annual Meeting of the Société canadienne de science économique, Manoir Richelieu (Pointe-au-Pic, Québec; May 12, 2005). Paper presented by P. Valéry. 05/12 Jean-Marie Dufour, “Inférence non-paramétrique améliorée sur la moyenne d’une variable aléatoire bornée avec application aux mesures de pauvreté” (with Mame Astou Diouf), 45th Annual Meeting of the Société canadienne de scienceéconomique, Manoir Richelieu (Pointe-au-Pic, Québec; 12 mai 2005). Paper presented by M. Diouf. 05/12 Jean-Marie Dufour, “Mesures de causalité à court et à long terme” (with Abderrahim Taamouti), 45th Annual Meeting of the Société canadienne de science économique, Manoir Richelieu (Pointe-au-Pic, Québec; May 12, 2005). Paper presented by A. Taamouti. 05/12 Jean-Marie Dufour, “Tests d’efficience d’un portefeuille lorsque le taux de rendement sans risque est inobservable: une approche robuste aux problèmes d’identification” (with Marie-Claude Beaulieu and Lynda Khalaf), 45th Annual Meeting of the Société canadienne de science économique, Manoir Richelieu (Pointe-au-Pic, Québec; May 12, 2005). Paper presented by L. Khalaf. 05/12 Lynda Khalaf “Structural Change and the Dynamics of Energy prices”, with Jean-Thomas Bernard, Jean-Marie Dufour and Maral Kichian, Société canadienne de science économique, Charlevoix, Québec, May 12, 2005. (Presented by Maral Kichian). 05/12 Lynda Khalaf, “Exact Financial Market Integration Tests”, with Marie-Claude Beaulieu and Marie-Hélène Gagnon, Société canadienne de science économique, Charlevoix, Québec, May 12, 2005. (Presented by Marie-Claude Beaulieu). 05/12-13 Jean-Marie Dufour, Société canadienne de science économique (Manoir Richelieu, Pointe-au-Pic, Québec; May 12-13, 2005), organization of a session on the “The econometrics of macroeconomics and finance”. 05/13 Jean-Marie Dufour, “Changement structurel et la dynamique des prix de l’énergie” (with Lynda Khalaf and Maral Kichian), 45th Annual Meeting of the Société canadienne de science économique, Manoir Richelieu (Pointe-au-Pic, Québec; May 13, 2005). Paper presented by M. Kichian. 05/14 Jean-Marie Dufour, “Finite sample and optimal adaptive inference in possibly nonstationary general volatility models with Gaussian and heavy-tailed errors” (with Emma Iglesias), 2005 MITACS Annual Meeting, University of Calgary (Calgary; May 14, 2005). 05/19 Jean-Marie Dufour, “Finite and Large Sample Inference for a Stochastic Volatility Model” (with Pascale Valéry), First Symposium on Econometric Theory and Applications (SETA), Academia Sinica (Taipei, Taiwan; May 19 2005). 05/ Nour Meddahi (responsable), Conférence Économétrie de la finance / Financial Econometrics. 05/20 Jean-Marie Dufour, “Finite and Large Sample Inference for One- and Two-Factor Stochastic Volatility Models” (with Pascale Valéry), CIRANO-CIREQ Conference on Financial Econometrics (Montréal; May 20 2005). Paper presented by P. Valéry. 05/27 Jean-Marie Dufour, “Improved Nonparametric Inference for the Mean of a Bounded Random Variable with Application to Poverty Measures” (with Mame Aste Diouf), 39th Annual Meetings of the Canadian Economics Association, McMaster University (Hamilton, Ontario; May 27, 2005). Paper presented by M. Diouf. 06/ René Garcia, "Proper Conditioning for Coherent VaR in Portfolio Management", MITACS Conference, Calgary, June 2005. 06/ Nour Meddahi, "Testing Distributional Assumptions: A GMM Approach, Conference in Tribute to Jean-Jacques Laffont", Toulouse, June 2005. 06/ Nour Meddahi, "Moments of Continuous Time Stochastic Volatility Models", Conference on Developments in Quantitative Finance, Isaac Newton Institute for Mathematical Sciences, Cambridge University, June 2005. 06/ Nour Meddahi, "Moments of Continuous Time Stochastic Volatility Models", HEC Lausanne, June 2005. 06/ Nour Meddahi, "Bootstrapping Realized Volatility", CIRANO and CIREQ Conference on Financial Econometrics, Montréal, May 2005. 06/ Nour Meddahi, "Bootstrapping Realized Volatility", Toulouse University, May 2005. 06/03 Jean-Marie Dufour, “Finite sample and optimal adaptive inference in possibly nonstationary general volatility models with Gaussian and heavy-tailed errors” (with Emma Iglesias), Journal of Applied Econometrics Lecture Series and Conference on Changing Structures in International and Financial Markets and the Effects on Financial Decision Making Conference, GRETA Associati (Venice; June 3, 2005). Paper presented by E. Iglesias. 06/23 Lynda Khalaf, “Structural Change and the Pass-through: The case of Canada”, with Maral Kichian, Society for Computational Economics, Washington, June 23, 2005. (Presented by Maral Kichian). 06/25 Lynda Khalaf, “Identification Robust Confidence Set Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time and Elasticities”, with Denis Bolduc and Clément Yélou, Society for Computational Economics, Washington, June 25, 2005. 06/30 Jean-Marie Dufour, “Finite and large sample distribution-free inference in linear median regressions under heteroskedasticity and nonlinear dependence of unknown form” (with Élise Coudin), Confereence in Tribute to Jean-Jacques Laffont (Université de Toulouse I – Sciences Sociales, Toulouse; June 30, 2005). Paper presented by E. Coudin. 07/ René Garcia, A Consumption Capital Asset Pricing Model with a Reference Level, Conference in tribute of Jean-Jacques Laffont, Toulouse, July 2005. 07/ Silvia Goncalves, Conference Presentation, NBER Summer Institute, NBER/NSF Forecasting Seminar, Boston (July). 07/ Marine Carrasco “Spectral method for deconvolving a density” (with J.P. Florens), presented at NBER-NSF CEME (Rochester, May 2001), at the Econometric Society Meeting (Atlanta, January 2002), at ISI conference (Sydney, April 2005), and at the conference in tribute of Jean-Jacques Laffont (Toulouse, July 2005). 07/ Marine Carrasco “Optimal Tests for Markov Switching” (with L. Hu and W. Ploberger), presented at the Society of Economic Dynamics conference (Florence, July 2004), and at the Econometric Study Group conference (Bristol, July 2004). 07/11 Lynda Khalaf, “Forecasting Commodity Prices: GARCH, Jumps, and Mean-Reversion”, with Jean-Thomas Bernard, Maral Kichian and Sébastien McMahon. Academy of International Business, Québec, July 11, 2005. 07/12 Jean-Marie Dufour, “Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis” (with Lynda Khalaf and Maral Kichian), National Bureau of Econometric Research Summer Institute 2005, NBER Economic Fluctuations and Growth, Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance (Cambridge, MA; July 12, 2005). Paper presented by L. Khalaf. 07/13 Lynda Khalaf, “Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis”, with Jean-Marie Dufour and Maral Kichian, National Bureau of Economic Research, Cambridge, July 13, 2005. 08/ René Garcia, "State dependence in Fundamentals and Preferences Explains Risk Aversion Puzzle", Econometric Society World Congress 2005, Août 2005, London, United Kingdom. 08/ Nour Meddahi, "Moments of Continuous Time Stochastic Volatility Models", World Congress of the Econometric Society, London, August 2005. 08/ Silvia Goncalves, Conference Presentation, 2005 Econometric Society World Congress 2005, London (August). 08/ Silvia Goncalves, Conference Presentation, 20th Annual Congress of the European Economic Association, Amsterdam (August). 08/ Benoit Perron, “Incidental Trends and the Power of Panel Unit Root Tests”, Congrès mondial, Econometric Society, Londres 08/08 Jean-Marie Dufour, “Improved Nonparametric Inference for the Mean of a Bounded Random Variable with Application to Poverty Measures” (with Mame Aste Diouf), Joint Statistical Meetings 2005, American Statistical Association (Minneapolis; August 8, 2005). Paper presented by M. Diouf. 08/09 Jean-Marie Dufour, “Short- and Long-run Causality Measures” (with Abderrahim Taamouti), Joint Statistical Meetings 2005, American Statistical Association (Minneapolis; August 9, 2005). Paper presented by A. Taamouti. 08/09 Jean-Marie Dufour, “Simplified Order Selection and Efficient Linear Estimation for VARMA Models” (with Tarek Jouini), Joint Statistical Meetings 2005, American Statistical Association (Minneapolis; August 9, 2005). 08/20 Jean-Marie Dufour, “Finite and large sample distribution-free inference in linear median regressions under heteroskedasticity and nonlinear dependence of unknown form” (with Élise Coudin), Econometric Society World Congress (University College London; August 20, 2005). Paper presented by E. Coudin. 08/21 Jean-Marie Dufour, “Testing portfolio eficiency with an unobservable zero-beta rate and possibly non-gaussian distributions: a finite-sample identification-robust ” (with M.-C. Beaulieu and L. Khalaf), Econometric Society World Congress (University College London; August 21, 2005). 08/21 Lynda Khalaf, “Testing Portfolio Efficiency with an unobservable zero-beta rate and non-Gaussian distributions: an exact identification-robust approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, World Congress of the Econometric Society, London, August 21, 2005. (Presented by Jean-Marie Dufour). 08/24 Jean-Marie Dufour, “Practical methods for modelling weak VARMA processes: identification, estimation and estimation with a macroeconomic application” (with Denis Pelletier), Econometric SocietyWorld Congress (University College London; August 24, 2005). Paper presented by D. Pelletier. 09/ René Garcia, A Consumption Capital Asset Pricing Model with a Reference Level, Seminar, Simon Fraser University, September 2005. 09/ René Garcia, The Value of Risk Management: A Frontier Analysis, Northern Finance Association, September 2005, Vancouver. 09/ Nour Meddahi, "Bootstrapping Realized Volatility, NBER-NSF Time Series Conference", Heidelber, September 2005. 09/13 Jean-Marie Dufour, “Finite sample and optimal adaptive inference in possibly nonstationary general volatility models with gaussian or heavy-tailed errors” (with Emma Iglesias), Department of Economics, Pennsylvania State University (University Park, Pennsylvania; September 13, 2005). Paper presented by E. Iglesias. 09/18 Lynda Khalaf, “Modelling Random Energy Demand Trend by Sector”, with Jean-Thomas Bernard, Marie-Élaine Denis and Clément Yélou, USAEE/IAEE, Denver, Colorado, 18-21 September, 2005. (Presented by Jean-Thomas Bernard). 09/24 Jean-Marie Dufour, “Finite sample and optimal adaptive inference in possibly nonstationary general volatility models with Gaussian or heavy-tailed errors” (with Emma Iglesias), NSF/NBER Time Series Conference (Heidelberg; September 24, 2005). Paper presented by E. Iglesias. 10/ Nour Meddahi, "Bootstrapping Realized Volatility, Oxford University, October 2005. 10/ Lynda Khalaf, “Structural Change and the Pass-through: The case of Canada”, with Maral Kichian, Computational Statistics and Data Analysis Conference, Cyprus, October 30, 2005. 10/ Marine Carrasco “Detecting Mean Reversion in Real Exchange Rates: Evidence from a Multiple Regime STAR Specification” (with Frédérique Bec and Mélika Ben Salem), presented at the 10th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics (Atlanta, March 2002), at the Midwest Econometrics Group conference (Chicago, October 2004). 10/ Silvia Gonçalves, 2005 Canadian Econometrics Study Group Conference, Simon Fraser University, Vancouver (october). 10/01 Lynda Khalaf, “Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Northern Finance Association, Vancouver, October 1, 2005. 10/08 Jean-Marie Dufour, “Are New Keynesian Phillips Curves Identified?” (with Lynda Khalaf and Maral Kichian), 60th International Atlantic Economic Conference (New York; October 8, 2005). Discussant: Yash Mehra (Federal Reserve Bank of Richmond). Paper presented by M. Kichian. 10/15 Jean-Marie Dufour, “Finite Sample and Optimal Adaptive Inference in Possibly Nonstationary General Volatility Models with Gaussian or Heavy -Tailed Errors” (with Emma Iglesias), Midwest Econometrics Group, Southern Illinois university (Carbondale, October 15, 2005). Paper presented by E. Iglesias. 10/22 Jean-Marie Dufour, Panel discussion on "Model Uncertainty, Identification and Selection in Econometrics" with Russell Davidson (McGill University), Bruce Hansen (University of Wisconsin) and Halbert White (University of California San Diego), 22nd Canadian Econometrics Study Group Conference, Simon Fraser University (Vancouver; October 22, 2005). 10/23 Jean-Marie Dufour, 9. “Short and Long Run Causality Measures” (with Abderrahim Taamouti), 22nd Canadian Econometrics Study Group Conference, Simon Fraser University (Vancouver; October 23, 2005). Paper presented by A. Taamouti. 10/28 Jean-Marie Dufour, “Finite sample and optimal adaptive inference in possibly nonstationary general volatility models with gaussian or heavy-tailed errors” (with Emma Iglesias), Department of Economics, Iowa State University (Ames Iowa; October 28, 2005). Paper presented by E. Iglesias. 11/ Marine Carrasco “On the asymptotic efficiency of GMM” with JP Florens, presented at the Information and Entropy Econometrics conference (Washington DC, October 2003), at the Econometric Society Winter Meetings (San Diego, January 2004), and at the CIRANO and CIREQ Conference on Operator Methods (Montreal, November 2004). 11/ René Garcia, "Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns", Seminar, Bank of Canada, November 2005. 11/ Nour Meddahi, "Testing Distributional Assumptions: A GMM Approach, Time Series Conference", November 2005. 11/ Nour Meddahi, "Bootstrapping Realized Volatility, CREST, November 2005. 11/ Benoit Perron, «An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors», Cornell University 11/ Benoit Perron, «An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors», Graduate School of Business, University of Chicago 11/ Lynda Khalaf, “Exact confidence set estimation and goodness-of-fit test methods for asymmetric heavy tailed stable distributions”, with Jean-Marie Dufour, Marie-Claude Beaulieu and Jeong-Ryeol Kurz-Kim, The Bundesbank conference on Heavy tails and stable Paretian distributions in finance and macroeconomics, Frankfort, 12 November, 2005. 11/04 Jean-Marie Dufour, "Finite and large sample distribution-free inference in linear median regressions under heteroskedasticity and nonlinear dependence of unknown form" (with Élise Coudin), Workshop on “New Trouble for Standard Regression Analysis”, Universität Regensburg (Germany; November 4, 2005). 11/04 Jean-Marie Dufour, "Testability issues in regression models" (with Frédéric Jouneau-Sion and Olivier Torrès),Workshop on “New Trouble for Standard Regression Analysis”, Universität Regensburg (Germany; November 4, 2005). Paper presented by O. Torrès. 11/05 Jean-Marie Dufour, Round table discussion on "Model selection" with Benedikt Pötscher (UniversitätWien) and Olivier Torrès (Université Charles-de-Gaulle Lille 3),Workshop on “New Trouble for Standard Regression Analysis”, Universität Regensburg (Germany; November 5, 2005). 11/07 Jean-Marie Dufour, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models” (with Mohamed Taamouti), Department of Statistics and Decision Support Systems, UniversitätWien (Vienna, Austria; November 7, 2005). 11/08 Lynda Khalaf, “Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis”, with Jean-Marie Dufour and Maral Kichian, Atlantic Economic Association meetings, New York, October 8, 2005. (Presented by Maral Kichian). 11/10-12 Jean-Marie Dufour, Conference on “Heavy tails and stable Paretian distributions in finance and macroeconomics in celebration of the 80th birthday of Professor Benoît Mandelbrot”, The Deutsche Bundesbank’s 2005 Annual Fall Conference (Frankfurt, Germany; November 10-12, 2005), main organizer (jointly with Jeong Kurz-Kim). 11/11 Jean-Marie Dufour, "Exact confidence set estimation and goodness-of-fit test methods for asymmetric heavy-tailed stable distributions" (with Lynda Lhalaf, Jeong-Ryeol Kurz-Kim and Marie-Claude Beaulieu), Conference on “Heavy Tails and Stable Paretian Distributions in Finance and Macroconomics, in celebration of the 80th birthday of Professor Benoît Mandelbrot”, Deutsche Bundesbank (Frankfurt, Germany; November 11, 2005). Paper presented by L. Lhalaf. 11/11 Jean-Marie Dufour, "Exact inference and optimal invariant estimation for the tail coefficient of symmetric alpha-stable distributions" (with Jeong-Ryeol Kurz-Kim), Conference on “Heavy Tails and Stable Paretian Distributions in Finance and Macroconomics, in celebration of the 80th birthday of Professor Benoît Mandelbrot”, Deutsche Bundesbank (Frankfurt, Germany; November 11, 2005). 11/11 Jean-Marie Dufour, Round table discussion on "The Role of Stable Distributions for Financial Market Analysis" with Benoît Mandelbrot (Yale University), Casper G. de Vries (Erasmus University Rotterdam), Paul Embrechts (ETH Zurich), Mico Loretan (Board of Governors of the Federal Reserve Board), J. Huston McCulloch (Ohio State University) and Stefan Mittnik Ludwigs-Maximilians-Universität München), Conference on “Heavy Tails and Stable Paretian Distributions in Finance and Macroconomics, in celebration of the 80th birthday of Professor Benoît Mandelbrot”, Deutsche Bundesbank (Frankfurt, Germany; November 11, 2005). 11/24 Jean-Marie Dufour, “Structural Estimation and Evaluation of Calvo-Style Models for Inflation Dynamics” (with Lynda Khalaf and Maral Kichian), Bank of Canada / Banque du Canada (Ottawa; November 24, 2005). 12/ Nour Meddahi, "Testing Distributional Assumptions: A GMM Approach", Seminar presentation, GREMARS, Lille, December 2005. 12/ Nour Meddahi, "Bootstrapping Realized Volatility", EC2 Conference, Istanbul, December 2005. 12/ Silvia Goncalves, Seminar Presentation, Universidade Nova de Lisboa (December 2005). 12/02-03 Nour Meddahi (responsable), Conférence CIREQ sur les séries temporelles / Time Series Conference. 12/03 Jean-Marie Dufour, “Short and Long Run Causality Measures: Theory and Inference” (with Abderrahim Taamouti), CIREQ Time Series Conference (Montréal; December 3, 2005).   2004 01 Jean-Marie Dufour, “Finite-Sample Simulation-Based Tests in VAR Models with applications to Order Selection and Causality Testing”, Conference in Honor of Clive W.J. Granger on Predictive methodology and Application in Economics and Finance, University of California, San Diego. pdf. 01 Rene Garcia, “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes”, Econometric Society Winter Meetings, San Diego, CA. 01 Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, ES Meetings, San Diego, California. 02 Jean-Marie Dufour, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, University of Southampton. pdf. 02 Jean-Marie Dufour, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, University of Alicate, Spain. pdf. 02 Jean-Marie Dufour, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for nonlinear Models”, Tinbergen Institute, University of Amsterdam. 03 Benoit Perron, “Long Memory and the Relation Between Implied and Realized Volatility”, University of Southern California, South California. 03 Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, Financial Econometrics Workshop, University of Waterloo. 04/2-3 René Garcia & Nour Meddahi (responsables), Conférence CIREQ-CIRANO Conference : Macroéconomie et finance: la structure à terme des taux d'intérêt / Macroeconomics and Finance: The Term Structure of Interest Rates. 04 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, University of Rochester. 05 Jean-Marie Dufour, “Tests exacts d'indépendance sérielle dans les cas de distributions continues et discrètes”, XXXVIe Journées de Statistique de Montpellier, France. (Presented by Abdeljelil Farhat). 05 Rene Garcia, “Estimation of Stable Distributions by Indirect Inference”, CIRANO-CIREQ Conference in Financial Econometrics, Montréal. 05 Lynda Khalaf, “Estimating New Keynesian Phillips Curves with Optimal Instruments”, (with J.-M. Dufour and M. Kichian), Société canadienne de science économique, Québec. 05 Lynda Khalaf, “Exact Multivariate Structural Change Tests with Application to Energy Demand Models”, Société canadienne de science économique, Québec. (Presented by Clément Yelou). 05 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu et J.-M. Dufour), CIREQ-CIRANO Financial Econometrics Conference, Montréal. 05 Benoit Perron, “Incidental Trends and the Power of Unit Root Tests”, Congrès de la Société canadienne de science économique, Québec. 05 Marcel Rindisbacher, “Explicit Solutions ofr a Portfolio Problem with Incomplete Markets and Investment Constraints”, Microstructure Conference, HEC Montréal, Montréal. 05 Roch Roy, “Goodness-of-fit tests for ARMA models with uncorrelated errors”, Probability and Statistics Seminar, Institut de Statistique et de Recherche Opérationnelle, Université Libre de Bruxelles. 05 Roch Roy, “Goodness-of-fit tests for ARMA models with uncorrelated errors”, Financial Econometrics Conference, CIRANO, Montréal. 05 Roch Roy, “Exact maximum likelihood estimation of structured or unit root multivariate time series models”, Annual Meeting of the Statistical Society of Canada, Montréal. 7-8 Nour Meddahi (responsable), Conférence CIREQ-CIRANO Conference : Économétrie de la finance / Financial Econometrics. 06 Jean-Marie Dufour, “A simple estimation method and finite-sample inference for a stochastic volatility model”, 2004, North American Summer Meeting of the Econometric Society, Brown University, Providence, Rhode Island. (Presented by Pascale Valéry). 06 Jean-Marie Dufour, “Finite Sample and Optimal inference in Possibly Nonsationary ARCH Models with Gaussian and Heavy-tailed Errors”, North American Summer Meeting of the Econometric Society, Brown University, Providence, Rhode Island. (Presented by Emma Iglesias). 06 Jean-Marie Dufour, “Structural Change and dynamics of Energy Prices”, (with J.-T. Bernard, L. Khalaf and M. Kichian), MITACS 5th Annual Conference, Dalhousie, Halifax. 06 Lynda Khalaf, “Are the New Keynesian Phillips Curves identified”, ( with J.-M. Dufour and M. Kichian), North American Meeting of the Econometric Society, Providence. (Presented by Maral Kichian). 06 Lynda Khalaf, “Simulation-Based Finite Sample inference in Simultaneous Equations”, (with J.-M. Dufour), North American Meeting of the Econometric Society, Providence. 06 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), MITACS Risk and Insurance Theme Meeting, Dalhousie University, Halifax. 06 Benoit Perron, “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, 11th International Conference on Panel Data, College Station, Texas. 06 Benoit Perron, “Long Memory and the Relation Between Implied and Realized Volatility”, MITACS Annual Conference, Halifax. 06 Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, Canadian Statistical Society, Montréal. 07 Lynda Khalaf, “Are the New Keynesian Phillips Curves identified”, (with J.-M. Dufour and M. Kichian) Society for Economic Dynamics, Florence. (Presented by Maral Kichian). 07 Lynda Khalaf, “Are the New Keynesian Phillips Curves identified?”, (with Jean-Marie Dufour and Maral Kichian), Society for Computational Economics, Amsterdam. (Presented by Maral Kichian). 07 Lynda Khalaf, “Estimating New Keynesian Phillips Curves with Optimal Instruments”, Banque de France. (Presented by Maral Kichian). 07 Lynda Khalaf, “Estimating New Keynesian Phillips Curves with Optimal Instruments”, Bank of England. (Presented by Maral Kichian). 08 Jean-Marie Dufour, “A simple estimation method and finite-sample inference for a stochastic volatility model”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Pascale Valéry). 08 Jean-Marie Dufour, “Finite-Sample inference methods for autoregressive processes: an approach based on truncated pivotal autoregression”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Malika Neifar). 08 Jean-Marie Dufour, “Point-Opptimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. 08 Jean-Marie Dufour, “Testability and non-testability in semiparametric regression models”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Olivier Torrès). 08 Rene Garcia, “Estimation of Stable Distributions by Indirect Inference,” Econometric Society European Meeting, Madrid. 08 Roch Roy, “Goodness-of-fit tests for ARMA models with uncorrelated errors”, EEA-ESEM 2004, Madrid. 09 Jean-Marie Dufour, “Finite-Sample Simulation-Based Tests in VAR Models with applications to Order Selection and Causality Testing”, Canadian Econometric Study Group, Toronto. (Presented by Tarek Jouini). pdf. 09 Jean-Marie Dufour, “Testability and non-testability in semiparametric regression models”, Maastricht Research Institute/School of Economics and Organizations. (Presented by Olivier Torrès). 09 Rene Garcia, “Estimation of Stable Distributions by Indirect Inference,” Canadian Econometric Study Group, York University, Toronto. 09 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), Canadian Econometric Study Group Meeting, Toronto. 09 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour) Northern Finance Association Meetings, St John, Newfoundland. 09 Lynda Khalaf, “Exact Multivariate Structural Change Tests with Application to Energy Demand Models”, Journée des Chercheurs, Colloque Monder, Québec. 09 Benoit Perron, “An Analysis of Nonstatonarity in Panels of Exchange Rates and Interest Rates and Interest Rates with Factors”, Canadian Econometric Study Group, Toronto. 10 Rene Garcia, “A Consumption Capital Asset Pricing Model with a Reference Level” Seminar, University of Amsterdam. 10 Rene Garcia, “A Consumption Capital Asset Pricing Model with a Reference Level”, Seminar, University of Tilburg. 10 Jean-Marie Dufour., "Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models" (with Mohamed Taamouti), Harvard-MIT Econometrics Seminar, Massacgusetts Institute of Technology (Cambridge, MA). 10 Jean-Marie Dufour., "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Tests" (with Tarek Jouini), Department of Economics, Boston University (Boston, MA; October 29, 2004). 11/5-6 Nour Meddahi (responsable), Opérateurs en microéconométrie, séries temporelles et finance / Operator Methods in Microeconometrics, Time Series and Finance.   2003 01 Jean-Marie Dufour, “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach” (with M.-C. Beaulieu and L. Khalaf), North American Winter Meeting of the Econometric Society, University of Pennsylvania. 01 Rene Garcia, “A Consumption Capital Asset Princing Model with a Reference Level, Econometrics Siciety Winter Meeting, Washington, D.C.. 01 Jean-Marie Dufour, “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach”, (with M.-C. Beaulieu and L. Khalaf), North American Winter Meeting of the Econometric Society, University of Pennsylvania. 01 Rene Garcia, “A Consumption Capital Asset Princing Model with a Reference Level, Econometrics Siciety Winter Meeting, Washington, D.C.. 01 Nour Meddahi, “Moments of Continuous Time Stochastic Volatility Models, North American Winter Meeting of the Econometric Society, Washington. 02 Jean-Marie Dufour, “Projection techniques for statistical inference on structural models with possibly weak instruments” (with M. Taamouti), Brown University. 03/ Jérôme Detemple, CIRANO-MITACS-RCM2 Conference on Portfolio Choice - March 2003 - Montréal. 03 Lynda Khalaf, “Exact Skewness and Kurtosis Tests for Multivariate Normality and Goodness of Fit in Multivariate Regressions with Application to Asset Pricing Models” (with M.-C. Beaulieu and J.-M. Dufour), Montreal Econometrics Seminar / Atelier d'économétrie de Montréal, Montréal. 03 Lynda Khalaf, “Exact Skewness and Kurtosis Tests for Multivariate Normality and Goodness of Fit in Multivariate Regressions with Application to Asset Pricing Models”, Montreal Econometrics Seminar / Atelier d'économétrie de Montréal, Montréal. 03 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling” Harvard-MIT Econometrics seminar. 04/4 Jérôme Detemple, René Garcia & Nour Meddahi (responsables), CIRANO-MITACS Conference on Monte Carlo and Numerical Methods in Finance - April 2003. 05/2-3 Jean-Marie Dufour, Lynda Khalaf, Marie-Claude Beaulieu, A. Craig MacKinlay (responsables), Simulation Based and Finite Sample Inference in Finance. 05/9-10 Nour Meddahi (responsable), Conférence en économétrie de la finance / Financial Econometrics Conference. 05 Jean-Marie Dufour, “Finite sample Multivariate Diagnostic Tests of Asset Pricing Models” (with M.-C. Beaulieu and L. Khalaf), Séminaire d'économétrie de Montréal/Montreal Econometrics Seminar, Université de Montréal (paper présented by L. Khalaf). 05 Jean-Marie Dufour, “Finite sample Multivariate Diagnostic Tests of Asset Pricing Models” (with M.-C. Beaulieu and L. Khalaf), Séminaire d'économétrie de Montréal/Montreal Econometrics Seminar, Université de Montréal, (paper présented by L. Khalaf). 05 Lynda Khalaf "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models" (with J.-M. Dufour and Marie-Claude Beaulieu), 37th Annual Meetings of the Canadian Economics Association, Carleton University (Ottawa; May 31, 2003). 05 Benoit Perron, “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, Congrès de la Société canadienne de science économique. 06 Roch Roy, “Test d'adéquation de modèles ARMA avec erreurs non indépendantes” (with C. Francq and J.-M. Zakoïan) 35e Journées de statistique, Lyon. 08 Roch Roy, “A generalized portmanteau test for independence of two infinite order vector autoregressive series” (with C. Bouhaddioui), Joint Statistical Meetings, San Francisco. 08 Roch Roy, “Goodness-of-fit tests for ARMA models with uncorrelated errors” (with C. Francq and J.-M. Zadoïan), 54e session of the International Statistical Institute, Berlin. 08 Lynda Khalaf "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models" (with J.-M. Dufour and Marie-Claude Beaulieu), Annual Meeting of the American Statistical Association (San Francisco; August 8, 2003). 08 Jean-Marie Dufour, "The Dependence of Test Size and Power on Nuisance Parameters in Autoregressive Models" (with Jan Kiviet), 58th European meeting of the Econometric Society, Stockholm University (Stockholm; August 22, 2003). 08 Lynda Khalaf, "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models" (with J.-M. Dufour and Marie-Claude Beaulieu), 58th European meeting of the Econometric Society, Stockholm University (Stockholm; August 20, 2003). Paper presented by Lynda Khalaf and Marie-Claude Beaulieu. 10 Jean-Marie Dufour, "Testing Black's CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach " (with M.-C. Beaulieu and L. Khalaf), Séminaire d'Économie, Finance et Ingénierie Financière, École des Hautes Études Commerciales de Montréal (October 17, 2003). 11/ Nour Meddahi (responsable), Colloque CIREQ-CIRANO Conference : Volatilité réalisée / Realized Volatility. 11 Jean-Marie Dufour, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, Vanderbilt University, Nashville, Tennessee. pdf. 11 Rene Garcia, “Proper Conditioning for Coherent VaR in Portfolio Management”, Conference on New Directions in Financial Risk Management, Frankfurt. 12 Jean-Marie Dufour, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London. pdf. 12 Lynda Khalaf, “Simulation-Based Finite Sample inference in Simultaneous Equations”, with Jean-Marie Dufour, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London. 12 Jean-Marie Dufour, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for nonlinear Models”, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London (presented by M. Taamouti). 12 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), Queen Mary University of London. 12 Benoit Perron, “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, University of Rochester, Rochester. 12 Marcel Rindisbacher, “A Monte Carlo Method for Optimal Portfolios”, Workshop on Monte Carlo Methods, Los Alamos.   2002 01/ Jerome Detemple, Session Chairman, AFA 2002. 02/01 Rene Garcia, “Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility”, Econometric Society Winter Meetings, Atlanta. 02/01 Rene Garcia, “Empirical Assessment of an intertemporal Option Pricing Model whit Latent Variables”, Fields Institute, University of Toronto. 02/01 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling”, North American Econometric Society Meeting, Atlanta. 02/01 Benoit Perron, “Long Memory and Relation Between Implied and realized volatility”, North America Winter Meeting of the Econometrics Society, Atlanta 02/02 Marcel Rindisbacher, “A Monte Carlo Method for Optimal Portfolios”, Finance Seminar, London Business School. 02/03 Jerome Detemple, “Optimal Asset Allocation”, London Business School. 02/03 Rene Garcia, “Empirical Assessment of an intertemporal Option Pricing Model whit Latent Variables”, Department of Economics, University of Toronto. 02/03 Nour Meddahi, “A theoretical Comparison Between Integrated and Realized Volatility”, University of Pennsylvania. 02/03 Roch Roy “Tests d'indépendance de deux séries chronologiques multivariées : de la stationnarité à la non stationnarité”, Statistics Seminar, Université Laval. 02/04 Jean-Marie Dufour, and Mohamed Taamouti, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, Séminaire Matuszewski, Université Laval. pdf. 02/04 Nour Meddahi, “Testing Normality: A GMM Approach”, Pittsburgh University. 02/04 Benoit Perron, “Testing for a Unit Root in Panels with Dynamic Factors”, Université de Montréal, Montréal. 02/05 Jerome Detemple, “Derivatives Securities”, AFA, Atlanta. 02/05 Jean-Marie Dufour, “Simulation tests and diagnostics for outliers in linear regressions”, 34e Journées de Statistique, Université Libre de Bruxelles, paper presented by A. Farhat. 02/05 Jean-Marie Dufour, “Goodness-of-fit tests for an exponential distribution based on Monte Carlo methods”, Third Annual General Meeting of the MITACS, paper presented by A. Farhat. 02/05 Jean-Marie Dufour, “Point-optimal instruments and generalized Anderson-Rubin procedures for nonlinear models”, 36th Annual Meetings of the Canadian Economics Association, paper presented by M. Taamouti, Calgary. 02/05 Jean-Marie Dufour, “A Simple Estimation Method and Finite-sample Inference for a Stochastic Volatility Model”, 36th Annual Meetings of the Canadian Economics Association, paper presented by P. Valery, Calgary. 02/05 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Conference on State-Space Models, Regime Switching and Identification, Washington University, St-Louis. 02/05 Rene Garcia, Discussion: Ratchet Effects, Blasé Behavior, and Asset Returns, by S. Gordon and P. St-Amour, Société Canadienne de Science Économique, Aylmer. 02/05 Rene Garcia “Recent Development in Option Pricing Theory and Econometrics”, State-of-the-Art Lecture, Canadian economic Association, Calgary. 02/05 Lynda Khalaf, “Tests d’hypothèses multiples exarcts bases sur des simulations”, 42e Annual Meeting of the Société canadienne de Science économique, Aylmer. 02/05 Lynda Khalaf, “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Canadian Economic Association Meeting, Montréal. Discussant: KaMan Lo, University of Western Ontario. 02/05 Lynda Khalaf, “Simulation-based Multiple hypothesis tests”, with Jean-Marie Dufour. Congrès Annuel de la Société canadienne de science économique, Aylmer. Discussant: John Galbraith, McGill University. 02/05 Lynda Khalaf, “Testing The CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, with Marie-Claude Beaulieu and Jean-Marie Dufour, Worshop on Univariate and Multivariate Models for Asset Pricing, CIREQ-CIRANO, Université de Montréal. 02/05 Nour Meddahi, “Moments of Continuous Time Stochastic Volatility Models”, CIREQ-CIRANO-MITACS Conference, Université de Montréal. 02/05 Roch Roy, “Robust tests in time series” (with P. Duchesne), Annual Meeting of the Statistical Society of Canada, Hamilton. 05/3-4 Nour Meddahi (responsable), Colloque CIREQ-CIRANO Conference, Modèles univariés et multivariés pour l'évaluation des actifs financiers / Univariate and Multivariate Models for Asset Pricing. 02/06 Jean-Marie Dufour, Annual Meeting of the Canadian Economics Association, chief organizer, Calgary. 06/ Marine Carrasco “Tests for unit-root versus Threshold specification with an application to the PPP” (with Frédérique Bec and Mélika Ben Salem), presented at the Canadian Economic Association (Montreal, June 2001), at the Econometric Society Meeting (Los Angeles, June 2002). 02/06 Jean-Marie Dufour, “Linear Estimation of Weak VARMA Models”, 2002 North American Summer Meeting of the Econometric Society, University of California LA, paper presented by D. Pelletier. 02/06 Jean-Marie Dufour, “Linear Estimation of Weak VARMA Models”, 2002 Joint Statistical Meetings, New York, paper presented by D. Pelletier. 02/06 Jean-Marie Dufour, “Projection techniques for statistical inference on structural models with possibly weak instruments”, Institut d’Économie Industrielle, Université de Toulouse, paper presented by M. Taamouti. 02/06 Lynda Khalaf, “Testing CAPM with Possibly Non-Gaussian Errors Distributions: an Exact Simulations-Based Approach”, American University of Beirut, Lebanon. 02/06 Nour Meddahi, “A Theoretical Comparison Between Integrated and Realized Volatility”, Canadian Economic Association Meeting, Calgary. 02/06 Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, Second World Congress of the Bachelier Society, Crete. 02/06 Marcel Rindisbacher, “Explicit Solutions for a Portfolio Problem with Incomplete Markets and Investment Constraints”, Bachelier Finance Seminar, Institut Henri Poincaré, Paris. 02/06 Marcel Rindisbacher, “Explicit Solutions for a Portfolio Problem with Incomplete Markets and Investment Constraints”, European Summer Symposium on Financial markets, Gerzensee, Switzerland. 02/06 Roch Roy “Tests d'indépendance de deux séries chronologiques multivariées : de la stationnarité à la non stationnarité”, Séminaire du Laboratoire de Mathématiques Pures et Appliquées Joseph Liouville, Université du Littoral, Calais. 06/17 Nour Meddahi (responsable), Conférence CIRANO-CIREQ Conference: Forecasting in Macroeconomics and Finance. 02/07 Rene Garcia, “A Consumption Capital Asset Pricing Model with a Reference Level”, National Taiwan University, Taipei. 02/07 Rene Garcia, “Nonparametric Option Pricing”, Workshop in Computational Finance, The 2002 Taipei International Statistical Symposium and Bernoulli Society EAPR Conference, Taipei. 02/07 Rene Garcia, “State Variables, Preferences and Option Pricing” Workshop in Computational Finance, The 2002 Taipei International Statistical Symposium and Bernoulli Society EAPR Conference, Taipei. 02/07 Rene Garcia, “Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility”, Workshop in Computational Finance, The 2002 Taipei International Statistical Symposium and Bernoulli Society EAPR Conference, Taipei. 02/07 Benoit Perron, “The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model”, Current Advances and Trends in Nonparametric Statistics, Crete, Greece. 02/08 Lynda Khalaf, “Exact Testing of the Stability of the Phillips Curve”, with M. Kichian, Bank of Canada Workshop on the Phillips Curve, Ottawa, 02/08 Nour Meddahi, “Testing Distributional Assumptions: A GMM Approach” American Statistical Association Meeting, New-York City. 02/08 Lynda Khalaf, “Simulation-based Finite-sample tests for heteroskedasticity and ARCH Effects”,(with M.-C. Beaulieur and J.-M. Dufour), 2002, Joint Statistical Meeting, New York. 02/08 Lynda Khalaf and M.-C. Beaulieu, “Testing CAPM with Possibly Non-Gaussian Errors Distributions: an Exact Simulations-Based Approach”, (with J.-M. Dufour), 57th European Meeting of the Econometric Society, Venice. 02/09 Jean-Marie Dufour, “Testing CAPM with Possibly Non-Gaussian Errors Distributions: an Exact Simulations-Based Approach”, (with L. Khalaf), Northern Finance Association Annual Meeting, Banff, paper presented by M.-C. Beaulieu. 02/09 Nour Meddahi, “Analytic Evaluation of Volatility Forecasts”, Universite de Montreal. 02/09 Nour Meddahi, “Testing Normality: A GMM Approach”, NSF-NBER Time Series Conference, Philadelphia. 02/09 Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, NFA 2002, Banff. 02/10 Jean-Marie Dufour, “Testing mean-variance efficiency in CAPM with possibly non-gaussian error distributions: an exact simulation-based approach” (with M.-C. Beaulieu et L. Khalaf), Workshop on Computational economics and finance: simulation methods and agent based models for the foreign exchange market, Eltville. 02/10 Jean-Marie Dufour, “Testing mean-variance efficiency in CAPM with possibly non-gaussian error distributions: an exact simulation-based approach” (with M.-C. Beaulieu et L. Khalaf), Faculty of Economics and Econometrics, University of Amsterdam. 02/10 Jean-Marie Dufour, “Projection techniques for statistical inference on structural models with possibly weak instruments” (with M. Taamouti), Canadian Econometrics Study Group, Université Laval, Québec. 02/10 Nour Meddahi, “Testing Normality: A GMM Approach”, Princeton University. 02/10 Nour Meddahi, “Moments of Continuous Time Stochastic Volatility Models”, Canadian Econometric Study Group Meeting, Quebec City. 02/10 Jean-Marie Dufour, “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach”, (with M.-C. Beaulieu and L. Khalaf), University of Amsterdam. 10/25-26 René Garcia et Éric Renault (responsables), Atelier CIRANO-CIREQ-KLUWER en économétrie de la finance / CIRANO-CIREQ-KLUWER Workshop in Financial Econometrics, Montréal. 02/11 Jean-Marie Dufour, “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach”, Pacific Institute for the Mthematical Sciences, Vancouver. 02/11 Jean-Marie Dufour, “Projection techniques for statistical inference on structural models with possibly weak instruments” (with M. Taamouti), Cornell University. 02/11 Jean-Marie Dufour, “Testing mean-variance efficiency in CAPM with possibly non-gaussian error distributions: an exact simulation-based approach” (with M.-C. Beaulieu et L. Khalaf), University of British Columbia, Vancouver. 02/12 Jean-Marie Dufour, “Residual-Based Finite-Sample Mispecification Tests in Multivariate Regressions with Application to Asset Pricing Models”, Conference on Model Selection and Evaluation, Bologna, Italy. 02/12 Lynda Khalaf, “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach”, North American Meetings of the Econometrics Society, Washington. 2001 01/01 Jerome Detemple, “A Monte-Carlo Method for Optimal Portfolios”, Mathematical Finance Conference, IPAM, UCLA, scheduled. 01/01 Jean-Marie Dufour, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models” (with Marie-Claude Beaulieu and Lynda Khalaf), The Fields Institute for Research In the Mathematical Sciences, Toronto. 01/01 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Séminaire, Banque du Canada. 01/01 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Centre de recherche en Économie et statistique, INSEE Paris, France. 01/01 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. The Fields Institute for Reserach in the Mathematical Sciences, Toronto. (Presented by Jean-Marie Dufour). 01/02 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Finance Day, Mitacs-CIRANO Workshop, CRM, Montréal, February 2001 01/02 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Institut d’affaires économiques, Université de Lille, Lille, France. (Presented by Marie-Claude Beaulieu). 01/02 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Département de Statistiques, Université Laval, Québec. 01/02 Nour Meddahi, “An Eigenfuction Approach for Volatility Modeling”, CIRANO, Montréal. 01/03 Eric Renault, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Séminaire de Finance, Concordia University. 01/04 Jerome Detemple, “A Monte-Carlo Method for Optimal Portfolios”, New York University, Courant Institute, New York. 01/04 Jerome Detemple, “A Monte-Carlo Method for Optimal Portfolios”, MIT, Boston. 01/04 Jean-Marie Dufour, “Invariant Tests Based on M-Estimators, Estimating Functions and the Generalized Method of Moments” (with Alain Trognon), Tinbergen Institute, Amsterdam. 01/04 Nour Meddahi, “An Eigenfuction Approach for Volatility Modeling”, Triangle Seminar, Caroline du Nord. 01/04 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling,’’ CRDE Conference on Modeling, Estimating and Forecasting Volatility, Montreal, Canada. 01/04 Benoit Perron, “Long Memory and the Relation Between Implied and Realized Volaticity”, CRDE, Workshop on Volatility Modeling. 01/04 Eric Renault, “Iterative and Recursive Estimation in Structural Non-Adaptive Models”, Séminaire d’économétrie, University of British Columbia. 01/04 Eric Renault, “Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility”, Workshop CRDE on Stochastic Volatility. 01/04 Marcel Rindisbacher, “A Monte Carlo Method for Optimal Portfolios”, Finance Seminar, MIT. 01/04 Marcel Rindisbacher, “A Monte Carlo Method for Optimal Portfolios”, Conference New Directions in Risk Management. 01/05 Jean-Marie Dufour, “Tests exacts basés sur des simulations dans les modèles de régression multivariées: application aux modèles d’évaluation d’actifs financiers” (with Marie-Claude Beaulieu and Lynda Khalaf), 41th Annual Meeting of the Société canadienne de Science économique, Hilton Hotel, Québec. 01/05 Jean-Marie Dufour, “Une méthode linéaire pour des modèles de séries chronologiques non linéaires” (with Denis Pelletier and Lynda Khalaf), 41th Annual Meeting of the Société canadienne de Science économique, Hilton Hotel, Québec. 01/05 Jean-Marie Dufour, “Test d’Anderson-Rubin généralisé et instruments optimaux” (with Mohamed Taamouti), 41th Annual Meeting of the Société canadienne de Science économique, Hilton Hotel, Québec. 01/05 Jean-Marie Dufour, “L’économétrie et les sciences économiques”, Association internationale des économistes de langue française, Hôtel du Parc, Montréal. 01/05 Rene Garciae “State variables, Preferences and Option Pricing, International Conference in Financial Econometrics”, Delphi (Greece). 01/05 Lynda Khalaf, “Simulation-Based Exact Tests for Jump Diffusions with Unidentified Nuisance Parameters: An Application to Commodities Spot Prices”, with Jean.-Daniel Saphores and Jean.-François Bilodeau. Congrès Annuel de la Société canadienne de recherche opérationnelle conjointement avec les Journées de l’optimisation, Québec. 01/05 Lynda Khalaf, “Méthodes d’induction statistique d’échantillons finis dans le cadre des modèles discrets/continus”, with Denis Bolduc and Erick Moyneur. Congrès Annuel de la Société canadienne de science économique, Québec. Discussant : Denis Pelletier, Université de Montréal. (Presented by Erick Moyneur). 01/05 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Congrès Annuel de la Société canadienne de science économique, Québec. Discussant : Georges Dionne, École des Hautes Études Commerciales, Université de Montréal. 01/05 Nour Meddahi, “Testing Distributional Assuptions: A GMM Approach” (with C. Bontemps), Canadian Economic Association Meeting, Montréal. 01/05 Nour Meddahi, “Testing Distributional Assuptions: A GMM Approach” (with C. Bontemps”, CEMFI, Madrid. 01/05 Benoit Perron, “Long Memory and the Relation Between Implied and realized volatility”, Congrès de la Société canadienne de science économique, Québec. 01/05 Eric Renault, “Iterative and Recursive Estimation in Structural Non-Adaptive Models”, Princeton University. 01/05 Eric Renault, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Canadian Economic Association. 01/05 Eric Renault, “Calibration en Économétrie”, Association des Économistes de Langue Française, Montréal. 01/05 Eric Renault, “Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility”, International Conference Financial Econometrics, Delphi. 01/06 Jerome Detemple, “Dynamic Asset Allocation with Event Risk”, WFA, Ventana Canyon. 01/06 Jerome Detemple, “Conference of Financial Mathematics and Econometrics”, CIRANO, Montréal, Session Chair. 01/06 Jean-Marie Dufour, “Linear Methods for Nonlinear Time series Models” (with Denis Pelletier, Lynda Khalaf and Marine Carrasco), 35th Annual Meetings of the Canadian Economics Association, McGill University, Montréal. 01/06 Jean-Marie Dufour, “Statistical Inference and Projection Techniques in Simultaneous Equations Models” (with Mohamed Taamouti), 35th Annual Meetings of the Canadian Economics Association, McGill University, Montréal. 01/06 Jean-Marie Dufour, “Monte Carlo Tests Applied to Models Estimated by Indirect Inference” (with Pascale Valéry and Jimmy Royer), 35th Annual Meetings of the Canadian Economics Association, McGill University, Montréal. 01/06 Jean-Marie Dufour, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models” (with Marie-Claude Beaulieu, Lynda Khalaf and Raymond Kan), 35th Annual Meetings of the Canadian Economics Association, McGill University, Montréal. 01/06 Jean-Marie Dufour “Invariant Tests Based on M-Estimators, Estimating Functions and the Generalized Method of Moments” (with Alain Trognon), York’s Annual One-Day Meeting in Econometrics, The University of York, England. 01/06 Jean-Marie Dufour “Projection techniques for statistical inference on structural models with possibly weak instruments” (with Mohamed Taamouti), Séminaire d’Économétrie de M. Edmond Malinvaud (Économétrie théorique et appliqué), CREST, Paris. 01/06 Jean-Marie Dufour “Projection techniques for statistical inference on structural models with possibly weak instruments” (with Moohamed Taamouti), Deuxième Rencontre d’Économétrie et Statistique Lille 3 – Littoral, Université de Lille 3, Lille, France. 01/06 Jean-Marie Dufour “Statistical inference and projection techniques in simultaneous equations models” (with Mohamed Taamouti), 2001 North American Meeting of the Econometric Society (University of Maryland, College Park, Maryland). Presented by M. Taamouti. 01/06 Rene Garcia “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Western Finance Association Annual Meetings, Tucson, Arizona. 01/06 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Finance Division of the University of British-Columbia, Vancouver, June 2001. (Presented by Marie-Claude Beaulieu). 01/06 Lynda Khalaf, “Simulation-Based Tests of Pricing-to-Market”, with Maral Kichian. Canadian Economic Association Meeting, Montréal. Discussant: Christopher Nicols, University of Regina 01/06 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. Canadian Economic Association Meeting, Montréal. Discussant: Raymond Kan, University of Toronto. 01/06 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling” CIRANO Conference on Financial Mathematics and Econometrics, Montreal, Canada. 01/06 Benoit Perron, “The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purchasing Power Parity”, Annual meeting of the Canadian Economics Association, Montréal. 01/07 Roch Roy, “Consistent tests for independence against serial dependence of unknown form” (whit P. Duchesne), Statistics 2001 Canada, Fourth Canadian Conference in Applied Statistics, Concordia University. 01/08 Nour Meddahi “An Eigenfunction Approach for Volatility Modeling” European Econometric Society Meeting, Lausanne, Switzerland. 01/08 Nour Meddahi “Testing Distributional Assumptions: A GMM Approach’’ (whit Christian Bontemps), European Econometric Society Meeting, Lausanne, Switzerland. 01/08 Roch Roy, “Consistent tests for independence against serial dependence of unknown form” (whit P. Duchesne), Joint Statistical Meetings, American Statistical Association, Atlanta, Georgia. 01/09 Lynda Khalaf, “Simulation-Based Exact Tests for Heteroskedasticity and ARCH effects”, with Jean-Marie Dufour, Jean-Thomas Bernard and Ian Genest, Canadian econometric Study Group Meetings, Waterloo, Ontario. 01/09 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling”, International Conference on Modeling and Forecasting Volatility, Perth, Australia. 01/09 Eric Renault “Minimum chi-square and Conditional moments Restrictions”, CESG, Waterloo. 01/10 Jerome Detemple “A Monte-Carlo Method for Optimal Portfolios”, Boston College, Boston. 01/10 Jean-Marie Dufour “Monte Carlo Tests whit Nuisance parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics in Econometrics”, CRDE Colloquium on Resampling Methods in Econometrics Université de Montréal, Montréal. 01/10 Jean-Marie Dufour “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models” (with Marie-Claude Beaulieu and Lunda Khalaf), Finance Day CIRANO, Montréal. 01/10 Jean-Marie Dufour and Benoit Perron “Resampling Methods in Econometrics” Montréal. 01/10 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Graduate Business School, University of Chicago, October 2001. 01/10 Nour Meddahi, “An Eigenfunction Approach for Volatility Modeling”, University of Chicago. 01/10 Benoit Perron, “Long Memory and Relation Between Implied and realized volatility”, Canadian Econometric Study Group, Waterloo, Ontario. 01/10 Eric Renault “Minimum chi-square and Conditional moments Restrictions”, University of Pennsylvania. 01/11 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Finance Department, Boston College. 01/11 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, McGill University. 01/11 Rene Garcia, “A Monte Carlo Approach for Optimal Portfolios”, ITAM, Mexico. 01/11 Nour Meddahi, “A Theoretical Comparison between Intefrated and Realized Volatilities”, Université de Montréal, Montréal. 01/11 Nour Meddahi, “Testing Normality: A GMM Approach”, Queen's University. 2000 00/11 Jean-Marie Dufour, “Processus de Markov et procédures d'inférence pour des modèles autorégressifs stationnaires et non-stationnaires”, Département de mathématiques et de statistique, Université Laval. 00/11 Jean-Marie Dufour, “Dévergondages asymptotiques – QD : une méthode simple et rapide pour construire des tests asymptotiques sans connaître la distribution asymptotique de la statistique de test”, C.R.D.E., Université de Montréal. 00/11 Eric Renault, “Iterative and Recursive Estimation in Structural Non-Adaptive Models”, Séminaire d’Économétrie, University of Iowa. 00/11 Eric Renault, “Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility”, Séminaire CIRANO, Montréal. 00/12 Jerome Detemple, “A Monte-Carlo Method for Optimal Portfolios”, Canadian Mathematical Society, Vancouver, Canada, scheduled. 00/12 Jean-Marie Dufour, “Exact Simulation-Based tests in Multivariate Regressions: Applications to Asset Pricing Models” (with Marie-Claude Beaulieu and Lynda Khalaf), Meeting, Trinity College Dublin. 00/12 Rene Garcia, “Empirical Assessment of an Intertemporal Option Pricing Model with latent Variables”, Conférence ESC et IDEI, Toulouse. 00/12 Lynda Khalaf, “Exact Simulation-Based Tests in Multivariate Regressions: Applications to Asset Pricing Models”, with Marie-Claude Beaulieu and Jean-Marie Dufour. EC2 Conference on Likelihood Methods in Econometrics, Dublin 00/12 Eric Renault, “Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility”, Séminaire de Probabilité, Université de Paris 6. 00/12 Eric Renault, “Iterative and Recursive Estimation in Structural Non-Adaptive Models”, Séminaire d’Économétrie, Chicago Graduate School of Business. 1999 99/02 Jerome Detemple, “Dynamic Equilibrium with Liquidity Constraints”, Boston University (Mathematical Finance Seminar - Mathematics Department). 99/02 Jerome Detemple, “Non-traded Asset Valuation with Portfolio Constraints: a Binomial Approach”, Boston University (Finance). 99/02 Jean-Marie Dufour, “Simulation Based Finite and Large Sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions”, Department of Economics, University of Bristol. 99/02 Jean-Marie Dufour, “Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics in Econometrics”, Department of Economics, University of Bristol. pdf. 99/03 Jerome Detemple, “Dynamic Equilibrium with Liquidity Constraints”, Carnegie-Mellon University. 99/03 Nour Meddahi, “High Frequency Data in Continuous Time”, York University. 99/03 Nour Meddahi, “High Frequency Data in Continuous Time”, Windsor University. 99/04 Nour Meddahi, “Estimation of Dynamic Models by QML and GMM Methods: A Monte Carlo Study”, CREST, INSEE, Paris. 99/04 Jerome Detemple, Derivative Securities Conference, Boston University, Session Chairman. Interest Rate Derivatives. 99/04 Jerome Detemple, “Non-traded Asset Valuation with Portfolio Constraints: a Binomial Approach”, Mathematical Finance Day (MFD), Boston University. 99/04 Benoit Perron, “Régressions semi-paramétriques avec instruments faibles et relation entre le risque et les rendements”/Semi-parametric Weak Instrument Regressions with an Application to the Risk-Return Tradeoff”, University of Windsor. 99/04 Rene Garcia, “Nonparametric Methods in Finance”, ENSAI, Rennes. 99/05 Rene Garcia, “Nonparametric Estimation of Option Pricing Functions under Monotonicity and Convexity Restrictions, Optimization Days”, Montréal. 99/05 Rene Garcia, “A Monte Carlo Method for Optimal Portfolios”, Mathematical Finance Conference, HEC, Montreal.. 99/05 Rene Garcia, “Asymmetric Smiles, Leverage Effects and Structural Parameters”, Fields Institute Seminars in Finance. 99/05 Jean-Marie Dufour, “Régions de confiance pour les paramètres calibrés de modèles calculables d'équilibre général'', Annual meeting of the Société canadienne de science économique, Hull, Québec. 99/05 Jean-Marie Dufour, “Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics in Econometrics”, Department of Economics, Stanford University. pdf. 99/06 Jean-Marie Dufour, “Simulation-Based Finite and Large Sample Inference Methods in Simultaneous Equations” (with Lynda Khalaf), Society for Computational Economics (Boston College). Presentation by Lynda Khalaf. 99/06 Rene Garcia, “Asymmetric Smiles, Leverage Effects and Structural Parameters”, Columbia University - CIRANO Conference. 99/06 Nour Meddahi, “High Frequency Data in Continuous Time”, Nuffield College. 99/06 Eric Renault, “Dynamic Factor Models”, Invited Lecture Series, CIDE Summer School (Bertinoro). 99/06 Roch Roy, “Tests for non-correlation of two cointegrated ARMA time series”, Conférence invitée, Congrès annuel de la SSC, Regina. 99/08 Jerome Detemple, (i) “A Monte-Carlo Method for Optimal Portfolios”. (ii) Session Chairman, EFA, Helsinki. 99/08 Jean-Marie Dufour, “Monte Carlo Heteroskedasticity Tests” (with Jean-Thomas Bernard, Ian Genest and Lynda Khalaf), 1999 European Meeting of the Econometric Society, Santiago de Compostela. Presentation by Lynda Khalaf. 99/08 Rene Garcia, “Asymmetric Smiles, Leverage Effects and Structural Parameters”, Econometric Society, European Meetings, Santiago de Compostela. 99/08 Eric Renault, “Calibration of Structural Models by Semi-Parametric Indirect Inference”, Invited Lecture, International Statistical Institute Meeting (Helsinki). 99/09 Benoit Perron, “The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model”, CRDE. 99/09 Eric Renault, “Semi-Parametric Indirect Inference”, Invited Lecture, Canadian Econometric Study Group (Montréal). 99/10 Rene Garcia, “Asymmetric Smiles, Leverage Effects and Structural Parameters”, Cornell University. 99/10 Benoit Perron, “New Developments in Time Series Econometrics”. Discussant for Ngai Hang Chan and Giovanni Petris, “A Bayesian Analysis of Long Memory Stochastic Volatility”. 99/11 Benoit Perron, “The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model”, Queen’s University. 99/12 Jerome Detemple, “A Monte-Carlo Method for Optimal Portfolios”, Brown Bag Finance Seminar, Boston University. 99/12 Jean-Marie Dufour, ``Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors'' (with Joanna Jasiak), Tinbergen Institute, Amsterdam. 99/12 Rene Garcia, “Latent Variables, Structural Parameters and Option Pricing”, Financial Econometrics 10th (EC)2, Universidad Carlos III de Madrid, December 1999.