Workshop on Copula Models and Dependence

June 6-9, 2011

Program

 

Monday, June 6, 2011

08:30 - 09:00
Registration (Room 5345) and Coffee & Croissants (Room 6245)

Session - Copulas: Looking ahead
Chair : Christian Genest
Meeting room(s) : 6214

09:00 - 09:30
Welcome - Christian Genest
09:30 - 10:30
Kjersti Aas
(Norwegian Computing Center)
Pair-copula constructions: even more flexible than copulas
Abstract
10:30 - 11:00
Coffee break
Room(s) 6245
11:00 - 12:00
Matthias Scherer
(Technische Universität München)
Hierarchical copulas
Abstract
12:00 - 14:00
Lunch break
14:00 - 15:00
Johanna Nešlehová
(McGill University)
Inglorious count copulas
Abstract
15:00 - 16:00
Simon Guillotte
(Université du Québec à Montréal)
Bayesian methodology for copulas: the past and the present
Abstract

16:00 - 16:30
Coffee break
Room(s) 6245

16:30 - 17:00
Poster presentation - chaired by Jean-François Plante (Five-minute presentation for each poster)
Room(s) 6214

17:00 - 18:30
Poster Session with Wine & Cheese
Room(s) 6245

 

Tuesday, June 7, 2011

08:00 - 08:30
Coffee & Croissants
Room(s) 6245

Session - Dynamic copula models
Chair : Jean-François Quessy
Meeting room(s) : 6214

08:30 - 10:30
Andrew Patton
(Duke University)
Copula models for multivariate time series
Abstract
10:30 - 11:00
Coffee break
Room(s) 6245
11:00 - 12:00
Discussion - Discussants: J.-D. Fermanian, D. Guégan, and Y. Fan (20 minutes each)
12:00 - 14:00
Lunch break
14:00 - 14:45
Dominique Guégan
(Université Paris 1 (Panthéon–Sorbonne))
Dynamic copula models: a quantitative finance framework
Abstract
14:45 - 15:30
Bruno Rémillard
(HEC Montréal)
Dynamic copulas
Abstract
15:30 - 16:00
Coffee break
Room(s) 6245
16:00 - 16:45
Jean-David Fermanian
(Ensae-Crest)
Pseudo-copulas
Abstract

 

Wednesday, June 8, 2011

08:00 - 08:30
Coffee & Croissants
Room(s) 6245

Session - Copulas and extremes
Chair : Debbie Dupuis
Meeting room(s) : 6214

08:30 - 10:30
Johan Segers
(Université catholique de Louvain)
Studying extremal dependence via copulas
Abstract
10:30 - 11:00
Coffee break
Room(s) 6245
11:00 - 12:00
Discussion - Discussants: H. Dette, M. Falk, and A.-L. Fougères (20 minutes each)
12:00 - 14:00
Lunch break
14:00 - 14:45
Holger Dette
(Ruhr-Universität Bochum)
New estimators of the Pickands dependence function and a test for extreme-value dependence
Abstract
14:45 - 15:30
Anne-Laure Fougères
(Université Claude-Bernard Lyon 1)
Some insights into asymptotic independence
Abstract
15:30 - 16:00
Coffee break
Room(s) 6245
16:00 - 16:45
Michael Falk
(Universitä╠łt Würzburg)
The multivariate piecing-together approach revisited
Abstract

19:00
Conference Dinner at "Le Cercle" (HEC Montréal)

 

Thursday, June 9, 2011

08:00 - 08:30
Coffee & Croissants
Room(s) 6245

Session - Copulas with incomplete data
Chair : Johanna Nešlehová
Meeting room(s) : 6214

08:30 - 10:30
Noël Veraverbeke
(Hasselt University)
Copulas, covariates and censoring
Abstract
10:30 - 11:00
Coffee break
Room(s) 6245
11:00 - 12:00
Discussion - Discussants: R. Craiu, L.-P. Rivest, and W. Wang (20 minutes each)
12:00 - 13:30
Lunch break
13:30 - 14:15
V. Radu Craiu
(University of Toronto)
In mixed company: Copula-based models for dependence between continuous and discrete random variables
Abstract
14:15 - 15:00
Weijing Wang
(National Chiao Tung University)
Semi-parametric inference for dependent truncation data based on copula models
Abstract
15:00 - 15:30
Coffee break
Room(s) 6245
15:30 - 16:15
Lajmi Lakhal-Chaieb
(Université Laval)
On the association between failure times in the presence of dependent censoring: a sensitivity study
Abstract
16:15 - 17:00
Yanqin Fan
(Vanderbilt University)
Narrowing bounds for principal stratum treatment effects
Abstract