Susana CAMPOS-MARTIN (Oxford University) “t.b.a.”
Finance & Financial Econometrics : Time: 10.00 am Date: 23th of May 2023 Room 3001 Susana CAMPOS-MARTIN (Oxford University) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
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Siem Jan KOOPMAN (VU Amsterdam) “t.b.a.”
Finance & Financial Econometrics : Time: 11:00 am Date: 23th of May 2023 Room 3001 Siem Jan KOOPMAN (VU Amsterdam) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Chiara Colesanti (University of Zurich – LSE, Grantham Institute) “A study of nature risk pricing”
Quantitative Sustainable Economics and Finance Time: 11.20 am Date: 23th of May 2024 Room 3005 Chiara Colesanti (University of Zurich - LSE, Grantham Institute) "A study of nature risk pricing" Abstract :We introduce a novel dataset provided by S&P Global that contains company-level information on nature dependence and nature impact. Based on these metrics we […]
Emanuele Campiglio (University of Bologna) “Warning words in a warming world”
Quantitative Sustainable Economics and Finance Time: 12.10 pm Date: 23th of May 2024 Room 3005 Emanuele Campiglio (University of Bologna) "Warning words in a warming world" Abstract :We study climate-related central bank communication using a novel dataset containing 32,359 speeches from 131 central banks over the 1986-2021 period. We employ natural language processing techniques to […]
Frederik KRABBE (University of Aarhus) “Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models”
Finance & Financial Econometrics : Time: 11:00 am Date: 13th of June2023 Room 3001 Frederik KRABBE (University of Aarhus) "Asymptotic Properties of The Maximum Likelihood Estimator for Markov-Switching Observation-Driven Models" Abstract : In this paper, we study the asymptotic properties of the maximum likelihood estimator for a so-called Markov-switching observation-driven model. The Markov-switching observation-driven model […]
Maria-Eugenia Sanin (Paris Saclay University) “Biodiversity Risk, Firm Performance, and Market Mispricing”
Quantitative Sustainable Economics and Finance Time: 10.30 am Date: 03th of October 2024 Room 2028 Maria-Eugenia Sanin (Paris Saclay University) "Biodiversity Risk, Firm Performance, and Market Mispricing" Abstract : Combining new data on biodiversity-capacity and biodiversity-footprint with firm fundamentals, we conduct a causal analysis of the impact of biodiversity physical risk on firms' profitability and […]
Ivan Diaz-Rainey (Griffith Business School) ” Extreme seas, climate change and banking stability: A bottom-up temporospatial stress test in the context of domestic real estate”
Quantitative Sustainable Economics and Finance Time: 11.30 am Date: 03th of October 2024 Room 2028 Ivan Diaz-Rainey (Griffith Business School) " Extreme seas, climate change and banking stability: A bottom-up temporospatial stress test in the context of domestic real estate" Abstract :Combining new data on biodiversity-capacity and biodiversity-footprint with firm fundamentals, we conduct a causal […]
Timo DIMITRIADIS (Heidelberg University) ” t.b.a.”
Finance & Financial Econometrics : Time: 11.00 am Date: 24th of October 2024 Room 3001 Timo DIMITRIADIS (Heidelberg University) " t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Léonard THELOT (HSBC-CREST) ” Latent Factor Models with Functional Single-Index Loadings”
Finance & Financial Econometrics : Time: 11.00 am Date: 24th of October 2024 Room 3001 Léonard THELOT (CREST) "Latent Factor Models with Functional Single-Index Loadings" Abstract : We extend static linear factor models in a semiparametric framework, by assuming the loadings are unknown functions that depend on some exogeneous covariates. Since the latter covariates may […]
Raman UPPAL (EDHEC Business School) “Evaluating the Impact of Portfolio Mandates”
Quantitative Sustainable Economics and Finance Time: 11.30 am Date: 07th of November 2024 Room 3001 Raman UPPAL (EDHEC Business School) "Evaluating the Impact of Portfolio Mandates" Abstract : T.B.A. Organizers: Patricia Crifo, Emmanuel Gobet, Peter Tankov, Gauthier Vermandel, and Olivier David Zerbib Sponsors: CREST-CMAP
Andrew HARVEY (University of Cambridge) ” t.b.a”
Finance & Financial Econometrics : Time: 11.30 am Date: 24th of October 2024 Room 3001 Andrew HARVEY (University of Cambridge) " t.b.a" Abstract : t.b.a. Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Philippe VAN DER BECK (Harvard University) “Flow-Driven ESG Returns”
Quantitative Sustainable Economics and Finance Time: 11.30 am Date: 19th of December 2024 Room 3001 Philippe VAN DER BECK (Harvard University) "Flow-Driven ESG Returns" Abstract : T.B.A. Organizers: Patricia Crifo, Emmanuel Gobet, Peter Tankov, Gauthier Vermandel, and Olivier David Zerbib Sponsors: CREST-CMAP