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Massimiliano CAPORIN (Univ. Padova) “Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach”

Finance & Financial Econometrics :  Time: 10.30 am Date: 07th of December 2023 Room 3001 Massimiliano CAPORIN (Univ. Padova) "Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach" Abstract : We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. We propose a […]

Weifeng JIN (Univ. of Barcelona ) “Estimation of Time Series Models Using the Empirical Distribution of Residuals”

Finance & Financial Econometrics :  Time: 11.30 am Date: 07th of December 2023 Room 3001 Weifeng JIN (Univ. of Barcelona ) "Estimation of Time Series Models Using the Empirical Distribution of Residuals" Abstract : Nonfundamental representations of univariate processes have been applied in the fields of Macroeconomics and Finance to describe nonlinear dynamics resulting from […]

Frederick VAN DER PLOEG (University of Oxford) “Battle of the Markups : Conflict Inflation and the Aspirational Channel of Monetary Policy Transmission”

Quantitative Sustainable Economics and Finance  Time: 11.30 am Date: 21th of December 2023 Room 3001 Frederick VAN DER PLOEG (University of Oxford) "Battle of the Markups : Conflict Inflation and the Aspirational Channel of Monetary Policy Transmission" Abstract : After the post-Covid rise in inflation, a debate has emerged whether this inflation is "seller-driven" and, […]

Alexis DERUMIGNY (Delft University of Technology) “Fast estimation of Kendall’s Tau and conditional Kendall’s Tau matrices under structural assumptions”

Finance & Financial Econometrics :  Time: 11.00 am Date: 11th of January 2023 Room 3001 Alexis DERUMIGNY (Delft University of Technology) "Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions" Abstract : Kendall's tau and conditional Kendall's tau matrices are multivariate (conditional) dependence measures between the components of a random vector. […]

Ruixun Zhang (Peking University)”A Quantitative Approach to Optimal Impact Portfolios”

Quantitative Sustainable Economics and Finance Time: 11.00 am Date: 18th of January  2023 Room 2036 Ruixun Zhang (Peking University)"A Quantitative Approach to Optimal Impact Portfolios" Abstract : We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impact-ranked assets using induced order statistics and copulas. […]

Simon SCHEIDEGGER (HEC Lausanne) “t.b.a.”

Quantitative Sustainable Economics and Finance Time: 10.30 am Date: 29 th of February 2023 Room 1001 Simon SCHEIDEGGER (HEC Lausanne) "t.b.a." Abstract : Organizers: Peter TANKOV (CREST) - Olivier David ZERBIB (CREST)   Sponsors: CREST

Louis Daumas (CIRED) “Financial transition risks and the multiverse of mitigation pathways: A scenario-exploration exercise with a stock-flow consistent model”

Quantitative Sustainable Economics and Finance Time: 11.30 am Date: 29 th of February 2023 Room Louis Daumas (CIRED) "Financial transition risks and the multiverse of mitigation pathways: A scenario-exploration exercise with a stock-flow consistent model" Abstract : This article proposes a novel methodology for forward-looking low-carbon transition risk assessment based on a large set of […]

Davide LA VECCHIA (University of Geneva) “t.b.a.”

Finance & Financial Econometrics :  Time: 10.00 am Date: 07th of March 2023 Room 3001 Davide LA VECCHIA (University of Geneva) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST

Julien Daubanes, Technical University of Denmark (DTU Management) “Do Markets Price the Sensitivity of Economic Oil Reserves?”

Quantitative Sustainable Economics and Finance Time: 10.30 am Date: 21 th of March 2023 Room 2041 Julien Daubanes, Technical University of Denmark (DTU Management) "Do Markets Price the Sensitivity of Economic Oil Reserves?" Abstract : Climate action will make the production of carbon resources less profitable, reducing economically exploitable oil reserves and their value, with […]

Andra Anoica (BNP), “T.B.A.”

Quantitative Sustainable Economics and Finance Time: 11.30 am Date: 21 th of March 2023 Room 2041 Andra Anoica (BNP), "T.B.A." Abstract : T.B.A. Organizers: Peter TANKOV (CREST) - Olivier David ZERBIB (CREST)   Sponsors: CREST

Benjamin POIGNARD (Osaka University) – “Factor multivariate stochastic volatility models”

Finance & Financial Econometrics :  Time: 11.00 am Date: 28th of March 2023 Room 3001 Benjamin POIGNARD (Osaka University) - "Factor multivariate stochastic volatility models" Abstract :Factor modelling provides a pertinent compromise between parsimony and flexibility when specifying the co-movements of high-dimensional random vectors. We accommodate a factor structure on multivariate stochastic volatility (MSV) models […]

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