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
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 […]
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
Finance & Financial Econometrics : Time: 11.00 am Date: 07th of March 2023 Room 31001 Jeroen ROMBOUTS (ESSEC) - "Modeling Higher Moments and Risk Premiums for S&P 500 Returns" Abstract : Using joint estimation on a large sample of index option prices and the underlying returns, we study how multifactor models capture time-series and cross-sectional […]
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 […]
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
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 […]
Finance & Financial Econometrics : Time: 10.00 am Date: 04th of April 2023 Room 3001 Leopoldo CATANIA (Aarhus University) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Finance & Financial Econometrics : Time: 11.00 am Date: 04th of April 2023 Room 3001 Andre LUCAS (VU Amsterdam) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Quantitative Sustainable Economics and Finance Time: 10.30 am Date: 25th of April 2024 Room 3001 Julien Thavard (Université de Lorraine) "Climate change and Banking stability: evidence for Latin America through Strong ENSO" Abstract : t.b.a. Organizers: Peter TANKOV (CREST) Sponsors: CREST
Finance & Financial Econometrics : Time: 10.00 am Date: 16th of May 2023 Room 3001 Stefan VOIGT (Univ. of Copenhagen) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
Finance & Financial Econometrics : Time: 11:00 am Date: 16th of May 2023 Room 3001 Jose OLMO (Univ. of Zarragoza) "t.b.a." Abstract : Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST