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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 […]

SAUMITRA Jha (Stanford GSB) “t.b.a.”

Macro seminar Time : 12h15 - 13h30 Date : 11 Décembre 2023 Salle 3001 SAUMITRA Jha (Stanford GSB) "t.b.a." Abstract:  Alessandro RIBONI (CREST)

Yuanzhe Tang (CREST) “t.b.a.”

Macro seminar Time : 12h15 - 13h30 Date : 11 Décembre 2023 Salle 3001 Yuanzhe Tang (CREST) "t.b.a." Abstract:  Grégory CORCOS (CREST)

Guillaume Pouliot (Harris School of Public Policy) – “t.b.a”

Paris Econometrics Seminar CREST - PSE - Sciences Po Time: 04:15 pm - 05:30 pm Date: 11th of  December Location: PSE   Guillaume Pouliot (Harris School of Public Policy) - Abstract :   Coauthored with   Organizers: Elia Lapenta - CREST/ENSAE Philipp Ketz - CNRS/PSE Clément de Chaisemartin – Sciences Po Sponsors: CREST

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, […]

Sampreet Goraya (Stockholm School of Economics) “Climate Change, Firms and Aggregate Productivity”

Macro seminar Time : 12h15 - 13h30 Date : 08 Janvier 2024 Salle 3001 Sampreet Goraya (Stockholm School of Economics) "Climate Change, Firms and Aggregate Productivity" Abstract:This paper presents a general equilibrium structural framework that separates the effects of temperature on firm-level demand, productivity, and input allocative efficiency to examine the aggregate productivity losses caused […]

Lutz Sager (Georgetown University ) – “Clean Identification? The Effects of the Clean Air Act on Air Pollution, Exposure Disparities and House Prices”

Applied Micro Seminar  Time: 12:15 pm - 13:30 pm Date: 09th of January Room : 3001 Lutz Sager (Georgetown University )  "Clean Identification? The Effects of the Clean Air Act on Air Pollution, Exposure Disparities and House Prices"   Abstract : We assess the US Clean Air Act standards for fine particulate matter (PM2.5). Using […]

Anais Galdin (Princeton) “Resilience of Global Supply Chains and Generic Drug Shortages”

Applied  Seminar  Time: 12:15 pm - 13:30 pm Date: 10th of January Room : 3001 Anais Galdin (Princeton) "Resilience of Global Supply Chains and Generic Drug Shortages"   Abstract :This paper studies the lack of resilience of global pharmaceutical supply chains since 2009 and the extent to which the offshoring of manufacturing plants to South-East […]

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. […]

Yuki Tamura (NYU Abu Dhabi) “Obviously Strategy-proof Rules for Object Reallocation”

Micro Seminar  Time: 12:15 pm - 13:30 pm Date: 11th of January Room : 3001 Yuki Tamura (NYU Abu Dhabi) "Obviously Strategy-proof Rules for Object Reallocation”   Abstract : For object reallocation problems, Bade (2019) defines a rule, the “crawler”, and shows that on the domain of single-peaked preferences, this rule satisfies efficiency, the endowments […]

Sulagna Dasgupta (Chicago) “Screening Knowledge”

Micro Seminar  Time: 12:15 pm - 13:30 pm Date: 11th of January Room : 3001 Sulagna Dasgupta (Chicago) "Screening Knowledge”   Abstract :A principal (she) tests an agent’s (he) knowledge of a subject matter. She has preferences over his unobserved quality, which is correlated with his knowledge. Modeling knowledge as beliefs over an unknown state, […]

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