English    Intranet

15ème Journée d’Économétrie

Développements Récents de l'Econométrie Appliquée à la Finance

le 4 novembre 2016
salle des colloques du bâtiment B de l'Université Paris Ouest - Nanterre
Organisateurs : Elena DUMITRESCU, Valérie MIGNON, Sessi TOKPAVI, EconomiX-CNRS

Programme


9 h 00 Accueil des participants
 

Session I

9 h 15 Cyril Dell'Eva (AMSE), Eric Girardin (AMSE)
Carry trades in New-Zealand: Do monetary authorities take them into account?
Discutant : Virginie Coudert (Banque de France)
9 h 50 Marco Valerio Geraci (ECARES, ULB, CeReFiM, U. Namur), Jean-Yves Gnabo (CeReFiM, U. Namur)
Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
Discutant : Yuliya Shapovalova (U. Maastricht)
10 h 25 Denisa Banulescu (LEO, U. Orléans), Christophe Hurlin (LEO, U. Orléans), Jérémy Leymarie (LEO, U. Orléans), Olivier Scaillet (U. Geneva, Swiss Finance Institute)
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Discutant : Rachidi Kotchoni (EconomiX-CNRS)
11 h 00 Pause
11 h 20 Blaise Gnimassoun (BETA, U. Lorraine et EconomiX), Marc Joëts (Banque de France, EconomiX), Tovonony Razafindrabe (CREM, U. Rennes et EconomiX)
On the link between current account and oil price fluctuations in diversified economies: The case of Canada
Discutant : Marco Valerio Geraci (ECARES, ULB, CeReFiM, U. Namur)
11 h 55 Nicolas Debarsy (LEO), Cyrille Dossougoin (CORE & CeSAM, U. Catholique de Louvain), Cem Ertur (LEO, U. Orléans), Jean-Yves Gnabo (CeReFiM, U. Namur)
Assessing the role of transmission channels in sovereign risk: A spatial econometrics approach
Discutant : Jérémy Leymarie (LEO)
12 h30 Apéritif – Buffet – Poster session
 

Session II

13 h 45 Keynote speaker : Siem Jan Koopman (VU Amsterdam, Tinbergen Institute, CREATES), Peter Reinhard Hansen (University of North Carolina at Chapel Hill, United States), Pawel Janus (UBS Global Asset Management, Zürich, Switzerland)
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
14 h 30 Henri Fraisse (ACPR), Mathias Lé (ACPR), David Thesmar (MIT and CEPR)
The Real Effects of Bank Capital Requirements
Discutant : Vincent Bouvatier (EconomiX-CNRS)
15 h 05 Olessia Caillé (LEO, U. Orléans), Christophe Hurlin (LEO, U. Orléans), Daria Onori (LEO, U. Orléans), Florian Pelgrin (EDHEC)
Risk Parity-based Smart Beta ETFs and Estimation Risk
Discutant : Bilel Sanhaji (LED, U. Paris 8)
15 h 40 Pause
16 h 00 Nicolas Debarsy (LEO), Jean-Yves Gnabo (CeReFiM, U. Namur), Malik Kerkour ((CeReFiM, U. Namur)
Sovereign Wealth Funds' cross-border investments: assessing the role of country-level drivers and spatial competition
Discutant : Michel Beine (U. Luxembourg)
16 h 35 Michael Eichler (U. Maastricht), Yuliya Shapovalova (U. Maastricht)
Volatility Spillovers with Multivariate Stochastic Volatility Model
Discutant :Gilles de Truchis (EconomiX-CNRS)
17 h 05 Christophe Boucher, Alexandre Jasinski (ABN AMRO), Patrick Kouontchou (CEREFIGE, U. Lorraine), Sessi Tokpavi (LEO, U. Orléans)
Smart Alpha: a Post Factor Investing Paradigm
Discutant : Marielle de Jong (Amundi Asset Management)

« Page précédente