Joint research unit 7235

20ème Journée d’Économétrie – Développements Récents de l’Econométrie Appliquée à la Finance

20th Workshop in Econometrics for Finance

 

 

EconomiX-CNRS, Université Paris Nanterre, 10 November 2021

The workshop takes place in the conference room of building Grappin (building B)

 

Organizers : 

Elena DUMITRESCU, Valérie MIGNON et Gilles de TRUCHIS

 

 

Program

 

8 h 50

Welcome

 

 

 

Session I 

9 h 15

Camille Baily (CeReFiM, U. Namur), Jean-Yves Gnabo (CeReFiM, U. Namur)

SRI Mutual Funds Distinctiveness: Evidence and Implications

Discussant : Paul Merlin (Concrete)

9 h 50

Capucine Nobletz (EconomiX, U. Paris Nanterre)

Return spillovers between green energy indexes and financial markets: a first sectoral approach

Discussant : Anthony Paris (LEO, U. Orléans)

10 h 25

Quentin Lajaunie (U. Orléans, LEO, Square Research Center)

Nonlinear Impulse Response Function for Dichotomous Models

Discussant : Laurent Ferrara (Skema Business School)

 

 

11 h 00

Coffee break

 

 

11 h 20

Paul Merlin (Concrete)

Mutual Fund Total Post-Transparency and Performance Decomposition

Discussant : Camille Baily (CeReFiM, U. Namur)

11 h 55

Alexandre Girard (CEREC, U. Louvain), Jean-Yves Gnabo (CeReFiM, U. Namur), Rodrigo Londono van Rutten (CEREC, U. Louvain)

Corporate lobbying and firm performance: Nonlinearity matters

Discussant : Quentin Lajaunie (LEO, U. Orléans, Square Research Center)

 

 

12 h 30

Lunch beark

 

 

 

Session II 

13 h 45

Keynote speaker: Christian Brownlees (U. Pompeu Fabra, Barcelona Graduate School of Economics), Jordi Llorens-Terrazas (U. Pompeu Fabra, Barcelona Graduate School of Economics)

Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction

14 h 30

Sy-Hoa Ho (Duy-Tan University), Jamel Saadaoui (BETA, U. Strasbourg)

Bank credit and economic growth: a dynamic threshold panel model for ASEAN countries

Discussant : Antonia Lopez-Villavicencio (EconomiX, U. Paris Nanterre)

 

15 h 05

Gaetan Bakalli (Auburn University), Stéphane Guerrier (U. Geneva), Olivier Scaillet (U. Geneva, Swiss Finance Institute)

A penalized two-pass regression to predict stock returns with time-varying risk premia

Discussant : Arthur Thomas (CREST-ENSAE)

 

 

15 h 40

Coffee break

 

 

16 h 00

Eric Girardin (U. Aix-Marseille, AMSE), Roselyne Joyeux (Macquarie University)

Dating stock market bubbles, crashes and their migration within Greater China

Discussant : Jamel Saadaoui (BETA, U. Strasbourg)

16 h 35

Sullivan Hué (U. Aix-Marseille, AMSE), Christophe Hurlin (U. Orléans, LEO), Christophe Pérignon (HEC Paris), Sebastian Saurin (U. Orléans, LEO)

Shapley Value Decomposition of Evaluation Metrics for Regression and Classification Models

Discussant : Christophe Boucher (EconomiX, U. Paris Nanterre)

17 h 10

Yang Mestre Zhou (MRE, U. Montpellier), Roman Mestre (MRE, U. Montpellier)

A Continuous Wavelets approach of China opening reforms effects on relationships between Mainland Chinese stock exchanges and Hong Kong

Discussant : Eric Girardin (AMSE, U. Aix-Marseille)

 

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AGENDA

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LIEN)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LINK)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Thursday 30 June 2022

Doctorants

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Thursday 30 June 2022

PhD students

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Monday 4 July 2022

Colloques et Workshops

Joint Webinar on Environment and Health in Seaport Cities

Monday 4 July 2022

Colloques et Workshops

Webinar conjoint sur l’environnement et la santé dans les villes maritimes

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