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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S’inscrire

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AGENDA

Wednesday 19 January 2022

Économies du monde musulman

Fateh Belaid (King Abdullah Petroleum and Research Center)

Mapping and understanding the drivers of fuel poverty in MENA countries: The case of Egypt and Jordan

Wednesday 19 January 2022

Mapping and understanding the drivers of fuel poverty in MENA countries: The case of Egypt and Jordan

Fateh Belaid (King Abdullah Petroleum and Research Center)

Mapping and understanding the drivers of fuel poverty in MENA countries: The case of Egypt and Jordan

Thursday 20 January 2022

Doctorants

Mathilde Aubouin

Déterminants des inégalités numériques chez les ménages français

Thursday 20 January 2022

PhD students

Mathilde Aubouin

Déterminants des inégalités numériques chez les ménages français

Monday 24 January 2022

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Tommaso Giommoni (ETH Zurich)

En visio

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Monday 24 January 2022

Law, Institutions and Economics in Nanterre (LIEN)

Tommaso Giommoni (ETH Zurich)

En visio

A Machine Learning Approach to Analyze and Support Anti-Corruption Policy

Tuesday 25 January 2022

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Alexandre Chirat

Aux origines des théories managériales de l’entreprise : la correspondance Baumol-Galbraith (1958-1959)

Tuesday 25 January 2022

Research in Political and Institutional Economy (REPI)

Alexandre Chirat

Aux origines des théories managériales de l’entreprise : la correspondance Baumol-Galbraith (1958-1959)

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