16ème Journée d'Économétrie Développements Récents de l'Econométrie Appliquée à la Finance

Wednesday 08 November 2017

16ème Journée d'Économétrie

Développements Récents de l'Econométrie Appliquée à la Finance


mercredi 8 novembre 2017


EconomiX-CNRS, Université de Paris Nanterre
salle des colloques du bâtiment B








Elena DUMITRESCU, Valérie MIGNON, Gilles de TRUCHIS, EconomiX-CNRS





9 h 00

Accueil des participants


Session I 

9 h 15

Marielle de Jong (Amundi)

Portfolio optimisation in an uncertain world

Discutant : Ophélie Couperier

9 h 50

Olessia Caillé (LEO), Daria Onori (LEO)

Conditional Risk-Based Portfolio

Discutant : Marielle de Jong

10 h 25

Christophe Hurlin (LEO, U. Orléans), Jérémy Leymarie (LEO, U. Orléans), Antoine Patin (LEO, U. Orléans)

Loss functions for LGD model comparison

Discutant : Rachidi Kotchoni

11 h 00


11 h 20

Michael Abendschein (U. Osnabrueck), Gibran Watfe (European Central Bank, College of Europe)

From Cashtag to Hashcrash Predicting Financial Market Volatility with Twitter

Discutant : Bilel Sanhaji

11 h 55

Sophie Béreau (CORE & LFIN, U. Catholique de Louvain), Nicolas Debarsy (LEM, U. Lille 1), Cyrille Dossougoin (CORE LFIN, U. Catholique de Louvain), Jean-Yves Gnabo (CeReFiM, U. Namur)

Spillover analysis across financial institutions: the role of common asset holdings

Discutant : Dilyara Salakhova 

12 h30

Apéritif – Buffet – Poster session


Session II 

13 h 45

Keynote speaker: Christophe Hurlin (LEO)

Recherche reproductible. Le projet CASCAD (Certification Agency for Scientific Code and Data)

14 h 30

Kim Huynh (Bank of Canada), Hossein Kavand (Carleton U.), Marcel Voia (Carleton U.)

Up or out! A Firm’s First Year and Unobserved Initial Condition of Entrant Shipbuilding Firms

Discutant : Jérémy Leymarie

15 h 05

Clément Goulet (U. Paris 1)

Intra-industry volatility spillovers around Earning Announcements.

Discutant : Francesco Violante

15 h 40


16 h 00

Sullivan Hue (U. Orléans), Christophe Hurlin (LEO, U. Orléans), Sessi Tokpavi (LEO, U. Orléans)

Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects

Discutant : Thomas Raffinot

16 h 35

Alessio Volpicella (Queen Mary University of London)

Selection of Prior Tightness for Set-Identified Structural Vector Autoregressions

Discutant : Benjamin Egron

17 h 05

Maxime Leroux (UQAM), Rachidi Kotchoni (EconomiX-CNRS), Dalibor Stevanovic (UQAM)

Macroeconomic forecast accuracy in a data-rich environment

Discutant : Marc Joëts



Poster session


François Benhmad (U. Montpellier)

Reinvestigating the link between oil price and US dollar. A wavelet perspective


Sophie Béreau (CORE & LFIN, U. Catholique de Louvain), Jean-Yves Gnabo (CeReFiM, U. Namur), Henri Vanhomwegen (CeReFiM and naXys, U. Namur)

Mutual funds styles, distinctiveness and financial performance: Insights from Europe


Jean-Charles Bricongne (European Central Bank), Julien Salin (U. Paris Nanterre)

The Impact of Legal Framework on Bank Loan Portfolio: An implementation to the European Stress Test Exercise


Imen Dakhlaoui (Tunis El Manar U., International Finance Group)

A study on chaos in the crude oil market in periods of oil price bust


Helen Ghebrezghi (U. Siegen)

Liquidity Operations During the Financial Crisis 2007/08: Evidence From the Relations Between Korean Won Onshore and Offshore Markets


Eric Girardin (AMSE), Fatemeh Salimi Namin (AMSE)

Shadowing the Dollar or Basket Pegging in China?


Fatma Kchir Jedidi (ESC Tunis)

The impact of financial development on the relationship between FDI and economic growth: empirical validation of a dynamic panel model for the Mena Region countries


Nourhaine Nefzi (Higher Institute of Management of Tunis)

Does gold offer a good protection to currency carry trade strategy?




Elena Dumitrescu, Valérie Mignon, Gilles De Truchis





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