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
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8 h 50 |
Welcome |
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Session I |
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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) |
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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) |
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10 h 25 |
Quentin Lajaunie (U. Orléans, LEO, Square Research Center) Nonlinear Impulse Response Function for Dichotomous Models Discussant : Laurent Ferrara (Skema Business School) |
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11 h 00 |
Coffee break |
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11 h 20 |
Paul Merlin (Concrete) Mutual Fund Total Post-Transparency and Performance Decomposition Discussant : Camille Baily (CeReFiM, U. Namur) |
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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) |
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12 h 30 |
Lunch beark |
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Session II |
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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 |
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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)
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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) |
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15 h 40 |
Coffee break |
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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) |
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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) |
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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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