Programme
8 h 50 - Accueil des participants
Session I
9 h 00 - William Ginn (Labcorp, USA ; Coburg Univ., Allemagne), Jamel Saadaoui (IIE, LED, U. Paris 8)
Monetary Policy Reaction to Geopolitical Risks in Unstable Environments
Discutant : Carl Grekou (CEPII)
9 h 35 - Nicolas Himounet (EDEHN, U. Le Havre), Francisco Serranito (EconomiX), Julien Vauday (CEPN, U. Paris Nord)
On Macroeconomic Uncertainty VS Financial Uncertainty: Some New Measures
Discutant : Jamel Saadaoui (IEE, LED, U. Paris 8)
10 h 10 - Tasnim Ben Hamed (ABN AMRO), Christophe Boucher (EconomiX), Sessi Tokpavi (LEO, U. Orléans)
Arbitraging Greening and Market Neutrality in Central Bank Portfolios: A Framework with Empirical Evidence
Discutant : Matthieu Picault (IESEG)
10 h 45 - Pause
10 h 55 - Matthieu Garcin (De Vinci Research Center), Karl Sawaya (ESILV, Ecole Polytechnique Fédérale de Lausanne), Thomas Valade (ESILV, Ecole Polytechnique (Institut Polytechnique de Paris, LadHyX)
Prediction of linear fractional stable motions using codifference
Discutant : Philippe Soulier (MODAL'X)
11 h 30 - Gilles de Truchis (LEO, U. Orléans), Arthur Thomas (LeDa, U. Paris Dauphine), Ludivine Vaudrée (LEO, U. Orléans)
Deconvolution and Filtering of Non-Causal Alpha-Stable Processes
Discutant : Yannick Le Pen (LeDa, U. Paris Dauphine)
12 h 05 - Elena Dumitrescu (CRED, U. Paris Panthéon-Assas), Julien Peignon (LeDa, U. Paris Dauphine), Arthur Thomas (LeDa, U. Paris Dauphine)
Tail-Aware Density Forecasting of Locally Explosive Time Series: A Neural Network Approach
Discutant : Ludivine Vaudrée (LEO, U. Orléans)
12 h 40 - Pause
Session II
14 h 00 - Keynote speaker: Laurent Ferrara (SKEMA)
Switching Macroeconomic Growth and Volatility: Evidence from a Mean-Variance Markov-Switching Dynamic Factor Model
14 h 45 - Gunther Capelle-Blancard (CES, U. Paris 1), Raphael Hekimian (ISG Paris), Jae-Yun Jun (LyRIDS, ECE Paris), Angelo Riva (INSEEC)
Modern Pricing without Modern Theory?
Discutant : Serge Darolles (DRM Finance, U. Paris Dauphine)
15 h 20 - Marielle De Jong (Grenoble Ecole de Management), Manuel Hess (Grenoble Ecole de Management)
The Venture VIX
Discutant : Lorette Danilo (CREM, U. Rennes)
15 h 55 - Pause
16 h 10 - Lorette Danilo (CREM, U. Rennes)
Replicating Bitcoin Performance: A Connectedness Analysis of Equity Portfolios
Discutant : Christophe Hurlin (LEO, U. Orléans)
16 h 45 - Théo Guigue, Françoise Seyte, Roman Mestre (MRE, U. Montpellier)
Conditional Wasserstein Autoencoders and Deep Semantic Representations for Time Series Modeling
Discutant : Loïc Marcadet (Nexialog)
17 h 20 - Loïc Marcadet (Nexialog), Matthieu Picault (IESEG), Tom Picard (Nexialog)
Anticipating corporate emissions depending on the ambition and early action of companies
Discutant : Martin Cimetière (LEO, U. Orléans)
Poster session
Joshua Aizenman (U. of Southern California, NBER), Jamel Saadaoui (IIE, LED, U. Paris 8)
How institutions interact with exchange rates after the 2024 US presidential election: new high-frequency evidence
John Beirne (Asian Development Bank, Philippines), Donghyun Park (Asian Development Bank, Philippines), Jamel Saadaoui (IIE, LED, U. Paris 8), Gazi Salah Uddin (Linköping U., Suède)
Impact of Climate Vulnerability on Fiscal Risk: Do Political Stability and Financial Development Matter?
Marie Bidan, Roman Mestre (MRE, U. Montpellier)
Dynamic Interactions Between Economic Policy Uncertainty and Inflation across cycles: Insights from Wavelet Coherence and LOGIT Analysis
Raouf Birem (ERUDITE, UPEC), Zineb Abidi (ERUDITE, UPEC), Barry Quinn (Ulster U.), Fearghal Kearney (Queen’s University Belfast)
Transformer-Based Sentiment Analysis for Financial Crash Risk Prediction: A Comparative Operational Framework
Romain Capliez (EconomiX, IFPEN)
Spillover Effects between Financial and Physical Copper Markets
Francesco Molteni (RCEA)
Liquidity, Government Bonds, and Sovereign Debt Crises
Francesco Molteni (RCEA)
Propagation and contagion of liquidity shocks in the Euro Area
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