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
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9 h 00 |
Accueil des participants |
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Session I |
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9 h 15 |
Marielle de Jong (Amundi) Portfolio optimisation in an uncertain world Discutant : Ophélie Couperier |
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9 h 50 |
Olessia Caillé (LEO), Daria Onori (LEO) Conditional Risk-Based Portfolio Discutant : Marielle de Jong |
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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 |
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11 h 00 |
Pause |
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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 |
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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 |
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12 h30 |
Apéritif – Buffet – Poster session |
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Session II |
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13 h 45 |
Keynote speaker: Christophe Hurlin (LEO) Recherche reproductible. Le projet CASCAD (Certification Agency for Scientific Code and Data) |
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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 |
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15 h 05 |
Clément Goulet (U. Paris 1) Intra-industry volatility spillovers around Earning Announcements. Discutant : Francesco Violante |
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15 h 40 |
Pause |
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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 |
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16 h 35 |
Alessio Volpicella (Queen Mary University of London) Selection of Prior Tightness for Set-Identified Structural Vector Autoregressions Discutant : Benjamin Egron |
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17 h 05 |
Maxime Leroux (UQAM), Rachidi Kotchoni (EconomiX-CNRS), Dalibor Stevanovic (UQAM) Macroeconomic forecast accuracy in a data-rich environment Discutant : Marc Joëts |
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?
Contact
Elena Dumitrescu, Valérie Mignon, Gilles De Truchis
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