17ème Journée d'Économétrie
Développements Récents de l'Econométrie Appliquée à la Finance
mercredi 7 novembre 2018
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 |
Sylvain Benoît (U. Paris Dauphine) Smart Systemic-Risk Scores Discutant : Marielle de Jong (Amundi)
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9 h 50 |
Ophélie Couperier, Jérémy Leymarie (LEO, U. Orléans) Backtesting Expected Shortfall via Multi-Quantile Regression Discutant : Sylvain Benoît (U. Paris Dauphine)
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10 h 25 |
Sullivan Hué, Yannick, Lucotte, Sessi Tokpavi (LEO, U. Orléans) Measuring Network Systemic Risk Contributions: A Leave-one-out Approach Discutant : Henri Vanhomwegen (CeReFiM, naXys, U. Namur) |
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11 h 00 |
Pause |
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11 h 20 |
Sophie Béreau (CeReFiM, naXys, U. Namur ; CORE, UCL), Jean-Yves Gnabo (CeReFiM, naXys, U. Namur), Henri Vanhomwegen (CeReFiM, naXys, U. Namur) Making a difference: European mutual funds distinctiveness and peers’ performance Discutant : Christophe Boucher (EconomiX-CNRS, U. Paris Nanterre)
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11 h 55 |
Catherine Kyrtsou (U. Macedonia, CAC IXXI-ENS Lyon), Dimitris Kugiumtzis (U. Thessaloniki), Angeliki Papana (U. Thessaloniki) Further insights on the relationship between SP 500, VIX and volume: A new asymmetric causality test Discutant : Sullivan Hué (LEO, U. Orléans)
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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: Jean-Paul Renne (U. Lausanne) Disastrous Defaults
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14 h 30 |
Bertrand Candelon (U. Maastricht), Laurent Ferrara (Banque de France, EconomiX-CNRS), Marc Joëts (Banque de France, EconomiX-CNRS) Global financial interconnectedness: A non-linear assessment of the uncertainty channel Discutant : Anmar Al Wakil (U. Paris Dauphine, Europa)
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15 h 05 |
Anmar Al Wakil (U. Paris Dauphine, Europa), Serge Darolles (U. Paris Dauphine) Do Hedge Funds Hedge? New Evidence from Volatility Risk Premia Embedded in VIX Options Discutant : Bilel Sanhaji (LED, U. Paris 8) |
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15 h 40 |
Pause |
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16 h 00 |
Marielle de Jong (Amundi) The covariance matrix between real assets Discutant : Ophélie Couperier (LEO, U. Orléans)
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16 h 35 |
Olivier de Bandt (Banque de France), George Overton (Banque de France, EconomiX-CNRS) Portfolio choice, risk shifting and cost efficiency: some evidence on insurance company insolvencies from the US, Japan, the UK and France Discutant : Yang Lu (U. Paris 13)
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17 h 05 |
Jean-Baptiste Bonnier (LEMNA, U. Nantes) Predictive regressions in commodity markets Discutant : Anmar Al Wakil (U. Paris Dauphine, Europa) |
Mohamed Rédha Bouchikhi (U. Mascara, Algérie)
The impact of financial liberalization in the occurrence of bank crises: econometric study using the logistic model
Islem Boutabba (U. Shaqra)
An Empirical Validation of Financial Contagion by a Multivariate VAR Model
Imen Dakhlaoui (U. El Manar)
The drivers of recent oil price declines: a comparative analysis
Michel Dietsch (U. Strasbourg), Henri Fraisse (ACPR), Mathias Lé (ACPR), Sandrine Lecarpentier (ACPR, EconomiX-CNRS)
Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment
Axel Ehouman (EconomiX-CNRS, U. Paris Nanterre)
On the links between oil and US banking markets’ volatility
Ibtissem Missaoui (U. Sousse), Mohsen Brahmi (Business Institute IAE), Jaleleddine Ben Rajeb (U. Sousse)
Does corruption affect the efficiency environment of stock market development? Evidence study
Ibtissem Missaoui (U. Sousse), Mohsen Brahmi (Business Institute IAE), Jaleleddine Ben Rajeb (U. Sousse)
Does Political Risk affect the listed Companies Cost of Capital? Pre and post – Tunisian Revolution era
Florian Morvillier (EconomiX-CNRS, U. Paris Nanterre)
Macroeconomic vulnerability of the eurozone and the euro's inception
Capucine Nobletz (U. Paris Nanterre)
Dollar canadien et prix du pétrole : quelle causalité ?
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