20ÈME JOURNÉE D'ÉCONOMÉTRIE - DÉVELOPPEMENTS RÉCENTS DE L'ECONOMÉTRIE APPLIQUÉE À LA FINANCE

8 h 50

Accueil des participants

Session I 

9 h 15

Camille Baily (CeReFiM, U. Namur), Jean-Yves Gnabo (CeReFiM, U. Namur)

SRI Mutual Funds Distinctiveness: Evidence and Implications

Discutant : Paul Merlin (Concrete)

9 h 50

Capucine Nobletz (EconomiX, U. Paris Nanterre)

Return spillovers between green energy indexes and financial markets: a first sectoral approach

Discutant : Anthony Paris (LEO, U. Orléans)

10 h 25

Quentin Lajaunie (U. Orléans, LEO, Square Research Center)

Nonlinear Impulse Response Function for Dichotomous Models

Discutant : Laurent Ferrara (Skema Business School)

11 h 00

Pause

11 h 20

Paul Merlin (Concrete)

Mutual Fund Total Post-Transparency and Performance Decomposition

Discutant : Camille Baily (CeReFiM, U. Namur)

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

Discutant : Quentin Lajaunie (LEO, U. Orléans, Square Research Center)

12 h 30

Apéritif – Buffet

Session II 

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

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

Discutant : Antonia Lopez-Villavicencio (EconomiX, U. Paris Nanterre)

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

Discutant : Arthur Thomas (CREST-ENSAE)

15 h 40

Pause

16 h 00

Eric Girardin (U. Aix-Marseille, AMSE), Roselyne Joyeux (Macquarie University)

Dating stock market bubbles, crashes and their migration within Greater China

Discutant : Jamel Saadaoui (BETA, U. Strasbourg)

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

Discutant : Christophe Boucher (EconomiX, U. Paris Nanterre)

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

Discutant : Eric Girardin (AMSE, U. Aix-Marseille)