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Gaetan BAKALLI (GSEM, Switzerland) “A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia”
The Financial Econometrics Seminar: Time: 10:30 pm Date: 16th of December 2021 Room : 3001 Gaetan BAKALLI (GSEM, Switzerland) "A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia" Abstract :We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers […]
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Wassim LE LANN (Université d’Orléans) “Backtesting ESG Ratings”
The Financial Econometrics Seminar: Time: 11:30 pm Date: 16th of December 2021 Room : 3001 Wassim LE LANN (Université d'Orléans) "Backtesting ESG Ratings" Abstract : t.b.a. Organizers: Jean-Michel ZAKOIAN (CREST) Sponsors: CREST
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