BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20220327T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20221030T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20221020T103000
DTEND;TZID=Europe/Helsinki:20221020T233000
DTSTAMP:20260726T004612
CREATED:20221014T052855Z
LAST-MODIFIED:20221014T052949Z
UID:14151-1666261800-1666308600@crest.science
SUMMARY:Thomas GIROUX (CREST & MIROVA)  "TAIL RISK SYSTEMIC FACTORS"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 20th of October 2022\nRoom 3001 + Zoom \nThomas GIROUX (CREST & MIROVA) “TAIL RISK SYSTEMIC FACTORS” \nAbstract :We develop a two-step econometric procedure\, based on hidden factor estimation\, to identify common factors driving the tail risk of asset returns. Applied to more than 1500 US stocks\, using quarterly returns ranging from 2000 to 2020\, we find that the equicorrelation and the market volatility are two signifiant drivers of assets’ tail risks\, explaining up to 50% of the total variance. Drawing on a parsimonious model supporting the estimations\, we show that investors accept a thinner tail when the market correlation increases and require a heavier tail when market volatility increases.\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/thomas-giroux-crest-mirova-tail-risk-systemic-factors/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20221020T113000
DTEND;TZID=Europe/Helsinki:20221020T123000
DTSTAMP:20260726T004612
CREATED:20221014T053120Z
LAST-MODIFIED:20221014T053139Z
UID:14152-1666265400-1666269000@crest.science
SUMMARY:Baye Matar KANDJI (CREST)  " STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:30 pm\nDate: 20th of October 2022\nRoom 3001 + Zoom \nBaye Matar KANDJI (CREST)  “STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS” \nAbstract : We consider random coefficient autoregressive models with non-negative coefficients in Banach lattice. We develop a method using functional analysis tools to establish a necessary and sufficient condition for the existence of s strogn-order and weak-order stationary solution\, where s>0. We apply these results to provide necessary and sufficient conditions for the existence of a stationary solution for a large family of GARCH processes\, including functional GARCH models.\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/baye-matar-kandji-crest-strict-stationarity-and-existence-of-moments-for-a-family-of-functional-garchs/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR