Ongoing
Estimation of Functionals of High-Dimensional Parameters: Bias Reduction and Concentration, Vladimir Koltchinskii (Georgia Institute of Technology)
SCHEDULE Monday 6th May 2024 13th May 2024 From 13:00 to 16:15 Room 2033 Thursday 16th May 2024 23rd May 2024 From 13:00 to 16:15 Room 2033 Aims and objectives The aim of this course will be on a circle of problems related to […]
Find out more »9:30 am
Susana CAMPOS-MARTIN (Oxford University) “Novel Global and Regional Risk Factors”
Finance & Financial Econometrics : Time: 09.30 am Date: 23th of May 2023 Room 3001 Susana CAMPOS-MARTIN (Oxford University) "Novel Global and Regional Risk Factors" Absract : A global factor may not be enough to capture worldwide common variation in financial volatilities or correlation of shocks to those volatilities. A two-factor model of financial volatilities […]
Find out more »10:20 am
Gabriele MINGOLI (Vrije Universiteit Amsterdam) “Non-Stationary Factors for Common Bubbles”
Finance & Financial Econometrics : Time: 10:20 am Date: 23th of May 2023 Room 3001 Gabriele MINGOLI (Vrije Universiteit Amsterdam) "Non-Stationary Factors for Common Bubbles" Abstract : This paper proposes a novel multivariate time-series model with common stochastic trends and locally explosive mixed causal non-causal dynamics while allowing for idiosyncratic non-stationarities and explosive episodes. This […]
Find out more »11:20 am
Chiara Colesanti (University of Zurich – LSE, Grantham Institute) “A study of nature risk pricing”
Quantitative Sustainable Economics and Finance Time: 11.20 am Date: 23th of May 2024 Room 3005 Chiara Colesanti (University of Zurich - LSE, Grantham Institute) "A study of nature risk pricing" Abstract :We introduce a novel dataset provided by S&P Global that contains company-level information on nature dependence and nature impact. Based on these metrics we […]
Find out more »12:10 pm
Emanuele Campiglio (University of Bologna) “Warning words in a warming world”
Quantitative Sustainable Economics and Finance Time: 12.10 pm Date: 23th of May 2024 Room 3005 Emanuele Campiglio (University of Bologna) "Warning words in a warming world" Abstract :We study climate-related central bank communication using a novel dataset containing 32,359 speeches from 131 central banks over the 1986-2021 period. We employ natural language processing techniques to […]
Find out more »