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Luca TRAPIN (University of Bologna) “Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm”
Finance & Financial Econometrics : Time: 10.00 am Date: 19th of December 2024 Room 3001 Luca TRAPIN (University of Bologna) "Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm" Abstract : This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the […]
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Philippe VAN DER BECK (Harvard University) “Flow-Driven ESG Returns”
Quantitative Sustainable Economics and Finance Time: 11.00 am Date: 19th of December 2024 Room 3001 Philippe VAN DER BECK (Harvard University) "Flow-Driven ESG Returns" Abstract : I show that the recent returns to ESG investing are strongly driven by price impact from flows towards ESG portfolios. Using data on trades, I estimate the market’s ability to […]
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