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X-WR-CALDESC:Events for CREST
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TZID:Europe/Helsinki
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DTSTART:20240331T010000
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DTSTART;TZID=Europe/Helsinki:20241219T100000
DTEND;TZID=Europe/Helsinki:20241219T230000
DTSTAMP:20260715T051015
CREATED:20241126T141112Z
LAST-MODIFIED:20241126T141545Z
UID:17561-1734602400-1734649200@crest.science
SUMMARY:Luca TRAPIN  (University of Bologna) "Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 10.00 am\nDate: 19th of December 2024\nRoom 3001 \nLuca TRAPIN (University of Bologna) “Quasi Maximum Likelihood Estimation of High-Dimensional Approximate Dynamic Matrix Factor Models via the EM Algorithm” \nAbstract : This paper considers an approximate dynamic matrix factor model that accounts for the time series nature of the data by explicitly modelling the time evolution of the factors. We study Quasi Maximum Likelihood estimation of the model parameters based on the Expectation Maximization (EM) algorithm\, implemented jointly with the Kalman smoother which gives estimates of the factors. This approach allows to easily handle arbitrary patterns of missing data. We establish the consistency of the estimated loadings and factor matrices as the sample size T and the matrix dimensions p1 and p2 diverge to infinity. The finite sample properties of the estimators are assessed through a large simulation study and an application to a financial dataset of volatility proxies.\n \nOrganizers: \n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/lucas-trapin-university-of-bologna/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20241219T110000
DTEND;TZID=Europe/Helsinki:20241219T120000
DTSTAMP:20260715T051015
CREATED:20240725T082847Z
LAST-MODIFIED:20241126T141934Z
UID:17192-1734606000-1734609600@crest.science
SUMMARY:Philippe VAN DER BECK (Harvard University) "Flow-Driven ESG Returns"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 11.00 am\nDate: 19th of December 2024\nRoom 3001 \nPhilippe VAN DER BECK (Harvard University) “Flow-Driven ESG Returns” \nAbstract : 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 accommodate ESG flows\, which is given by the elasticity of substitution between ESG and other stocks. I show that every dollar flowing towards a representative ESG portfolio increases the market value of ESG stocks by $0.5. Using a new measure of total ESG flows\, I estimate an annual flow-driven ESG return of 2.5%. In the absence of flows\, ESG stocks would not have outperformed the market from 2012 to 2024. \nOrganizers:  Patricia Crifo\, Emmanuel Gobet\, Peter Tankov\, Gauthier Vermandel\, and Olivier David Zerbib \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/philippe-van-der-beck-harvard-university-flow-driven-esg-returns/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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