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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250130T100000
DTEND;TZID=Europe/Helsinki:20250130T230000
DTSTAMP:20260712T022942
CREATED:20250107T070104Z
LAST-MODIFIED:20250107T070536Z
UID:17728-1738231200-1738278000@crest.science
SUMMARY:André Souza (ESADE Business School.) "How to Bet on Winners "
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 10.00 am\nDate: 30th of January 2025\nRoom 3001 \nAndré SOUZA (ESADE Business School.) “How to Bet on Winners ” \nAbstract :We study the construction of long-short portfolios on the basis of cross-sectional stock return predictions. We derive optimal portfolio construction procedures for a number of loss functions. The optimal procedure takes the form of a return classification rule. Selecting stocks on the basis of expected return predictions\, the standard practice in the literature\, is also optimal in special cases of the general framework. The empirical analysis shows that the new procedures allow to extract more economic value out of machine learning forecasts. The favourable performance persists among large capitalization stocks and accounting for transaction costs.\n \nJoint work : Christian BROWNLEES \nOrganizers: \n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/andre-souza-esade-business-school-how-to-bet-on-winners/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20250130T110000
DTEND;TZID=Europe/Helsinki:20250130T120000
DTSTAMP:20260712T022942
CREATED:20250107T070916Z
LAST-MODIFIED:20250115T074140Z
UID:17729-1738234800-1738238400@crest.science
SUMMARY:Mawuli SEGNON (Universität Münster) "Strict stationarity and Long memory of MIDAS volatility models"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 30th of January 2025\nRoom 3001 \nMawuli SEGNON (Universität Münster) “Strict stationarity and Long memory of MIDAS volatility models” \nAbstract :This paper establishes the necessary and sufficient conditions for the weak and strict stationarity of MIDAS volatility models. Furthermore\, we also provide conditions for the existence of high-order moments and show that the HYGARCH-MIDAS model can mimic long-range dependence. \nOrganizers: \n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/mawuli-segnon-universitat-munster-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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