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X-WR-CALDESC:Events for CREST
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TZID:Europe/Helsinki
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DTSTART:20260329T010000
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DTSTART:20261025T010000
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DTSTART;VALUE=DATE:20260507
DTEND;VALUE=DATE:20260509
DTSTAMP:20260711T081338
CREATED:20260109T071133Z
LAST-MODIFIED:20260109T071133Z
UID:18706-1778112000-1778284799@crest.science
SUMMARY:2nd CREST - IFAU Workshop - Evaluating Labor Market Policies: Methods and Results
DESCRIPTION:Evaluating Labor Market Policies: Methods and Results  \n2nd CREST – IFAU Workshop \n7-8 May\, 2026 – Uppsala\, Sweden \nKeynote Speakers: \n* Azeem Shaikh\, University of Chicago\n* Magne Mogstad\, University of Chicago \nScientific Committee:\nJonas Cederlöf (IFAU\, Uni. Edinburgh)\, Gerard J. van den Berg (University of Groningen\, IFAU)\, Xavier D’Haultfoeuille (CREST\, GENES)\, Sara Signorelli (CREST\, École polytechnique)\, Arne Uhlendorff (CREST\, CNRS)\, Ingeborg Waernbaum (Uppsala University\, IFAU)\, Roland Rathelot (CREST\, GENES)\, Johan Vikström (IFAU\, Uppsala University) \n
URL:https://crest.science/event/2nd-crest-ifau-workshop-evaluating-labor-market-policies-methods-and-results/
CATEGORIES:Conferences and Workshops,Economics
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20260507T100000
DTEND;TZID=Europe/Helsinki:20260507T110000
DTSTAMP:20260711T081338
CREATED:20260417T140454Z
LAST-MODIFIED:20260417T140454Z
UID:18921-1778148000-1778151600@crest.science
SUMMARY:Paolo Santucci de Magistris (Luiss\, Rome) "Illiquidity at Risk"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:07th of May  2026\nRoom 3001 \nPaolo Santucci de Magistris (Luiss\, Rome) “Illiquidity at Risk” \nAbstract :Market efficiency relies fundamentally on stable liquidity. Consequently\, forecasting liquidity dynamics is a priority for both investors and regulators. We introduce a new tail-risk metric\, Illiquidity-at-Risk (IlliQaR)\, designed to quantify the magnitude of extreme liquidity dry-ups. Relying upon the realized Amihud (a precise illiquidity measurement derived from high-frequency data as the ratio of realized volatility to trading volume) we assess the predictive power of various linear and non-linear econometric models\, with a specific focus on the impact of discontinuous jump components. Accounting for these jumps is essential for achieving accurate probability coverage and better IlliQaR predictions during periods of systemic stress\, where standard continuous models systematically underestimate the severity of liquidity evaporation. Our empirical analysis\, encompassing the S&P 500 index and a cross-section of 25 large U.S. equities\, demonstrates that incorporating jump dynamics significantly improves one-step-ahead forecasts of illiquidity. Our results suggest that individual stock IlliQaR violations often cluster during periods of S&P 500 liquidity stress. This indicates that Illiquidity at Risk is not just a localized concern but a systemic one\, where the main index acts as a leading indicator for extreme dry-ups in individual stock liquidity. \nJoint work : Demetrio Lavaca \n  \n
URL:https://crest.science/event/paolo-santucci-de-magistris-luiss-rome-illiquidity-at-risk/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20260507T110000
DTEND;TZID=Europe/Helsinki:20260507T120000
DTSTAMP:20260711T081338
CREATED:20260417T140800Z
LAST-MODIFIED:20260417T140800Z
UID:18922-1778151600-1778155200@crest.science
SUMMARY:Leopoldo Catania (Aarhus University) ": Autoregressive Models with Non-Causal ARCH Volatility""
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate:07th of May  2026\nRoom 3001 \nLeopoldo Catania (Aarhus University) “: Autoregressive Models with Non-Causal ARCH Volatility” \nAbstract : This paper introduces a novel non-causal (forward-looking) ARCH specification in which conditional heteroskedasticity depends on leads of the process. When observed in calendar time\, this time inversion allows large past shocks to affect the entire conditional distribution rather than only its scale\, as in standard ARCH models. The resulting forward-looking dynamics can generate symmetric bimodal predictive densities\, providing a new interpretation of economic uncertainty. We establish the stochastic properties of autoregressive processes with errors following the proposed non-causal ARCH specification and derive sufficient conditions for consistency and asymptotic normality of an Approximate Quasi–Maximum Likelihood Estimator (AQMLE). A kernel-based estimator of the marginal error distribution and the predictive density is also developed. Simulation results demonstrate good finite-sample performance. An empirical application to monthly CPI data shows that the proposed model captures distributional dynamics more effectively than traditional approaches\, particularly during periods of elevated uncertainty and volatility. \nJoint work : Gabriele Mingoli \n  \n
URL:https://crest.science/event/leopoldo-catania-aarhus-university-autoregressive-models-with-non-causal-arch-volatility/
CATEGORIES:Finance-Insurance,Seminars
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