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X-ORIGINAL-URL:https://crest.science
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;TZID=Europe/Helsinki:20260518T121500
DTEND;TZID=Europe/Helsinki:20260518T133000
DTSTAMP:20260710T210820
CREATED:20260506T060220Z
LAST-MODIFIED:20260507T074320Z
UID:18949-1779106500-1779111000@crest.science
SUMMARY:Pablo WINANT (CREST/ESCP/Polytechnique) "Insurability and Premia in Foreign Exchange Markets"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Macro seminar\nTime : 12h15 – 13h30 \nDate : 18th  May 2026 \nSalle 3001 \nPablo WINANT (CREST/ESCP/Polytechnique) “Insurability and Premia in Foreign Exchange Markets” \nAbstract: We propose a tractable small-open-economy framework in which uncovered interest parity premia on foreign exchange (FX) markets are related to the endogenous insurability of exchange rates. Asymmetric information about monetary policy can make the tails of the exchange rate distribution uninsurable in FX hedging markets\, which in turn generates premia in FX spot markets. There is a role for government intervention because of an information sensitivity externality: agents do not internalize that their actions can cause more exchange rates to become uninsurable. The framework reveals that premia may be amplified by weaknesses in monetary\, fiscal\, and financial policy frameworks. Premia can be mitigated through macroeconomic policy reforms which reduce the sensitivity of exchange rates to private information. The constrained efficient policy remedies depend on country-specific characteristics such as the composition of lenders holding the external debt. Possible remedies include delegation of monetary policy to an “aloof central banker”\, constraints on fiscal policy\, more active use of macroprudential tools\, and institutions designed to publish or hide information. \n  \nJoint work : Suman Basu (IMF). \n
URL:https://crest.science/event/pablo-winant-crest/
CATEGORIES:Macroeconomics,Seminars
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DTSTART;TZID=Europe/Helsinki:20260518T140000
DTEND;TZID=Europe/Helsinki:20260518T153000
DTSTAMP:20260710T210820
CREATED:20260505T072839Z
LAST-MODIFIED:20260505T072839Z
UID:18945-1779112800-1779118200@crest.science
SUMMARY:Yannick BARAUD (Université du Luxembourg) - A Robust Alternative to Least Squares in Regression
DESCRIPTION:Statistical Seminar: Every Monday at 2:00 pm.\nTime: 2:00 pm – 3:00 pm\nDate: 18th May\nPlace: 3001 \nYannick BARAUD (Université du Luxembourg) – A Robust Alternative to Least Squares in Regression \n Abstract:  \nIn collaboration with Guillaume Maillard\, we study the estimation of a regression function under weak assumptions on the error distribution. In particular\, we do not assume that the errors are i.i.d.\, nor that they have finite variance or exponential moments; we only require them to be independent and centered (and hence integrable). In particular\, when the errors are square-integrable\, they may\, for instance\, be heteroscedastic. \nWithin this statistical framework\, we introduce a generic estimation method that yields estimators whose performance automatically adapts to the integrability properties of the errors. For these estimators\, we establish non-asymptotic risk bounds for the L_1-loss. When the regression function belongs to a linear space and the errors are Gaussian but not necessarily i.i.d.\, these estimators exhibit remarkable robustness properties: they may converge at parametric rate (up to a logarithmic factor) in situations where classical least squares is not even consistent. \nNevertheless\, we mainly illustrate their properties in the context of estimating a regression function under a shape constraint\, such as monotonicity\, unimodality\, or convexity. We show that the proposed estimator is not only robust with respect to this a priori shape assumption\, but also exhibits adaptation properties which are similar to those established for the least squares under the additional assumptions that the errors are i.i.d. and square-integrable. \nOrganizers: \nAnna KORBA (CREST)\, Vincent DIVOL (CREST) \, Jaouad MOURTADA (CREST) \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/yannick-baraud-universite-du-luxembourg-a-robust-alternative-to-least-squares-in-regression/
CATEGORIES:Seminars,Statistics
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DTSTART;TZID=Europe/Helsinki:20260518T160000
DTEND;TZID=Europe/Helsinki:20260518T171500
DTSTAMP:20260710T210820
CREATED:20260409T113915Z
LAST-MODIFIED:20260409T114139Z
UID:18906-1779120000-1779124500@crest.science
SUMMARY:Karun ADUSUMILLI (University of Pennsylvania) "You've Got to be Efficient: Ambiguity\, Misspecification and Variational Preferences"
DESCRIPTION:PSE Seminar : \nTime: 16:00 pm – 17:15 pm\nDate: 18th of may\nRoom : 3001 \n  \nKarun ADUSUMILLI (University of Pennsylvania) –  “You’ve Got to be Efficient: Ambiguity\, Misspecification and Variational Preferences” \n  \nAbstract : \nThis article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set — a frequentist model that pairs a possibly misspecified likelihood with every possible prior — and uniformly expand it by a Kullback–Leibler radius to accommodate likelihood misspecification. We show that optimal decisions under this framework are equivalent to minimax decisions with an exponentially tilted loss function. Misspecification manifests as an exponential tilting of the loss\, while ambiguity corresponds to a search for the least favorable prior. This separation between ambiguity and misspecification enables local asymptotic analysis under global misspecification\, achieved by localizing the priors alone. Remarkably\, for both estimation and treatment assignment\, we show that optimal decisions coincide with those under correct specification\, regardless of the degree of misspecification. These results extend to semi-parametric models. As a practical consequence\, our findings imply that practitioners should prefer maximum likelihood over the simulated method of moments\, and efficient GMM estimators — such as two-step GMM — over diagonally weighted alternatives. \n  \nOrganizer :\nLaurent DAVEZIES (Pôle économie du CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/https-sites-google-com-site-adusumik/
CATEGORIES:Paris Econometrics Seminar,Seminars
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