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Gaetan BAKALLI (GSEM, Switzerland) “A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 16th of December 2021 Room : 3001 Gaetan BAKALLI (GSEM, Switzerland) "A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia" Abstract :We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers […]

Jihyun Kim (TSE) “Heavy Factor Models : Identification and Estimation via PCA”

The Financial Econometrics Seminar:  Time: 11:00 pm Date: 27th of January 2022 Zoom Jihyun Kim (TSE) "Heavy Factor Models : Identification and Estimation via PCA" Abstract : This paper considers a factor model with heavy factors that have potentially unbounded variance. For the factor model, we revisit the validity of the PCA based identification and […]

Yang Zu (University of Nottingham) “Estimation of the variance function in bubble models with applications.”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 17th of February 2022 Zoom Yang Zu (University of Nottingham) "Estimation of the variance function in bubble models with applications." Abstract :In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple […]

Ibragimov, Rustam (Imperial College London) “New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence”. “

The Financial Econometrics Seminar:  Time: 11:30 pm Date: 17th of February 2022 Room 3001 Ibragimov, Rustam (Imperial College London) "New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence". " Abstract : Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the […]

Melanie SCHIENLE (karlsruhe institute of technology (KIT)) “Consistent model determination of ultra-high dimensional cointegrated time series”

The Financial Econometrics Seminar:  Time: 11:00 pm Date: 03th of March 2022 Room 3001 + Zoom Melanie SCHIENLE (karlsruhe institute of technology (KIT)) "Consistent model determination of ultra-high dimensional cointegrated time series" Abstract : This paper proposes a method for model determination in ultra-high dimensional cointegrated systems where the cross-section dimension $m$ can even largely […]

Alessandra LUATI (University of Bologna) “GARCH density and functional forecasts”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 31th of March 2022 Room 3001+ zoom Alessandra LUATI (University of Bologna) "GARCH density and functional forecasts" Abstract :This paper derives the analytic form of the multi-step ahead \pof\ density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The analytic form […]

Leopoldo CATANIA (Aarhus University) “The Leverage Effect and Propagation”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 14th of April 2022 Room 3001+ zoom Leopoldo CATANIA (Aarhus University) "The Leverage Effect and Propagation" Abstract : This paper proposes a new way to measure the leverage effect and its propagation over time. We also show that, with respect to the newly proposed measure, common volatility […]

Frederik OKSLUND (Aarhus University) “In Search of Regimes in Log-Realized Volatility”

The Financial Econometrics Seminar:  Time: 11:30 pm Date: 14th of April 2022 Room 3001+ zoom Frederik OKSLUND (Aarhus University) "In Search of Regimes in Log-Realized Volatility" Abstract :We investigate whether regimes exist in the realized log-volatility processes of a number of stock indices by applying a handful of dynamic mixture models to this process in […]

Arnaud DUFAYS (EDHEC) “FACTOR DYNAMICS, RISK PREMIA, AND HIGHER MOMENTS IN MULTI-FACTOR OPTION PRICING MODELS”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 9th of June 2022 Room 3001+ zoom Arnaud DUFAYS (EDHEC) "FACTOR DYNAMICS, RISK PREMIA, AND HIGHER MOMENTS IN MULTI-FACTOR OPTION PRICING MODELS" Abstract :The cross-section of options holds great promise for identifying return distributions and risk premiums, but estimating dynamic option valuation models with latent state variables […]

Sullivan HUE (Marseille University) “GAM(L)A: AN ECONOMETRIC MODEL FOR INTERPRETABLE MACHINE LEARNING”

The Financial Econometrics Seminar:  Time: 11:30 pm Date: 9th of June 2022 Room 3001+ zoom Sullivan HUE (Marseille University) "GAM(L)A: AN ECONOMETRIC MODEL FOR INTERPRETABLE MACHINE LEARNING" Abstract :Despite their high predictive performance, random forest and gradient boosting are often considered as black boxes or uninterpretable models which has raised concerns from practitioners and regulators. […]