BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20240331T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20241027T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240516T100000
DTEND;TZID=Europe/Helsinki:20240516T110000
DTSTAMP:20260816T155852
CREATED:20240214T083417Z
LAST-MODIFIED:20240424T085436Z
UID:16690-1715853600-1715857200@crest.science
SUMMARY:Jose OLMO (Univ. of Zarragoza and Univ. of Southampton.) "MEASURING AND TESTING SYSTEMIC RISK FROM THE CROSS-SECTION OF STOCK RETURNS"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10:00 am\nDate: 16th of May 2023\nRoom 3001 \nJose OLMO (Univ. of Zarragoza Univ. of Southampton) “MEASURING AND TESTING SYSTEMIC RISK FROM THE CROSS-SECTION OF STOCK RETURNS” \nAbstract : This study proposes a novel measure of systemic risk that is obtained by aggregating downside risk information from the cross section of assets. In contrast to existing studies\, we expand the analysis of systemic risk to many assets and focus on marginal measures of tail risk that are aggregated using a Fisher type test to detect the risk of systemic events. The presence of downside risk for each asset of the cross section is examined through a bootstrap test of first order stochastic dominance between the underlying tail distribution and the tail distribution of the residuals of a multivariate DCC-GARCH model. The application of these methods to the cross section of the FTSE-100 stock returns provides overwhelming evidence on the presence of financial instability during the period 2006-2009. Interestingly\, we also find compelling evidence of systemic risk during the 2012-2015 period coinciding with the European debt crisis and after the outbreak of the COVID-19 pandemic.\n(joint with Jesus Gil-Jaime)\n \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/jose-olmo-univ-of-zarragoza-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240516T110000
DTEND;TZID=Europe/Helsinki:20240516T120000
DTSTAMP:20260816T155852
CREATED:20240214T083237Z
LAST-MODIFIED:20240424T085224Z
UID:16689-1715857200-1715860800@crest.science
SUMMARY:Stefan VOIGT (Univ. of Copenhagen) "MARKET RESPONSES TO A VIX IMPULSE"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 16th of May 2023\nRoom 3001 \nStefan VOIGT (Univ. of Copenhagen) “MARKET RESPONSES TO A VIX IMPULSE ” \nAbstract : Implied variance (VIX) impulses can be caused by either (i) an increase in expected future realized variance\, or (ii) an increase in the variance risk premium. We analyze twenty billion NASDAQ order book messages for equity and government-bond exchange-traded funds to delineate how the market responds to shocks in either of these two components. The response to a variance risk premium shock is that investors actively sell equities and buy government bonds on largely unchanged liquidity. The response to a expected realized variance shock\, on the other hand\, is active buying of equities on worse liquidity. We provide intuition for these findings.\n(joint with Nikolaus Hautsch and Albert J. Menkveld)\n \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/stefan-voigt-univ-of-copenhagen-t-b-a/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20240516T120000
DTEND;TZID=Europe/Helsinki:20240516T133000
DTSTAMP:20260816T155852
CREATED:20240326T155925Z
LAST-MODIFIED:20240326T155947Z
UID:16885-1715860800-1715866200@crest.science
SUMMARY:Gaël LE MENS (Universitat Pompeu Fabra) - Scaling Political Texts with ChatGPT
DESCRIPTION:Sociology seminar – Thursdays\nTime: 12:00 pm – 1:30 pm \nDate: 16th May 2024\nPlace: room 3105 \nZOOM LINK: https://zoom.us/j/97751150432?pwd=NUpGdDg1OW9uSFNxZWNxUTR0ZjRNUT09 \n\nGaël LE MENS (Universitat Pompeu Fabra) – Scaling Political Texts with ChatGPT\n  \nAbstract: \nWe use GPT-4 to obtain position estimates of political texts in continuous spaces. We develop and validate a new approach by positioning British party manifestos on the economic\, social\, and immigration policy dimensions and tweets by members of the US Congress on the left-right ideological spectrum. For the party manifestos\, the correlation between the positions produced by GPT-4 and experts is 93% or higher\, a performance similar to or better than that obtained with crowdsourced position estimates. For individual tweets\, the positions obtained with GPT-4 achieve a correlation of 91% with crowdsourced position estimates. For senators of the 117th US Congress\, the positions obtained with GPT-4 achieve a correlation of 97% with estimates based on roll call votes and of 96% with those based on campaign funding. Correlations are also substantial within party\, indicating that position estimates produced with GPT-4 capture within-party differences between senators. Overall\, using GPT-4 for ideological scaling is fast\, cost-efficient\, and reliable. This approach provides a viable alternative to scaling by both expert raters and crowdsourcing. \n  \nOrganizers: Annina Cleasson\, Paola Tubaro\, Patrick Präg (CREST Sociology unit) \n  \nSponsors: CREST \n  \n
URL:https://crest.science/event/gael-le-mens-universitat-pompeu-fabra-scaling-political-texts-with-chatgpt/
CATEGORIES:Seminars,Sociology
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR