Archives for CORE
October 14, 2016
Seminar: Paolo Zaffaroni
Estimating Risk Premia Using Large Cross-Sections
Paolo ZAFFARONI, Imperial College, London
Tens of thousands of stocks are traded every day in financial markets, providing an extremely rich information set to validate and estimate asset pricing models. At the same time, it is convenient...
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October 13, 2016
Seminar: Nuno Palma
The Existence and Persistence of Liquidity Effects: Evidence From a Large-scale Historical Natural Experiment
Nuno Palma (European University Institute and University of Groningen)
The discovery of mines of precious metals in Central and South America led to a massive exogenous monetary...
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October 12, 2016
Brown Bag Seminar: Angela Armakola
Monitoring CCP Resilience Using Public Data
Angela Armakola (Université Paris 1 Panthéon-Sorbonne and Labex ReFi)
Ms. Armakola will give a review of her work on CCPs based on two articles:
“CCP resilience and clearing membership “ with Jean-Paul Laurent
Abstract: We consider...
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October 07, 2016
Seminar: Francis X. Diebold
Estimating Global Bank Network Connectedness
Francis X. Diebold, University of Pennsylvania
(joint with Mert Demirer, Laura Liu and Kamil Yilmaz)
We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top 150 banks, 2003-2014....
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Seminar: Albert Marcet
Stock Price Booms and Expected Capital Gains?
Albert Marcet (CSIC), ICREA, UAB, MOVE, Barcelona GSE & CEPR)
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors’ subjective capital gains expectations. As we...
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