Archives for LFIN

Finance Seminar

Financial Research Seminar: William Goetzmann

You are kindly invited to the Seminar in Financial Research co-organised by the National Bank of Belgium and the Belgian universities (KU Leuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, USaint-Louis, Vlerick and VUB) by William Goetzmann (Yale University) on Bubbles and Crashes:...
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Ph.D. Course on Volatility Modeling

Ph.D. Course on Volatility Modeling by Tim Bollerslev (DUKE)

Ph.D. Course on Volatility Modeling by Tim Bollerslev (DUKE) Brussels, 21-22-23 January 2019 Outline and the speaker This short-course (9h) presents an overview of the topic “Volatility Modeling,” starting from basic ARCH/GARCH type models all the way to more recent realized...
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Finance Seminar

Finance Seminar: Estate Khmaladze

Joint with ISBA New approach to distribution-free testing for linearity of regression. Related topics and extensions Estate Khmaladze, University of Wellington, NZ Consider the classical problem that in the pairs $(X_i,Y_i)$, the response variables $Y_i$ have linear regression $a+bX_i$...
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Finance Seminar

Pascal François, HEC Montréal

Comoment Risk in Corporate Bond Yields and Returns Pascal François, HEC Montréal This paper provides a comoment factor analysis of corporate bond returns using sector index bond portfolios. Corporate bond excess default return are decomposed into systematic default risk premiums...
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Finance Seminar

Andrea Vedolin, Boston University

Central Bank Communication and the Yield Curve Andrea Vedolin, Boston University Using the institutional features of ECB monetary policy announcements, we provide evidence for the risk premium channel of central bank communication. While central bank communication had a...
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