08.30 - 09.00 REGISTRATION AND COFFEE
09.00 - 10.45
- Plenary session 1 :
Macroeconomics / Finance Interactions and fundamentals
1
Chairperson:
Georges Prat (MODEM, Univ. Paris X Nanterre)
Business Cycle Variability,
Stock Market Variability, Asymmetries and the
Risk Premium
Peter N.Smith, Steffen Sørensen (University
of York), Michael R.Wickens
US Stock Market Valuation:
The Role of the Macroeconomic Risk Premium
Christophe Boucher (Paris-North University, CEPN,
France)
The U.S. Stock Market and Fundamentals:
A Historical Decomposition
David Dupuis et David Tessier (Banque du Canada)
German Exchange Rate Exposure
at DAX and Aggregate Level, International Trade,
and the Role of Exchange Rate Adjustment Costs
Horst Entorf (Technische Universität Darmstadt,
and ZEW, Mannheim), Gösta Jamin (McKinsey
& Company, Munich)
Discutants : David Tessier
(Banque du Canada),
Christophe
Boucher (Paris-North University, CEPN)
10:45 - 11.15 COFFEE BREAK AND
POSTER SESSION
Poster Session :
Chairperson : Valérie
Mignon (THEMA, Univ. Paris X Nanterre)
Measuring the
profitability returns-to-scale of expenditures
on intangibles. Evidence from growth companies
at Neuer Markt
Leyla BEN NAOUI (Institut Supérieur
de Gestion de Tunis)
Intégration Financière
et Diversification Internationale de Portefeuilles
: Une Analyse Multivariée
Arouri Mohamed El Hedi (MODEM, Univ. Paris X)
Une mesure non-linéaire
de l'ajustement des cours boursiers à l'équilibre
: Estimation d'un modèle ESTECM
Fredj Jawadi (MODEM, Univ. Paris X)
Economies d'échelle
dans l'industrie française de la gestion
collective
Maryam Fellah Housni (Univ. Paris 2 Panthéon-Assas
et Centre Universitaire du Luxembourg)
Efficience du marché
de change et cointégration : cas de l'euro
Noureddine Ahmed (MODEM, U- Paris X Nanterre)
11.15 - 13.00
Invited Speakers:
Chairperson
: Gérard
Bekerman, Professor - Université Paris
II Panthéon Assas. Director - DESS
Techniques Financières et Bancaires
and Magistère
Banque finance.
Thomas LUX (Univ.
of Kiel, Department of Economics)
"Modelling Fluctuations in Financial
Markets: Scaling, Multi-Scaling and Their
Possible Origins"
Timo TERÄSVIRTA (Stockholm School of Economics).
"A time series model for a stochastic
process restricted by fixed boundaries"
13.00 - 14.00 LUNCH AND POSTER
SESSION
14.00 - 15.15
- Plenary session 2:
Microstructure
Chairperson
: Sandrine Lardic (MODEM, Univ. Paris X Nanterre)
Le risque de non-exécution
des ordres à la bourse de paris
Angélique Aubier (Université de
Rennes I Institut de Gestion de Rennes, CREREG)
Quelle est
l'influence des interruptions de cotation
sur la microstructure du marché boursier
français ? Une analyse intraquotidienne
en termes de rentabilité, volatilité
et volume
Karine Michalon (MODEM, Univ. Paris X)
Prévisibilité
des rentabilités boursières. Une
étude empirique du marché boursier
français sur données intraquotidiennes
Christine Stachowiak (MODEM, Univ. Paris X)
Discutant : Jean-Pierre
Indjehagopian (ESSEC)
15.15 - 16.30
- Plenary session 3:
Non-linear Models 1
Chairperson
: Catherine Bruneau (THEMA, Univ. Paris X Nanterre)
The Multi-Fractal
Model of Asset Returns: Its Estimation via GMM
and Its Use for Volatility Forecasting
Thomas Lux (Univ. of Kiel, Department of Economics)
Evaluating models
of autoregressive conditional duration
Mika Meitz, Timo Teräsvirta (Department of
Economic Statistics, Stockholm School of Economics)
Portfolio Performance
Measurement Using Higher-Order Moment and Nonlinear
Asset Pricing Kernel Models
Mohamed A. Ayadi (Department of Accounting and
Finance, Faculty of Business, Brock University),
Lawrence Kryzanowski (John Molson School of Business,
Concordia University)
Discutant :
16.30 - 17.00 COFFEE BREAK AND
POSTER SESSION
17.00 - 18.45
- Plenary session 4 :
Volatility
Chairperson
: Jean-Pierre Indjehagopian (ESSEC)
Conditionally
Heteroskedastic Factor Models: Identification
and Instrumental Variables Estimation
Catherine Doz (THEMA, University Cergy-Pontoise),
Eric Renault (CRDE, CIRANO, IFM2, University of
Montreal and CREST-Insee).
Modelling stock
returns in the G-7 and in selected CEE economies:
A non-linear GARCH approach
Balázs ÉGERT (Foreign Research Division,
Oesterreichische Nationalbank, William Davidson
Institute ; MODEM, University Paris X), Yosra
KOUBAA (MODEM, University Paris X)
Outliers and GARCH
models in daily financial data
Amélie Charles, Olivier Darné (LAMETA-CNRS,
Univ. Montpellier I)
Stock Market Volatility:
Examining North America, Europe and Asia
Lakshmi Bala (National University of Singapore,
Department of Economics)
Gamini Premaratne (National University of Singapore,
Department of Economics)
Discutant : Catherine
Bruneau (THEMA, Univ. Paris X Nanterre)
Friday, April 2 2004
08.30 - 09.00 COFFEE AND POSTER SESSION
09.00 - 10.45 - Plenary session
5 :
Anticipations and agents behaviour
Chairperson
: Bertrand Maillet (TEAM, Univ. Paris I, ESCP-EAP
and AAA)
Primes de risque
ex-ante sur le N.Y.S.E. : analyse des opinions
d'experts au niveau individuel Alain Abou,
Georges Prat (MODEM - CNRS et Univ. PARIS X)
Oil Price Volatility
: Influence of the Trader's Behaviour on the Term
Structure
J.P. Indjehagopian (ESSEC), C. Ioannidis (Brunel
University, Department of Economics and Finance),
F. Lantz (IFP)
Anticipations
de bénéfice et performances des
actions : une analyse des actions européennes
Hélène Colas (THEMA, Université
Parix X), Jérôme Teïletche (CDC
IXIS Capital Markets)
Les styles des
gérants D'OPCVM actions françaises
en 2003
Catherine Aaron (SAMOS, Paris I), Isabelle Bilon
(FORUM, Paris X), Sébastien Galanti (FORUM,
Paris X), Yamina Tadjeddine(FORUM, Paris X)
Discutant : Yamina
Tadjeddine (FORUM, Univ. Paris X), Georges Prat.
10.45 - 11.15 COFFEE AND POSTER SESSION
11.15 - 13.00 - Plenary session
6 :
Non-linear Models 2
Chairperson
: Hélène Raymond (CADRE, Univ. Lille
II)
Testing for Rational
Bubbles with Time Varying Risk Premium and Non-Linear
Cointegration: Evidence from the US and French
Stock Markets
Christophe Boucher (Université Paris-Nord,
CEPN, France)
Non-linear Analysis
of Shocks when Financial Markets are subject to
Changes in Regimes
Bertrand Maillet (TEAM/CNRS-Univ. Paris-1, ESCP-EAP
and A.A.Advisors (ABN-Amro Group)), Madalina Olteanu
(SAMOS-MATISSE - Univ. Paris-1), Joseph Rynkiewicz
(SAMOS-MATISSE - Univ. Paris-1)
VaR Non linéaire
Chaotique : Application à la Série
des Rentabilités de l'Indice DAX30
Catherine Kyrtsou (Université de Macédoine
et Université Montpellier I LAMETA.), Virginie
Terraza (CREA, Université du Luxembourg)
Assessing predictability
with surrogate data
Nicolas Wesner (MODEM Université Paris
X Nanterre)
Discutants : Christian
Dunis (Liverpool Business School,CIBEF),
Hélène
Colas (THEMA, Univ. Paris X Nanterre).
13.00 - 14.00 LUNCH AND POSTER SESSION
14:00-15:45 - Plenary session
7 :
Statistical Properties
Chairperson
: Christian Dunis (Liverpool Business School,CIBEF)
Time-Varying Seasonality
in the Chinese Stock Market
Eric Girardin (GREQAM, Université de la
Méditerranée, Aix-Marseille II),
Zhenya Liu ( PEOPLE'S University of China and
The University of Birmingham)
Probability Distributions,
Trading Strategies and Leverage: An Application
of Gaussian Mixture Models to the Morgan Stanley
High Technology 35 Index
Andreas Lindemann (Liverpool Business School,
CIBEF), Christian L. Dunis (Liverpool Business
School,CIBEF), Paulo Lisboa (School of Computing
and Mathematical Sciences)
Distributional
Properties of Portfolio Weights
Yarema Okhrin (Department of Statistics, Europe
University, Germany) and Wolfgang Schmid
Modèle
empirique d'évaluation des marchés
financiers
Jean-Philippe Jousseaume (Natexis Asset Management)
Discutants :
Yarema Okhrin (Department of Statistics, Europe
University, Germany), Ramdane Djoudad (Banque
du Canada).
15.45 - 16.15 COFFEE BREAK AND POSTER SESSION
16.15 - 17.30
- Plenary session 8 :
Macroeconomics / Finance Interactions and Fundamentals
2
Chairperson
: Philippe D'Arvisenet
Does Financial
Structure Matter for the Information Content of
Financial Indicators?
Ramdane Djoudad, Jack Selody, Carolyn Wilkins
(Bank of Canada)
High-Order
Consumption Moments and Asset Pricing
Andrei Semenov (Department of Economics, York
University)
L'influence des
rachats d'actions sur la prime de risque d'équilibre
Franck Martin (GREREG, Univ. Rennes I), Sébastien
MORIN (GREREG, Univ. Rennes I)
Discutant : Hélène
Raymond (CADRE, Univ. Lille II)
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