Session plénière
1 :
Interactions macroéconomie / finance et fondamentaux
1
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)
Conférenciers
invités :
"Modelling
Fluctuations in Financial Markets: Scaling, Multi-Scaling
and Their Possible Origins"
Thomas LUX (Univ. of Kiel, Department of Economics)
"A
time series model for a stochastic process restricted
by fixed boundaries"
"Timo TERÄSVIRTA (Stockholm School of
Economics).
Session plénière
2 : Microstructure
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)
Session
plénière 3 : Modèles non-linéaires
1
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)
Session plénière
4 : Volatilité
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)
Session plénière
5 : Anticipations et comportement des agents
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)
Session plénière
6 : Modèles non linéaires 2
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)
Session plénière
7 : Propriétés statistiques
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)
Session plénière
8 : Interactions macroéconomie/ finance et
fondamentaux 2
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)
Poster session
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)
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