STOCK MARKETS CONFERENCE 
Analysis and Prediction
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April, 01 & 02, 2004
 

ABSTRACTS

ALL THE ABSTRACTS OF THE CONFERENCE
"Stock Markets", in .PDF
version

You can obtain an abstract by selecting the author (alphabetical order)
or by selecting the adequate session


 

 

 

Plenary session 1 : Macroeconomics / Finance Interactions and fundamentals 1
Invited Speakers
Plenary session 2 : Volatility
Plenary session 3 : Non-linear Models 1
Plenary session 4 : Microstructure
Plenary Session 5 : Anticipations and agents behaviour
Plenary Session 6 : Non-linear Models 2
Plenary Session 7 : Statistical Properties
Plenary Session 8 : Macroeconomics / Finance Interactions and Fundamentals 2
Poster Session


 

 

 

 

 

 

 

 

 

Plenary Session 1 :
Macroeconomics / Finance Interactions and fundamentals 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).

 

Plenary Session 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)

 

Plenary Session 3 : Non-linear Models 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)

 

Plenary Session 4 : Volatility

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)

 

Plenary Session 5 : Anticipations and agents behaviour

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)

 

Plenary Session 6 : Non-linear Models 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)

 

Plenary Session 7 : Statistical Properties

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)

Plenary Session 8 : Macroeconomics / Finance Interactions and Fundamentals 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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