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April, 01 & 02, 2004

programme 11/03/04

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Thursday april 1st

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Thursday april 1st

 

 

 

Thursday, April 1 2004


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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