Menu

  Welcome of this Conference

  Submit

  Program

  Registration

  Informations

  Papers


Newsletter
 
EXCHANGE RATE and RISK ECONOMETRICS

Athens  October 19 - 20, 2006

  Home page   Presentation AEA   Conferences   Publications   "Le REZO"  
Français
¦›tr>
Scientific Program Unemployment Chomage

 

version mise à jour le 20/10/06

Canevas du Programme Scientifique

  Jeudi 19 Octobre

09h00 – 11h00

11h15– 12h30

13h30 – 15h00

15h30– 17h00

17h00– 18h30

 

Vendredi 20 Octobre

09h00 – 10h45

11h15– 12h45

14h00 – 16h00



 

Thursday, October 19

 

Real Exchange Rate Estimations - 19/10/2006 - 09h00-11h00

Sectoral Real Exchange Rate Adjustments in Europe
Michael Bergman - Department of Economics U. of Copenhagen

How Real Are Real Exchange Rates?
Elif Cepni - Dogus U., Nezir Köse, Yeliz Yalçın- Gazi U.

The Behavioural Equilibrium Exchange Rate of the Czech Koruna
Lubos Komarek, Martin Melecký - Czech National Bank

Foreign Exchange Risk Premium Determinants: Case of Armenia
Tigran Poghosyan, Evzen Kocenda and Petr Zemcik- CERGE-EI, Prague

Purchasing Power Parity for Developing and Developed Countries. What Can we Learn from Non-Stationary Panel Data Models?
Christophe Rault, Imed Drine - LEO, U. d’Orléans,

Degree of Competition and Real Exchange Rate: Evidence from a Panel of Exporting Companies
Marie Rakova, Jiří Podpiera - Czech National Bank

Pula-Dollar Exchange Rate and the Purchasing Power Parity Theory for Botswana
Paul Thomas - National Institute Of Bank Management, G.R. Motlaleng, U. Bostwana

 

 

Welcome Session and Keynote Speech - 19/10/2006 - 11h15-12h30
Chair : Virginie Terraza & Costas Siriopoulos

Dr Michel DACOROGNA
Head of Financial Analysis and Risk Modelling Team, Converium Ltd.

Lessons Learned from Studying High Frequency Data in Finance

 

 

Evaluating Risk Model - 19/10/2006 - 13h30-15h00

Risk and Return on the Bond Markets: Past Development and Future Prospects
Allan Bødskov Andersen, Jakob Lage Hansen - Danmarks Nationalbank

Macroeconomic Sources of Risk in the Term Structure
Hiona Balfoussia, Mike Wickens, - Bank of Greece and U. of York

Les indicateurs d’aversion pour le risque peuvent-ils anticiper les crises financières ?
Virginie Coudert, Mathieu Gex,- Banque de France

Corruption and Growth: Under Weak Identification
Philip Shaw, Marina-Selini Katsaiti, and Marius Jurgilas - U. of Connecticut

Valuing Volatility Spillovers in European Stock Markets
George Milunovich - Macquarie U., Susan Thorp, School of Finance and Economics

Modeling Stock Market Returns: A Markov Switching Regime Approach
Aristeidis Samitas - U. of the Aegean

 


Specific Economics Risks - 19/10/2006 - 15h30-17h00

Foreign Exchange Intervention, Sterilization and Monetary Aggregates in Nigeria: An Empirical Investigation
Adebayo Adebiyi - U. of Lagos

Taxation and the International Strategy of Japanese Multinational Enterprises
Céline Azémar, Grégory Corcos and Andrew Delios - U. Paris I

Modeling CO2 Emission Allowance Prices and Derivatives:Evidence from the EEX
George Daskalakis, Dimitris Psychoyios and Raphael N. Markellos- Athens U. of Economics and Business

MNE-Specific Country Risk: Accounting for The Ignored Determinant of MNE Location
Rodolphe Desbordes - U. Paris I

"Rules of Thumb" for Sovereign Debt Crises
Paolo Manasse, Nouriel Roubini - U. of Bologna and IMF

 


Trading and Market Risk - 19/10/2006 - 17h00-18h30

Classification, Performance et Choix de fonds
Pascal Damel, Hery Razafitombo & Nadège Peltre - U. de Metz

Trading Futures Spread Portfolios: Applications of Higher Order and Recurrent Networks
Christian Dunis, Jason Laws, Ben Evans, - Liverpool Business School

Market Conditions, Risk, Fundamentalists and Noise Traders in the U.S. Dollar Market
Stephanos Papadamou - U. of Thessaly, Costas Siriopoulos, U Patras

Optimizing Trading Strategies through Genetic Programming
Nicos Pavlidis - U. of Patras, E.G. Pavlidis - Lancaster U., M.N. Vrahatis - U. Patras

 

 

Friday, October 20

 

Exchange Risk and Forecasting - 20/10/2006 - 09h00-10h45

Forecasting and Combining Competing Models of Exchange Rate Determination
Carlo Altavilla, Paul De Grauwe - U. of Naples-Parthenope

Exchange Policy of Ukraine: Features of Macroeconomic Regulation
Ashot Barsegyan - Taurida National U.

The Foreign Exchange Options Markets in a Small Open Economy
Menachem Brenner, Ben Z. Schreiber - Stern School of Business

Forecasting Exchange Rates of Major Currencies with Long Maturity forward Rates
Zsolt Darvas, Zoltán Schepp - Corvinus University of Budapest

Analyse microstructurelle du comportement du teneur de marché des changes : Etude intra-journalière de l’activité d’un teneur de marché tunisien
Imen Kouki - Institut supérieur d'informatique et de gestion Tunisie

EMU and Market Risk Exposures of Croatian Banks
Ivica Prga, Ivan Sverko - Erste & Sterimarkische Bank Rijeka

The Dynamics of ex-ante Risk Premia in the Foreign Exchange Market - An Application to the Yen/USD based on Survey Data
Georges Prat, Remzi Uctum - U. de Paris X

 


Financial Risk Management - 20/10/2006 - 11h15-12h45

Which Firms (Believe They) Have a Soft Loan? Evidence from a Cross-Country Survey in Transition Economies
Céline Bignebat, MOISA-INRA, Fabian Gouret - Centre d'Economie de la Sorbonne Pôle ROSES

Information on Risks, and the Management of Non-Conventional Corporate Risks
Jean-Baptiste Lesourd, Steven G.M. Schilizzi, Ephraim Clark - U. de la Méditerranée

Testing for Mutual Funds Performance Persistence to Resolve the ExPost Verification Problem: Evidence from a Small European Market
Nikolaos Philippas - U. of Piraeus

The Benefits of International Diversification during the Asian Crisis
Ariane Szafarz, M. Brière - ULB, Solvay Business School, CEB

Forecasting Future Portfolio Performance: the Revival of the Harmonic Mean
Spyros Missiakoulis, Dimitrios Vasiliou, and Nikolaos Eriotis - Hellenic Open U.

 

Volatility and Value-At-Risk Models - 20/10/2006 - 14h00-16h00

Volatility Forecasting: the Illusion of Choosing One Model In All Cases
Timotheos Angelidis, Stavros Degiannakis- Athens Laboratory of Business Administration

VaR and ES for Linear Portfolios with Mixture of Generalized Laplace Distributions Risk Factors
Jules Sadefo Kamdem - U. of Antwerp

Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis
G.A. Karathanassis, V.I. Sogiakas, Athens U. of Economics and Business

Value-at-Risk for Long and Short Trading Positions: the Case of the Athens Stock Exchange
Panayiotis F. Diamandis,Georgios P. Kouretas and Leonidas Zarangas - U. of Crete

The Finite Sample Properties of the GARCH Option Pricing Model
George Dotsis, Raphael Markellos -Athens U. of Economics & Business

Real Exchange Rate Volatility and Exports: Argentine Perspectives
Diego Nicolas Moccero, Carlos Winograd - Paris Jourdan Sciences Economiques

Empirical Scaling Rules for Value-at-Risk (VaR)
Vikentia Provizionatou, Sheri Markose, Olaf Menkens - Centre for Computational Finance and Economics Agents, (CCFEA)

Backtesting VaR Accuracy: A Simple and Powerful Test
Christophe Hurlin, Sessi Tokpavi - LEO (Laboratoire d'Economie d'Orléans)