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METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20231006T140000
DTEND;TZID=America/Chicago:20231006T150000
DTSTAMP:20260410T062700
CREATED:20230724T173619Z
LAST-MODIFIED:20230725T205237Z
UID:1085-1696600800-1696604400@www.math.ttu.edu
SUMMARY:Identification and Estimation of Parameter Instability in High Dimensional Approximate Factor Models
DESCRIPTION:Speaker: Prof. Ruiqi Liu\, Department of Mathematics & Statistics\, Texas Tech University \nAbstract: This paper introduces a novel approach for estimating structural break ratios in the factor loadings of high-dimensional approximate factor models\, where the breaks occur at unknown common dates and the number of factors is unknown. Our method is based on the observation that the sum of the numbers of pseudo factors in the pre- and post-split subsamples is minimized when the sample is split at the structural break. By appropriately transforming these criteria using the eigenvalue ratios of the covariance matrices of the pre-  and post-split subsamples\, we derive consistent estimators for the structural break ratios. Notably\, our framework exhibits remarkable flexibility in accommodating weak factors and can be easily extended to handle multiple breaks. We also introduce a data-driven process to determine the number of breaks. Monte Carlo simulations demonstrate good performance of the proposed estimators. Furthermore\, in an empirical analysis of the FRED-MD dataset\, we identify two structural breaks around January 1983 and March 2009.
URL:https://www.math.ttu.edu/mathematicalfinance/event/identification-and-estimation-of-parameter-instability-in-high-dimensional-approximate-factor-models/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/07/R_Liu.png
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DTSTART;TZID=America/Chicago:20231013T120000
DTEND;TZID=America/Chicago:20231013T130000
DTSTAMP:20260410T062700
CREATED:20230725T204825Z
LAST-MODIFIED:20230725T210003Z
UID:1106-1697198400-1697202000@www.math.ttu.edu
SUMMARY:Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital
DESCRIPTION:Speaker: Massimo Guidolin\, Department of Finance\, Bocconi University\, Milan\, Italy \nAbstract: We test the performance of two ESG score-driven quantitative signals on a large\, multi-national crosssection of European stock returns. In particular\, we ask whether in the cross-section\, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum over a period of time) of their ESG scores or by their “stability” (identified as the volatility of the scores over a period of time)\, measured around a given slope. We find that 1-month\, short-term ESG momentum is priced in the cross-section of stock returns and that it lowers the ex-ante cost of capital (at the same time causing realised ex-post average abnormal returns). Short-term ESG momentum may represent a novel\, priced systematic risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility stocks leads to a significant alpha and alters the ex-ante cost of capital. Both quantitative ESG signals lead to portfolio sorts and long-short strategies that increase the speed of improvement of the aggregate sustainability profile of the resulting portfolios with no costs in terms of average ESG scores or their stability. (This is joint work with I. Berk and M. Magnani.)
URL:https://www.math.ttu.edu/mathematicalfinance/event/strong-vs-stable-the-impact-of-esg-ratings-momentum-and-their-volatility-on-the-cost-of-equity-capital/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/07/Guidolin-e1751900326458.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231027T120000
DTEND;TZID=America/Chicago:20231027T130000
DTSTAMP:20260410T062700
CREATED:20230828T161431Z
LAST-MODIFIED:20230828T161431Z
UID:1181-1698408000-1698411600@www.math.ttu.edu
SUMMARY:Investigating Short-Term Dynamics in Green Bond Markets
DESCRIPTION:Speaker: Prof. Lorenzo Mercuri\, Dept. of Economics\, Management & Quantitative Finance Methods\, University of Milan \nAbstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process. Specifically\, using Hawkes processes where the intensity is described through a continuous time moving average model\, we study the high frequency dynamics of bond prices. We also introduce a bivariate extension of the model that deals with the cross-effect of upward and downward price movements. Empirical results suggest that differences emerge if we consider periods with relevant interest rate announcements\, especially in the case of an issuer operating in the energy market.
URL:https://www.math.ttu.edu/mathematicalfinance/event/investigating-short-term-dynamics-in-green-bond-markets/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/mercuri.jpg
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