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Sushant Acharya (Federal Reserve Bank of New York)
TSE, October 13, 2015, 17:00–18:30, room MS 001
How do capital flows and exchange rate dynamics shape the adjustment of the global economy in a liquidity trap? We analyze this question in a model with nominal rigidities featuring two regions: North and South. When the North is pushed to the zero bound on interest rates, downstream capital flows...
Dacheng Xiu (University of Chicago, Booth School of Business)
TSE, October 13, 2015, 15:30–17:00, room MS 001
Under a large dimensional approximate factor model for asset returns, we use high frequency data to infer their covariance structure. We adapt principal component analysis (PCA) to this high frequency setting and provide an asymptotic theory that covers joint in-fill time series and diverging cross...
Nenad Kos (Bocconi University)
Toulouse: TSE, October 13, 2015, 11:00–12:30, room MS 001
We study optimal selling strategies of a seller who is poorly informed about the buyer’s value for the object. When the maxmin seller only knows that the mean of the distribution of the buyer’s valuations belongs to some interval then nature can keep him to payoff zero no matter how much...
Jeremy Fox (Rice University, Houston)
TSE, October 12, 2015, 14:00–15:30, room MF 323
Abstract Agents in two-sided matching games vary in characteristics that are unobservable in typical data on matching markets. We investigate the identification of the distribution of these unobserved characteristics using data on who matches with whom. The distribution of match-specific...
Sylvain Piron
IDEI, October 12, 2015, 12:30–14:00, room MF 323
In case we need an abstract, it could be: “Sylvain Piron is a historian at EHESS who will present his work on Pierre de Jean Olivi, an important economic thinker of the Middle-Ages who lived in Narbonne around the end of the thirteenth century. Among other things, Sylvain Piron will discuss how...
Tiziano De Angelis (University of Manchester)
Toulouse: TSE, October 9, 2015, 14:00–15:30, room MF 323
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...
Friederike Mengel (U Essex)
TSE, October 9, 2015, 10:00–11:15, room MF323
Manufacture des Tabacs, Toulouse, France, October 9–10, 2015, room MS 001
Daniel L. Chen
Toulouse: TSE, October 8, 2015, 15:30–17:00, room MS001
During World War I, the British military condemned over 3,000 soldiers to death, but only executed 12%; the others received commuted sentences. Many historians believe that the military command confirmed or commuted sentences for reasons unrelated to the circumstances of a particular case and that...
Patrice Bertail (MODAL'X - Université Paris-Ouest)
Toulouse: TSE, October 8, 2015, 11:00–12:30, room MS 001
We review in this paper several statistical methods, specifically tailored for Markov processes with a view towards their extremal behavior. Precisely, this paper proposes some statistical inference tools for extremal events from a regeneration theory angle.Indeed, Harris Markov chains may be...
