Financial econometrics & statistics (RISK)

The increasing availability of large databases on a variety of socio-economic systems has opened, in recent years, new scientific perspectives and potential applications. The main purpose of this research pole will be to model extreme events and their impact on the economic and financial system, to characterize the transmission of risk, and to quantify environmental and climate hazards.

Keywords: Finance, Time Series, Contagion, Extreme value theory, Sustainable finance

Contact: Jean-Yves Gnabo, Sophie Béreau and Anna Kirikiouk

Relevant references:

  • Kiriliouk, A., Lee, J., & Segers, J. (2024). X-vine models for multivariate extremes. Journal of the Royal Statistical Society Series B: Statistical Methodology (in press).
  • Geraci, M. V., Gnabo, J. Y., & Veredas, D. (2023). Common short selling and excess comovement: Evidence from a sample of LSE stocks. Journal of Financial Markets, 65, 100833.
  • Gnabo, J. Y., & Soudant, J. (2022). Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds. Journal of Financial Stability, 63, 101059.
  • Gandica, Y., Béreau, S., & Gnabo, J. Y. (2020). A multilevel analysis of financial institutions’ systemic exposure from local and system-wide information. Scientific reports, 10(1), 17657.
  • Kiriliouk, A. and Naveau, P. (2020). Climate extreme event attribution using multivariate peaks-over-thresholds models and counterfactual theory.  Annals of Applied Statistics 14(3), 1342-1358.
  • Kiriliouk, A., Rootzén, H., Segers, J., & Wadsworth, J. L. (2019). Peaks over thresholds modeling with multivariate generalized Pareto distributions. Technometrics, 61(1), 123-135.
  • Geraci, M & Gnabo, J. Y. (2018). Measuring interconnectedness between financial institutions with Bayesian time-varying VARs, Journal of Financial and Quantitative Analysis, 53, 1371-1390.
  • Debarsy, N., Dossougoin, C., Ertur, C., & Gnabo, J. Y. (2018). Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. Journal of Economic Dynamics and Control, 87, 21-45.
  • Béreau, S., Gnabo, J. Y., & Vanhomwegen, H. (2020). Making a difference: European mutual funds distinctiveness and peers’ performance. Finance, 41(2), 7-51.
  • Gandica, Y., Geraci, M. V., Béreau, S., & Gnabo, J. Y. (2018). Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. Plos one, 13(4), e0195110.