Vasyl GOLOSNOY (Ruhr Universitat Bochum) will give a presentation on: A Simple Powerful Test for Global Minimum Variance Portfolio Weights Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices.

Alex Shestopaloff, Queen Mary University of London & Memorial University of Newfoundland will give a presentation on Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models Abstract: In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series shifted in t

Raffaella Calabrese, Edinburgh Business School will give a presentation on Climate stress-testing for mortgage default probability Abstract: Extreme natural disasters like tropical cyclones have a low probability of materialising but a high social and economic impact, including spillover to financial institutions.

Bert Willems, CORE will give a presentation on Electricity Forward Premium: Renewable Integration and Skewness Preference   Abstract: This paper presents new components that explain the risk premium priced in electricity forward and futures contracts. These components relate to the inclusion of renewable power sources in electricity markets.

Vasyl Golosnoy, Ruhr Universitat Bochum will give a presentation on A Simple Powerful Test for Global Minimum Variance Portfolio Weights Abstract: Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices.

Erica Perego (CEPII) will give a presentation on US monetary policy spillovers to developing countries: the commodity-financial channel Authors: Erica Perego (CEPII), Vincent Bodart (IRES, UCL), François Courtoy (European Commission) Abstract: As commodities are exchanged as international nancial securities, commodity prices are affected by the global financial cycle through international inv

Eva Lütkebohmert-Holtz (U. Friburg) will give a presentation on Deep Learning Name Concentration Risk for Portfolios of Multilateral Development Banks Abstract: As institutions that predominantly lend to sovereign borrowers to achieve their development goals, Multilateral Development Banks’ (MDBs) loan portfolios typically consist of a small number of borrowers.

David Ardia (HEC Montréal) will give a presentation on Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified Abstract: The decomposition of hedge fund returns is hampered by model misspecification. To address this issue, we develop a novel approach to compare models in a large population of funds.

This four-day summer school will cover empirical macro-finance research on monetary policy and the yield curve. The course starts with an overview of different approaches to model the behavior of monetary policy, the term structure of interest rates, and the interactions between the two.

Gunther Capelle-Blancard (Université Paris 1) will give a presentation on Does it pay to be gender-friendly? Evidence from Portfolio Strategies Abstract : In this study, we examine whether gender-based investment strategies have an impact on financial performance.