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VERSION:2.0
PRODID:-//AMSE//Event Calendar//FR
CALSCALE:GREGORIAN
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UID:event-8134@www.amse-aixmarseille.fr
DTSTAMP:20260430T071709Z
CREATED:20260430T071709Z
LAST-MODIFIED:20260430T071709Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:finance seminar - Wan Ni Lai
DTSTART:20210525T123000Z
DTEND:20210525T123000Z
DESCRIPTION:“Asset prices observed in the equity market often exhibit abr
 upt changes. While some changes can be momentary (jumps)\, other changes ca
 n persist for a longer period. Regime switching models are commonly employe
 d in the equity market returns to capture this behaviour. We show that forw
 ard-looking information extracted from option prices improves regime detect
 ion. In particular\, horizon differences in option-implied equity risk prem
 ia allow earlier detection of regime switches and produces clear regime swi
 tching probabilities. This finding holds across recent disaster periods lik
 e the 2008-2009 financial crisis and the 2020 Covid pandemic outbreak\, in 
 both US and emerging equity markets.”\\n\\nContact: Eric Girardin: eric.g
 irardin[at]univ-amu.frChristelle Lecourt: christelle.lecourt[at]univ-amu.fr
 \n\nPlus d'informations: https://www.amse-aixmarseille.fr/en/events/wan-ni-
 lai-0
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/wan-ni-lai-0
CONTACT:Eric Girardin: eric.girardin[at]univ-amu.frChristelle Lecourt: chri
 stelle.lecourt[at]univ-amu.fr
TRANSP:OPAQUE
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