Department of Banking and Financial Management  University of Piraeus

Academic Seminar Series

Academic Seminar Series

Thursday, February 29^th, 2024 / Time: 16:15 – 17:30, Online

A stochastic model for the duration of climate change news events

Hany Fahmy   

Royal Roads University

Abstract

We propose a stochastic model where attention to climate change news is regarded as a Brownian motion and its first passage time to a single absorbing barrier, i.e., its duration, is a random variable whose probability distribution is the Inverse Gaussian (IG). We derive the IG duration hazard function for different types of climate change news events and show that it can predict the response time of asset prices to climate risk. We use the IG distribution to extend the autoregressive conditional duration model and test the empirical validity of this extension using a novel intraday climate duration data set.

Hany Fahmy is an Associate Professor and the Finance Intellectual Lead the School of Business in the Faculty of Management at Royal Roads University. Fahmy’s field of specialization is Time Series Econometrics and its applications to Behavioral Finance, Climate Finance, Energy Finance, and Portfolio Theory. Fahmy’s work has been published in top tier peer-reviewed journals in the fields of Economics and Statistics. Hany held academic positions in the Department of Statistics at University of Waterloo, in the Department of Economics at the University of New Brunswick. He also worked as an Economic Consultant at the American Chamber of Commerce. He is an active member of the Canadian Sustainable Finance Network (CSFN).

This seminar will be online on Teams. Click here to attend