Important Deadlines:
Paper Submission
June 1st, 2015
Acceptance notification
July 1st, 2015
Registration Deadline August 15th, 2015
Last modified:
February 16, 2022 14:54:34
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Scientific Program
Friday, September 25, 2015
| 08:00 - 08:30 |
Registration |
| 08:30 - 08:45 |
Introduction |
| 08:45 - 09:00 |
Opening by Christoph Badelt, Rector of the WU |
| 09:00 - 10:30 |
Session 1: Structural Time Series Models
(Chair: Bob Shumway, University of California at Davis, USA) |
|
West, Mike (Duke University, USA):
Structured Dynamic Graphical Models & Scaling Multivariate Time Series Methodology [SLIDES] |
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Scott, Steven L. (Google, USA):
Inferring causal impact using Bayesian structural time-series models [SLIDES] |
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Holan, Scott H. (University of Missouri at Columbia, USA):
Multivariate Spatio-Temporal Models for High-Dimensional Areal Data with Application to Longitudinal Employer-Household Dynamics |
| 10:30 - 11:00 |
Coffee Break |
| 11:00 - 12:30 |
Session 2: VAR Models
(Chair: Massimiliano Marcellino, Bocconi University, Italy) |
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Giannone, Domenico (Federal Reserve Bank of New York, USA):
Priors for the Long Run [SLIDES] |
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Korobilis, Dimitris (University of Glasgow, UK):
Bayesian Compressed Vector Autoregressions [SLIDES] |
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Carriero, Andrea (Queen Mary University of London, UK):
Structural Analysis with Multivariate Autoregressive Index Models [SLIDES] |
| 12:30 - 14:30 |
First poster session and Lunch |
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Caporin, Massimiliano (University of Padova, Italy): The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Chan, Ngai Hang (The Chinese University of Hong Kong, Hong Kong): A Prediction Perspective of Unstable Processes
Davies, Robert (Duke University, USA): Understanding High-Frequency Stock Price Dynamics: with an Application on Intraday Values at Risk
Ferroni, Filippo (Banque de France, France): Fundamental shock selection in DSGE models
Han, Xu (City University of Hong Kong, Hong Kong): Identification, Estimation, and Inference in Structural VARs with External Instruments
Homrighausen, Darren (Colorado State University, USA): Greedy Function Approximation for Macroeconomic Forecasting
Huber, Florian (Oesterreichische Nationalbank, Austria): The Transmission Dynamics of US Monetary Policy and the Global Economy
Jentsch, Carsten (University of Mannheim, Germany): Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Knueppel, Malte (Deutsche Bundesbank, Germany): Approximating Fixed-Horizon Forecasts Using Fixed-Event Forecasts
Krolzig, Hans-Martin (University of Kent, UK): Fiscal Policy, Interest Rates, and Output: Equilibrium-Correction Dynamics in the US Economy
Massacci, Daniele (Einaudi Institute for Economics and Finance, Italy): Least Squares Estimation of Large Dimensional Threshold Factor Models
McElroy, Tucker (U.S. Census Bureau, USA): Fitting Vector Moving Averages
Meitz, Mika (University of Helsinki, Finland): Identification and estimation of non-Gaussian structural vector autoregressions
Meyer, Marco (TU Braunschweig, Germany): Baxter's Inequality and Sieve Bootstrap for Random Fields
Rubin, Mirco (Università della Svizzera Italiana / SFI, Switzerland): Is the US Economy Still Mostly Driven by Manufacturing?
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| 14:30 - 16:00 |
Session 3: Dynamic Factor Models
(Chair: Manfred Deistler, Vienna University of Technology, Austria) |
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Koopman, Siem Jan (VU University Amsterdam, Netherlands):
Weighted Maximum Likelihood Estimation for Dynamic Factor Models with an Application to Mixed-Frequency Data [SLIDES] |
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Xiu, Dacheng (University of Chicago, USA):
Principal Component Analysis of High Frequency Data [SLIDES] |
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Lippi, Marco (Einaudi Institute for Economics and Finance, Italy):
Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting [SLIDES] |
| 16:00 - 16:30 |
Coffee Break |
| 16:30 - 18:00 |
Session 4: Further Issues in Time Series Modeling
(Chair: Bovas Abraham, University of Waterloo, Canada) |
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Aastveit, Knut Are (Norges Bank, Norway):
Combined Density Nowcasting in an Uncertain Economic Environment [SLIDES] |
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Peña, Daniel (Universidad Carlos III de Madrid, Spain):
Generalized Dynamic Principal Components [SLIDES] |
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Komunjer, Ivana (University of California at San Diego, USA):
A Perturbation Approach to Filtering Hidden States [SLIDES] |
| 19:00 |
Departure by bus to Heuriger "10-er Marie" |
| 20:00 |
Dinner at Heuriger "10-er Marie" |
Saturday, September 26, 2015
| 09:00 - 10:30 |
Session 5: Network Modeling and Connectedness
(Chair: Barbara Rossi, University of Pompeu Fabra, Spain) |
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Bianchi, Daniele (University of Warwick, UK):
Modeling Contagion and Systemic Risk [SLIDES] |
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Yılmaz, Kamil (Koç University, Turkey):
Measuring Connectedness using Large TVP-VAR Models [SLIDES] |
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Chandrasekhar, Arun G. (Stanford University, USA):
A Network Formation Model Based on Subgraphs |
| 10:30 - 11:00 |
Coffee Break |
| 11:00 - 12:30 |
Session 6: Special Time Series Models
(Chair: Andrew Harvey, Cambridge University, UK) |
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Weiß, Christian (Helmut Schmidt University, Hamburg, Germany):
Binomial Autoregressive Processes with Density Dependent Thinning [SLIDES] |
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Chan, Kung-Sik (University of Iowa, USA):
Quasi-likelihood Estimation of a Censored Autoregressive Model With Exogenous Variables |
|
Tong, Howell (London School of Economics, UK):
Nested Sub-Sample Search Algorithm for Estimation of Threshold Stochastic Regression Models |
| 12:30 - 14:30 |
Second poster session and Lunch |
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Midilic, Murat (Ghent University, Belgium): Estimation of STAR-GARCH Models with Iteratively Weighted Least Squares
Niang, Abdou-Aziz (University of Ziguinchor, Senegal): On factor-augmented univariate forecasting
Pedersen, Rasmus (University of Copenhagen, Denmark): Nonstationary ARCH and GARCH with t-distributed Innovations
Pitsillou, Maria (University of Cyprus, Cyprus): Consistent testing for pairwise dependence in time series
Preinerstorfer, David (University of Vienna, Austria): Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators
Proietti, Tommaso (University of Rome Tor Vergata, Italy): Generalised Linear Cepstral Models for the Spectrum of a Time Series
Rothfelder, Mario P. (Tilburg University, Netherlands): Testing for a Threshold in Models with Endogenous Regressors
Sirchenko, Andrei (Higher School of Economics, Russia): Modeling status quo decisions in monetary policy: A cross-nested ordered probit model
Škarnulis, Andrius (Vilnius University, Lithuania): Integrated AR and ARCH processes and the FIGARCH model: origins of long memory
Tsai, Henghsiu (Academia Sinica, Taiwan): Inference of Multivariate Continuous-time Long Memory Processes
Tseng, Michael C. (Simon Fraser University, Canada): Estimation of Linear Model with One Time-varying Parameter via Wavelets
Velasco, Carlos (Universidad Carlos III de Madrid, Spain): Frequency Domain Minimum Distance Estimation of Possibly Noninvertible and Noncausal ARMA models
Velu, Raja (Syracuse University, USA): On Clustering of Time Series
Wagner, Martin (Technical University Dortmund, Germany): Localized Fully Modified OLS Estimation of Cointegrating Relationships in an Integrated Locally Stationary Framework
|
| 14:30 - 16:00 |
Session 7: Testing and Forecasting
(Chair: Peter Robinson, London School of Economics, UK) |
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Al-Sadoon, Majid M. (University of Pompeu Fabra / GSE Barcelona, Spain):
A General Theory of Rank Testing [SLIDES] |
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Subba Rao, Suhasini (Texas A&M University, USA):
Proxy samples for time series [SLIDES] |
|
McCracken, Michael W. (Federal Reserve Bank of St. Louis, USA):
Evaluating Conditional Forecasts from Vector Autoregressions [SLIDES] |
| 16:00 - 16:30 |
Coffee Break |
| 16:30 - 18:00 |
Session 8: Modeling Volatility
(Chair: Ruey Tsay, University of Chicago, USA) |
|
Davis, Richard A. (Columbia University, USA):
Big n, Big p: Eigenvalues for Covariance Matrices of Heavy-Tailed Multivariate Time Series |
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Kastner, Gregor (WU Vienna University of Economics and Business, Austria):
Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Financial Time Series [SLIDES] |
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Opschoor, Anne (VU University Amsterdam, Netherlands):
Multivariate FIGAS Models for Fat-Tailed Returns and Realized Covariance Kernels |
| 19:00 |
Dinner at Restaurant "Augarten" (Speech by Governor Ewald Nowotny from the Oesterreichische Nationalbank (OeNB)) |
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