8:30-9:00am | Registration, and coffee/tea/pastries |
9:00-10:30am | Session 1: Finance Models and Jumps Chairperson: Vincenzo L. Maini Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs) Sébastien Laurent* (Maastricht University), Christelle Lecourt, and Franz C. Palm “Testing for jumps in GARCH models, a robust approach” Eric Jondeau, Jérôme Lahaye* (University of Lausanne), and Michael Rockinger “High-Frequency Jump Filtering in a Microstructure Model” Vincenzo L. Maini* (Cass Business School) and Giovanni Urga* (Cass Business School) “The Liquidity to Price Trasmission Mechanism: A Combination of Nonparametric Tests for Jumps” |
10:30-11:00am | Coffee/Tea Break |
11:00am-12noon | Session 2: Gets Modeling I
Chairperson: Neil R. Ericsson Jurgen A. Doornik* (University of Oxford) and David F. Hendry “Automatic Selection of Multivariate Dynamic Econometric Models” Neil R. Ericsson* (Federal Reserve Board and George Washington University) “Detecting Parameter Nonconstancy and Changes in Regime” |
12noon-1:30pm | Lunch and Poster Session (posters listed below) Nicoletta Batini* (International Monetary Fund) and Joshua Felman "Why Are U.S. Firms Hoarding Money?" Deniz Erdemlioglu* (CeReFiM-FundP and K.U. Leuven) "Intraday Periodicity and Intraday Lévy-type Jump Detection" Marwan Izzeldin and Peiran Shi* (Lancaster University) "The Impact of Jumps on the Stylised Facts of Returns and Volatility: Do Jumps Matter?" Christian Müller and Eva Köberl (presented by Boriss Silverstovs*, KOF Swiss Economic Institute) "Catching a Floating Treasure: A Genuine ex-ante Forecasting Experiment in Real Time" Anjan Panday* (American University) "Impact of Monetary Policy on Exchange Market Pressure: The Case of Nepal" Issouf Samake* (International Monetary Fund) and Frederick L. Joutz "Asymmetric Effects of Fiscal and Monetary Policies on Output in Developing Countries: The Case of Nigeria" George B. Tawadros* (RMIT University) "The Cyclicality of the Demand for Crude Oil: Evidence from the OECD" Shuangyuan Wei* (George Washington University) "An Analysis of U.S. Gasoline Demand Elasticities" |
1:30-3:00pm | Session 3: Interest Rates and Term Structure Chairperson: Jaime Marquez Welcome: Barry R. Chiswick (Chair, Department of Economics, GWU) Daniel Beltran* (Federal Reserve Board), Maxwell Kretchmer, Jaime Marquez, and Charles Thomas "Foreign Holdings of U.S. Treasuries and U.S. Treasury Yields" Wachindra Bandara* (George Washington University) and Richard Munclinger "A Feasible Regime-Switching Model of the Term Structure" Jaime Marquez* (Federal Reserve Board), Ari Morse, and Bernd Schlusche "Overnight Interest Rates and Reserve Balances: Econometric Modeling of Exit Strategies" |
3:00-3:30pm | Coffee/Tea Break |
3:30-4:30pm | Session 4: Round Table with OxMetrics Developers Chairperson: Frederick L. Joutz Jurgen A. Doornik (University of Oxford) Siem Jan Koopman (Tinbergen Institute) Sébastien Laurent (Maastricht University) |
5:00-6:30pm | Reception and Conference Dinner at Aroma Restaurant 1919 "I" Street, NW (pink awning), 2nd floor, (202) 833-4700 |
7:00pm. 9:30pm | Concert at the Kennedy Center Concert Hall 2700 F Street, NW (Across from the Watergate; tickets required) |
8:30-9:00am | Coffee/tea/pastries |
9:00-10:00am | Session 5: Volatility Modeling Chairperson: Grayham E. Mizon Dobrislav Dobrev* (Federal Reserve Board) and Pawel Szerszen (Federal Reserve Board) "The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk" Siem Jan Koopman* (VU University Amsterdam and Tinbergen Institute) and Marcel Scharth "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures" |
10:00-10:30am | Coffee/Tea Break |
10:30am-12noon | Session 6: Gets Modeling II Chairperson: Felix Pretis J. James Reade* (University of Birmingham) and Ulrich Volz "From the General to the Specific: Modelling Inflation in China" Poonpat Leesombatpiboon and Frederick L. Joutz* (George Washington University) "A Multivariate Cointegration Analysis of the Role of Oil in the Thai Macroeconomy" David F. Hendry and Felix Pretis* (University of Oxford) "Anthropogenic Influences on Atmospheric CO2" |
12noon-1:30pm | Lunch and Poster Session (posters listed below) Alexie Ciprian Alupoaiei, Ana Maria Sandica* (Academy of Economic Studies, Bucharest), and Monica Dudian "The Analysis of Exchange Rate Dependence in Central and Eastern Europe Countries" John B. Guerard, Jr.* (McKinley Capital Management, LLC) "Mergers, the Leading Economic Indicators, and Stock Prices: Additional Evidence" Fakhri Hasanov* (George Washington University) "Forecasting Inflation in Azerbaijan" Navneet Kaur* (Chandragupt Institute of Management Patna) and A. Kanagaraj "Application of Multi Factor Risk Model for Estimating Value-at- Risk in Indian Stock Market" Tidiane Kinda* (International Monetary Fund) "Modeling Inflation in Chad" Tucker S. McElroy* (U.S. Census Bureau) "When Are Direct Multi-Step and Iterative Forecasts Identical?" Subramanian S. Sriam* (International Monetary Fund) "The Gambia: Demand for Broad Money and Implications for Monetary Policy Conduct" Thomas M. Trimbur* (Federal Reserve Board) and Tucker S. McElroy "Signal Extraction for Nonstationary Multivariate Time Series with an Illustration for Trend Inflation" |
1:30-2:30pm | Session 7: Ana Timberlake Memorial Lecture Chairperson: Giovanni Urga Introduction: Giovanni Urga, Frederick L. Joutz, Neil R. Ericsson David F. Hendry and Grayham E. Mizon* (University of Southampton and University of Oxford) "Expectations and Economic Policy in the Presence of Unanticipated Changes" |
2:30-3:00pm | Coffee/Tea Break |
3:00-4:00pm | Session 8: Unobserved Variables Chairperson: Boriss Silverstovs Yueqing Jia* (George Washington University) "A New Look at China's Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach" Boriss Silverstovs* (KOF Swiss Economic Institute) "Are GDP Revisions Predictable? Evidence for Switzerland" |
4:00-4:30pm | Coffee/Tea Break |
4:30-5:30pm | Session 9: Forecasts and Forecasting Chairperson: Jennifer L. Castle Andrew B. Martinez* (George Washington University) "Comparing Government Forecasts of the United States' Gross Federal Debt" Jennifer L. Castle* (University of Oxford), Michael P. Clements, and David F. Hendry "Forecasting by Factors, by Variables, by Both, or Neither?" Closing Remarks: Teresa Timberlake and others |
7pm | Conference Farewell Dinner (light buffet) |