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18th OxMetrics User Conference - Programme

Monday, 12 September 2016


Time Description
08:15–08:50Registration and coffee/tea/pastries

08:50–09:00Welcoming Remarks
Marianne Lewis
Dean, Cass Business School, UK

9:00-11:00 SESSION 1: ESTIMATION AND MODELLING
Chairperson: Bent Nielsen

Space-time autoregressive models
Charles J. Saunders
University of Western Ontario, Canada

A Modified Fractionally Co-integrated VAR for Modelling Systems with I(d) and I(0) Variables
Xingzhi Yao and Marwan Izzeldin
Lancaster University Management School, UK

Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs
Xiyu Jiao and Bent Neilsen
University of Oxford, UK

Tightness of M-estimators for multiple linear regression in time series
Søren Johansen and Bent Nielsen
University of Oxford, UK

11:00-11:30Break

11:30-12:30SESSION 2: TESTING
Chairperson: Neil R. Ericsson

Cumulated sum of squares statistics for non-linear and non-stationary regressions
Vanessa Berenguer-Rico and Bent Nielsen
University of Oxford, UK

Testing for randomness in a random coefficient autoregression model
Lajos Horvath and Lorenzo Trapani
Cass Business School, London, UK

12:30-13:00SESSION 3: POSTER/SPEED PRESENTATIONS
Chairperson: Neil R. Ericsson

Beta Estimation: The Evidence from the Warsaw Stock Exchange
Barbara Będowska-Sójka
Poznań University of Economics and Business

How Can Long Memory Affect Investors’ Decisions; An Empirical Evidence using Copulas Theory
Hela Mzoughi

Assessing Very Imperfect Information: Determinants of Brazilian Sovereign Risk, 1880-1928
Leonardo Weller
São Paulo School of Economics, FGV

Estimating the Time-Varying Exposures in International Equity Portfolio
Riccardo Borghi
Cass Business School, London, UK

13:00-14:00Lunch and Poster / SPEED Discussion

14:00-15:00SESSION 4: ANA TIMBERLAKE MEMORIAL LECTURE
Chairperson: Lorenzo Trapani

Weak Exogeneity and Stability Tests of Cointegrated Relations
Lynda Khalaf
Carleton University, Ottawa, Canada

15.00-15.30Break

15:30-17:00SESSION 5: MONETARY POLICY
Chairperson: Giovanni Urga

Extracting Implicit Forecasts from the FOMC’s Minutes
Neil R. Ericsson
Federal Reserve System and the George Washington University, Washington, USA

On the Instability of Long-run Money Demand and the Welfare Cost of Inflation in the U.S.
Matteo Mogliani and Giovanni Urga
Cass Business School, UK and Bergamo University, Italy

Milton Friedman as an empirical modeller
Neil R. Ericsson, David Hendry and Stedman B. Hood
University of Oxford, UK

17:00-18:00SESSION 6: ROUND TABLE WITH OXMETRICS DEVELOPERS
Chairperson: Giovanni Urga

19:00Conference Dinner

Tuesday, 13 September 2016

Time Description

08:30-09:00Registration and coffee/tea/pastries

09:00-11:00SESSION 7: BREAKS
Chairperson: Siem Jan Koopman

Combining p-values to test for multiple structural breaks in cointegrated Regressions
Annamaria Bianchi
Bergamo University, Italy

Structural breaks in panel models: assessing the stability of the relationship between climate shocks and economic growth
Felix Pretis
University of Oxford, UK

SESSION 8: GARCH MODELS
Chairperson: Felix Pretis

Accelerating GARCH and score-driven models: optimality, estimation and forecasting
Francisco Blasques, Paolo Gorgi and Siem Jan Koopman
VU University Amsterdam, Netherlands, & CREATES, Aarhus University, & Tinbergen Institute

Cholesky-GARCH, theory and application to conditional beta
Serge Darolles, Christian Francq, Sebastien Laurent
Aix-Marseille University, France

11.00-11.30Break

11:30-13:00SESSION 9: DUMMY SATURATION
Chairperson: Sebastien Laurent

Robust Model Selection: A Review
Jennifer L. Castle and David F. Hendry
University of Oxford, UK

On Asymptotic Properties of the Step-Indicator Saturation Algorithm
Bent Nielsen and Matthias Qian
University of Oxford, UK

Evaluating Forediction Failure
Jennifer L. Castle, David F. Hendry and Andrew B. Martinez
University of Oxford, UK

13:00-14:00Closing Remarks (Conference organisers) and Lunch (Light buffet)
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