| Time | Description |
| 08:15–08:50 | Registration and coffee/tea/pastries |
| 08:50–09:00 | Welcoming 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 |
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| 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 |
|
| 11:00-11:30 | Break |
| 11:30-12:30 | SESSION 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 |
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| 12:30-13:00 | SESSION 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 |
|
| 13:00-14:00 | Lunch and Poster / SPEED Discussion |
| 14:00-15:00 | SESSION 4: ANA TIMBERLAKE MEMORIAL LECTURE
Chairperson: Lorenzo Trapani |
| Weak Exogeneity and Stability Tests of Cointegrated Relations Lynda Khalaf Carleton University, Ottawa, Canada |
|
| 15.00-15.30 | Break |
| 15:30-17:00 | SESSION 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 |
|
| 17:00-18:00 | SESSION 6: ROUND TABLE WITH OXMETRICS DEVELOPERS Chairperson: Giovanni Urga |
| 19:00 | Conference Dinner |
| Time | Description |
| 08:30-09:00 | Registration and coffee/tea/pastries |
| 09:00-11:00 | SESSION 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 |
|
| 11.00-11.30 | Break |
| 11:30-13:00 | SESSION 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 |
|
| 13:00-14:00 | Closing Remarks (Conference organisers) and Lunch (Light buffet) |