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19th OxMetrics Users Conference - Programme

Monday, 11 September 2017


Time Description
08:30–08:55Registration and coffee/tea/pastries

08:55–09:00Welcoming Remarks
Conference Organisers

09:00-10:30 SESSION 1: Economics

Macroeconomic indicators and disaggregated data help to predict credit: A Study based on Brazilian data
Pedro Valls Pereira

Dynamic analysis of U.S. household portfolios
Kevin Beaubrun-Diant

Forecasting football match results in national league competitions using score-driven time series models
Siem Jan Koopman

10:30-11:00Break

11:00-12:30SESSION 2: Forecasting

Do experts forecast rationally? A theoretical and empirical assessment of the role of information observation and forecast adjustment costs/strong
Frédérique Bec

Forecasting French GDP with Dynamic Factor Models : a pseudo-real time experiment using FECM
Catherine Doz

Detecting Time-dependent Bias in the Fed’s Greenbook Forecasts of Foreign GDP Growth
Neil Ericsson

12:30-14:00Lunch

14:00-14:45SESSION 3: ANA TIMBERLAKE MEMORIAL LECTURE

Statistics for high-frequency observations of a process
Jean Jacod

The aim of this talk is to give a quick overview of some recent results in statistics of processes (with mostly financial time series in mind), in the case of discrete observations of an underlying process (typically a log-price) over a fixed time interval. In such a framework, estimating the law of the process is usually not feasible, but it is often the case that one can still have consistent estimators as the observation frequency increases, for some specific characteristics of the process. We start with a quick review of those characteristics that can be consistently estimated within this framework, versus those which cannot. Then, restricting our attention to underlying processes that are Itô semimartingale, as it is the case for virtually all continuous time models for log-prices, we will explain in some details how to estimate the volatility, and hopefully (if time permits) how to decide whether the process is continuous or not, and how to estimate the degree of activity of jumps, including statements about the rate-optimality and in some cases asymptotic efficiency. For simplicity, most results will be given when the observation scheme is regular and without noise, but we will also quickly explain how this can be extended to the case of irregularly spaced observations times, and the case where the microstructure noise is present.

14:45-15.15Break

15:15-16:45SESSION 4: Financial Econometrics 1

Testing for Extreme Volatility Transmission with Realized Volatility Measures
Elena Dumitrescu

Multilevel Risk Management: ETF Backtesting Risk
Lynda Khalaf

Global comovements of stock returns using a two-level factor model with time-varying parameters
Giovanni Urga

17:00-17:30SESSION 5: PhD SPEED PRESENTATIONS

Renewing policy mix in the WAEMU
Daniel Ouedraogo

The uncertainty of Principal Components Factors
Javier de Vicente Maldonado

Multi-step Forecasting with Partial Least Squares
Joonsuk Kwon

17:30-18:45SESSION 6: Roundtable with OxMetrics Developers

19:00Drinks & dinner at RadioEat

Tuesday, 12 September 2017

Time Description

09:30-11:00SESSION 7: Finance II

Pricing Individual Stock Options using both Stock and Market Index Information
Jeroen Rombouts

The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?
Emerson Fernandes Marçal

Testing for jumps in local-to-unity continuous-time diffusion processes
Sébastien Laurent

11.00-11.30Break

11:30-12:30SESSION 8: Econometrics I

Regularized Generalized Empirical Likelihood Estimators
Rachidi Kotchoni

Asymptotic theory of M-estimators for linear regression in time series
Bent Nielsen

12:30-14:00Lunch & Poster Session

Do hedge funds hedge? New evidence from tail risk premia embedded in options
Anmar Al Wakil

14:00-15:30SESSION 9: Indicator Saturation & Climate

Uncertain impacts on economic growth when stabilizing global temperatures at 1.5°C or 2°C warming
Felix Pretis

Hyperbolically Weighted Least-Squares
Guillaume Chevillon

First-in, first-out: Modelling the UK's CO2 emissions, 1860-2016
David Hendry

15.30-16.00Break

16:00-18:00SESSION 10: Econometrics II

Estimation of realized betas in a multi-factor model in presence of noise and asynchronicity
Orimar Sauri

Marked and Weighted Empirical Processes of Residuals
Vanessa Berenguer-Rico

CATS3 for OxMetrics
Jurgen Doornik

18:00Adjourn
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