| 8:30-9:00am | Registration, and coffee/tea/pastries |
| Session 1: Empirical Model Discovery
Chairperson: Neil R. Ericsson Announcements David F. Hendry (University of Oxford) “Empirical Model Discovery” |
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| 10:30-11:00am | Coffee/Tea Break |
| 11:00am-12noon | Session 2: GARCH Modeling Chairperson: Janelle M. Mann, Kris Boudt, Jón Daníelsson, Sébastien Laurent* (Maastricht University) “Robust Estimation of Dynamic Conditional Correlation GARCH Models” Janelle M. Mann (Queen's University) “The Role of Long Memory in Hedging Strategies for Canadian Agricultural Futures” |
| 12:00-1:30pm | Lunch |
| 1:30-2:30pm | Session 3: Modeling in Finance Chairperson: Genaro Sucarrat, Yu-Cheng Ku* (North Carolina State University) and Peter Bloomfield “Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX” Genaro Sucarrat* (Universidad Carlos III de Madrid) and Álvaro Escribano “Automated Model Selection in Finance: General-to-Specific Modelling of the Mean, Variance and Density” |
| 2:30-3:00pm | Coffee/Tea Break |
| 3:00-4:30pm | Session 4: Gets Modeling and Forecasting
Chairperson: Jurgen A. Doornik Shaghil Ahmed (Federal Reserve Board) “Are Chinese Exports Sensitive to Changes in the Exchange Rate?” Poonpat Leesombatpiboon and Frederick L. Joutz* (George Washington University) “Sectoral Demand for Petroleum in Thailand” Jurgen A. Doornik (University of Oxford) “Improving the Timeliness of Data on Influenza-like Illnesses using Google Search Data” |
| 5:00-7:00pm | Reception and Conference Dinner at Aroma Restaurant
1919 "I" Street, NW (pink awning), 2nd floor, (202) 833-4700 |
| 7:30-9:30pm | Choral Concert at St. Matthew’s Cathedral 1725 Rhode Island Avenue, NW (Tickets required) |
| 8:30-9:00am | Coffee/tea/pastries |
| 9:00-10:30am | Session 5: Unobserved Components Models
Chairperson: Xiaoshan Chen Siem Jan Koopman* (VU University Amsterdam) and Marius Ooms “Forecasting economic time series using unobserved components time series models” Christopher J. Nekarda (Federal Reserve Board) “Understanding Unemployment Dynamics: The Role of Time Aggregation” Xiaoshan Chen* (University of Glasgow) and Terence C. Mills “Measuring the Euro Area Output Gap using Multivariate Unobserved Components Models Containing Phase Shifts” |
| 10:30-11:00am | Coffee/Tea Break |
| 11:00am-12:30pm | Session 6: Credit, Liquidity, and Assets
Chairperson: Jaime Marquez Mohammed H.I. Dore* (Brock University) and Rajiv G. Singh “The Role of Credit in the 2007-09 Great Recession” John B. Guerard, Jr. (McKinley Capital Management, LLC) “The Corporate Sector as a Net Exporter of Funds: Additional Econometric Evidence” Daniel Beltran, Maxwell Kretchmer, Jaime Marquez* (Federal Reserve Board), and Charles Thomas “U.S. Treasury Yields and Foreign Holdings of U.S. Securities: An Interim Report” |
| 12:30-2:00pm | Lunch |
| 2:00-3:30pm | Session 7: Gets Modeling of Money Demand
Chairperson: Neil R. Ericsson Matteo Mogliani and Giovanni Urga* (Cass Business School), and Carlos Winograd “Monetary Disorder and Financial Regimes. The Demand for Money in Argentina, 1900-2006” Hildegart A. Ahumada* (Di Tella University) and Maria Lorena Garegnani “Selecting the Monetary Deflator by an Encompassing Approach: The Case of Argentina” Neil R. Ericsson (Federal Reserve Board and George Washington University) “Empirical Model Selection: Friedman and Schwartz Revisited” |
| 3:30-4:00pm | Coffee/Tea Break |
| 4:00-5:30pm | Session 8: Round Table with OxMetrics Developers
Chairperson: Frederick L. Joutz Jurgen A. Doornik (University of Oxford) David F. Hendry (University of Oxford) Siem Jan Koopman (Tinbergen Institute) Sébastien Laurent (Maastricht University) |
| 7pm | Conference Farewell Dinner (light buffet) |