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19th OxMetrics User Conference

  • Location: ESSEC Business School, Paris La Défense, France
  • Duration: 2 days (11th September 2017 - 12th September 2017)
  • Software: OxMetrics
  • Level: Various
19th OxMetrics User Conference
The 19th OxMetrics User Conference will take place on 11 & 12 September 2017 at ESSEC Business School, Paris La Défense, France

The OxMetrics User Conference provides a forum for the presentation and exchange of research results and practical experiences within the fields of computational and financial econometrics, empirical economics, time-series and cross-section econometrics and applied mathematics.

The conference program will feature contributed paper sessions, a PhD SPEED presentation session, and a panel discussion with the OxMetrics developers. The developers of OxMetrics (Jurgen A. Doornik, David F. Hendry, Siem Jan Koopman, and Sébastien Laurent) will be present.

The conference is open to all those interested, not just to OxMetrics users, from academic and non-academic organisations. Click on the tab above to register your place online.

Scientific Organisers

Programme Committee

Local Organising Committee

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: FINANCIAL ECONOMETRICS 1
Chairperson: TBC

Testing for Extreme Volatility Transmission with Realized Volatility Measures
Gilles de Truchis

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

10:30-11:00Break

11:00-12:30SESSION 2: FORECASTING
Chairperson: TBC

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 delivered by JEAN JACOD
Chairperson: TBC

14:45-15.15Break

15:15-16:45SESSION 4: ECONOMICS
Chairperson: TBC

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
K.E. Beaubrun-Diant

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

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

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: FINANCIAL ECONOMETRICS 2

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: SOCIAL INTERACTIONS
Chairperson: TBC

Inequality, Poverty and Social Protection: Time Series Analysis of Pakistan
Muhammad Waqas

Forecasting pathways of psychosocial anxiety, depression and post-traumatic stress in Ukraine following the Chornobyl nuclear accident
Robert Yaffee

Inequality, Poverty and Social Protection: Time Series Analysis of Pakistan
Muhammad Waqas

12:30-14:00Lunch & Poster Session
Chairperson: TBC

14:00-15:30SESSION 9: PANEL INDICATOR SATURATION & CLIMATE
Chairperson: TBC

Indicator Saturation in Panel Regressions: Poolability, stability and outliers
James Reade

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

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

15.30-16.00Break

16:00-18:00SESSION 10: ECONOMIC THEORY
Chairperson: TBC

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

Marked and Weighted Empirical Processes of Residuals
Vanessa Berenguer-Rico

Hyperbolically Weighted Least-Squares
Guillaume Chevillon

CATS3 for OxMetrics
Jurgen Doornik

18:00Adjourn
  •  CommercialAcademicStudent
    2-day Pass (11/09/2017 - 12/09/2017)
    Conference dinner (11/09/2017 - 11/09/2017)

All prices exclude VAT or local taxes where applicable.

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