8^th OxMetrics^TM User Conference

TBA
Cass Business School , 106 Bunhill Row, London , EC1Y 8TZ ( U.K. )

Programme

The conference will provide 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 statistics and applied mathematics. The conference programme will feature keynote presentations, technical paper sessions, workshops, tutorials and panel discussions.

The conference is open to all those interested, not just to OxMetrics™ users, from academic and non-academic organisations. There will be a session for participants to put their comments to the development team and suggest improvements.

http://www.cass.city.ac.uk/faculty/g.urga/
http://www.cass.city.ac.uk/conferences/oxmetrics2009/

Registration, accommodation, fee
The logistics of the conference is organised by Timberlake Consultants (www.oxmetrics.net and www.timberlake.co.uk), the publishers of OxMetrics™.

Registration on line is available now. The conference fee is: £70 + VAT = £82.25 if full payment of registration is received by 31 August 2009 or £84 + VAT = £98.70 if full payment of registration is received after TBA. The fee covers costs for coffee, teas, luncheons and conference dinner on the 14th of September 2009.

Request a registration form now

Agenda
(subject to minor changes)

8.30-9.00: Registration + Coffee/Tea

Monday, 14 September 2009

Session 1: Model Selection
Chairperson: Jurgen Doorniki

09.00-10:30

Forecasting, Model Averaging and Model Selection
James Reade (Department of Economics, University of Oxford ).
[abstract]

Model Selection when there are Multiple Breaks
Jennifer L. Castle, Jurgen A. Doornik and David F. Hendry
[abstract]

A   Combined Approach of Experts and Autometrics to Forecast Consumption: An Application to Spanish Data.
José Ramón Cancelo, Antoni Espasa, and Jurgen A Doornik ( Nuffield College , Oxford )
[abstract]

10:30-11.00: Coffee/Tea Break

Session 2: High Frequency
Chairperson: Ana-Maria Fuertes

11.00-12:30:

Predicting Realized Volatility for Electricity Prices Using Unobservable Component Models
Erik   Haugom   (Lillehammer   University   College,   Norway),   Sjur   Westgaard   (TOH-HIST, Trondheim,  Norway),  Gudbrand  Lien  (Lillehammer  University  College,  Norway),  Per  Bjarte Sollibakke (Lillehammer University College, Norway).
[abstract]

A Note on Jumps and Price Discovery in the US Treasury Market
Ana-Maria Dumitri ( Bergamo University , Italy and CEA, London , UK )
[abstract]

Exploiting Intra-Day Prices, Jumps and Subsampling in Daily VaR Predictions
Ana-Maria  Fuertes  (Cass  Business  School,  London,  UK)  and  Jose  Olmo  (City  University, London, UK).
[abstract]

12.30-14.30: Lunch

Session 3: Estimation
Chairperson: Sebastien Laurent

14.30-15.30:

Local kernel Density Estimation from Time Series Data.
Andrew C. Harvey and Vitaliy Oryshchenko (Faculty of Economics, University of Cambridge , UK )
[abstract]

Robust Estimation of CCC and DCC GARCH models
Kris Boudt, Jon Danielsson and Sébastien Laurent
[abstract]

15.30-16.00: Coffee break

Session 4: New OxMetrics Development: The Descrete Choice Model.
Chairperson: Giovanni Urga

16.00-16:45

DCM 2.0: An Ox Package for Estimating Demand Systems of Discrete Choice in Economics and Marketing
Matias Eklof (Department of Economics, Uppsala University , Sweden ) and Melvyn Weeks (Faculty of Economics, University of Cambridge , UK )
[abstract]

Session 5: New OxMetrics Developments
Chairperson: Giovanni Urga

16.45-18:00

Round Table Discussion with OxMetrics Developers.
Following  a  5-10  minute  introduction  each  from  Jurgen  Doornik,  David  Hendry,  Siem  Jan Koopman, Sebastien Laurent, and Melvyn Weeks the main aim of the round table is to provide a forum for an exchange of suggestions and ideas for future developments of the software

19.00: CONFERENCE DINNER

Tuesday, 15 September 2008

Session 6: Testing
Chairperson: Lorenzo Trapani

09:00-10:30

Testing the Invariance of Expectations Models of Inflation
Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Ragnar Nymoen
[abstract]

A Robust Version of the KPSS Test Based on Ranks
Matteo M Pelagatti (Università degli Studi di Milano-Bicocca) and Pranab K Sen (University of North Carolina )
[abstract]

Cointegration versus Spurious Regression and Heterogeneity in Large Panels
Lorenzo Trapani ( Cass Business School , London , UK )
[abstract]

10:30-11.00: Coffee/Tea Break

Session 7: Factors/Unobservable Components
Chairperson: Siem Jan Koopman

11.00:12.00:

Dynamic Econometric Models and Errors in Variables
Andrew Harvey (Faculty of Economics, Cambridge University , UK )
[abstract]

Dynamic Factor Analysis by Maximum Likelihood
Borus Jungbacker (VU University Amsterdam ),  Siem Jan Koopman (VU University Amsterdam )
and Michel van der Wel (Erasmus University Rotterdam, ERIM, CREATES)
[abstract]

12.00: LUNCH/END OF CONFERENCE.

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