7^th OxMetrics^TM User Conference

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

Provisional Program

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/oxmetrics2006

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. There will be a small conference fee: £70 + VAT = £82.25 if full payment of registration is received by 30th July 2008 or £84 + VAT = £98.70 if full payment of registration is received after 30th July 2008 to cover costs for coffee, teas, luncheons and conference dinner on the 17th of September 2006.

Request a registration form now

Agenda
(subject to minor changes)

8.30-9.00: Registration + Coffee/Tea

Wednesday, 17 September 2008

Session 1: JUMPS AND COBREAKING
Chairperson: Lorenzo Trapani

09.00-10:30

A modified Lee-Mykland test for jumps in the presence of seasonality
(with Kris Boudt and Christophe Croux).
Sebastien Laurent (CeReFiM, University of Namur and CORE, Belgium )

Jumps in the US Treasury Market: An Empirical Comparison between Alternative Tests to Detect Jumps.
Ana-Maria Dumitri ( University of Bergamo , Italy and Centre for Econometric
Analysis, Cass Business School , London , U.K. )

Co-breaking, Cointegration, and Weak Exogeneity: Modelling Aggregate
Consumption in Japan
Takamitsu Kurita (Faculty of Economics, Fukuoka University , Japan )

10:30-11.00: Coffee/Tea Break

Session 2: IMPULSE SATURATION
Chairperson: Sebastien Laurent

11.00-12:30:

An Automatic Test of Super Exogeneity
(with Carlos Santos)
David F. Hendry, (Economics Department, Oxford University , UK )

Further Applications of Econometric Modelling With More Variables Than Observations
Jurgen Doornik (Economics Department, Oxford University , UK )

Impulse Saturation and the Choice of an Estimation Window for Forecasting
Hildegart A. Ahumada (Di Tella University , Buenos Aires , Argentina )

12.30-14.00: Lunch

Session 3: FORECASTING AND ENERGY MARKETS
Chairperson: Jurgen Doornik

14.00-15.30:

Prediction and Forecasting in Linear Autoregressive Models with Measurement
Error
(with J. P. Buonaccorsi)
Yorghos Tripodis (Department of Mathematics & Statistics, University of Massachusetts , USA )

Forecasting Volatility and Value at Risk of United Kingdom Natural Gas Futures Prices
Robert A. Yaffee ( Silver School of Social Work, New York University , USA ) et al.

Oil Markets and VLCC Tanker Market: The West African-U.S. Gulf of Mexico
Market
(With Al Wood).
Fred Joutz (Department of Economics, The George Washington University , USA )

15.30-16.00: Coffee break

Session 4: MODELLING THE TERM STRUCTURE
Chairperson: Giovanni Urga

16.00-17:00

Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel
Model with Time-Varying Parameters
(with Max Mallee and Michel van der Wel)
Siem Jan Koopman (Vrije Universiteit Amsterdam and the Tinbergen Institute, Netherlands ).

Estimation of Factors for Term Structures with Dependence Clusters
Dennis Philip (Centre for Econometric Analysis, Cass Business School , London , UK )

Session 5: OxMetrics Developments
Chairperson: Giovanni Urga

17.00-18.00: 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

Thursday, 18 September 2008

Session 6: COPULAS AND MICROECONOMETRICS
Chairperson: Siem Jan Koopman

09:00-10:00

Dynamic Distributions and Changing Copulas
Andrew Harvey (Faculty of Economics, University of Cambridge UK )

Regulation in Oligopolistic Markets with Differentiated Products: The Demand for New Cars
Melvyn Weeks (Faculty of Economics, University of Cambridge , UK )

10:00-10.15: Coffee/Tea Break

Session 7: GARCH MODELS AND VOLATILTY
Chairperson: Melvyn Weeks

10.15-11.45:

Optimal Portfolio Allocation using Daily Correlation Modelling
(with Roman Kraussl).
Charles Bos (Department of Econometrics, Vrije Universiteit Amsterdam , The Netherlands ).

Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
(with Christian Conrad)
Menelaos Karanasos (Department of Economics and Finance, Brunel University ,
West London , UK )

Outlyingness Weighted Quadratic Covariation
(with Christophe Croux, and Sebastien Laurent)
Kris Boudt (Faculty of Business and Economics, K.U.Leuven , Belgium )

11:45-12.00: Coffee/Tea Break

Session 8: MIXED
Chairperson: Charles Bos

12.00-13:00:

Synchronization Across Full and Country-Specific Business Cycles in the Euro
Zone
Carmine Pappalardo (ISAE - Institute for Studies and Economic Analyses, Rome ,
Italy )

Gamma Approximation Cointegration (GAC). Documentation and User Manual
Havard Hungnes (Research Department, Statistics Norway , Norway )

13.00: LUNCH/END OF CONFERENCE.