| Time | Description |
| 08:30–08:55 | Registration and coffee/tea/pastries |
| 08:55–09:00 | Welcoming 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 |
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| 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 |
|
| 10:30-11:00 | Break |
| 11:00-12:30 | SESSION 2: Forecasting |
| Do experts forecast rationally? A theoretical and empirical assessment of the role of information observation and forecast adjustment costs/strong Frédérique Bec |
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| Forecasting French GDP with Dynamic Factor Models : a pseudo-real time experiment using FECM Catherine Doz |
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| Detecting Time-dependent Bias in the Fed’s Greenbook Forecasts of Foreign GDP Growth Neil Ericsson |
|
| 12:30-14:00 | Lunch |
| 14:00-14:45 | SESSION 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. | |
| 14:45-15.15 | Break |
| 15:15-16:45 | SESSION 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 |
|
| 17:00-17:30 | SESSION 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 |
|
| 17:30-18:45 | SESSION 6: Roundtable with OxMetrics Developers |
| 19:00 | Drinks & dinner at RadioEat |
| Time | Description |
| 09:30-11:00 | SESSION 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 |
|
| 11.00-11.30 | Break |
| 11:30-12:30 | SESSION 8: Econometrics I |
| Regularized Generalized Empirical Likelihood Estimators Rachidi Kotchoni |
|
| Asymptotic theory of M-estimators for linear regression in time series Bent Nielsen |
|
| 12:30-14:00 | Lunch & Poster Session |
| Do hedge funds hedge? New evidence from tail risk premia embedded in options Anmar Al Wakil |
|
| 14:00-15:30 | SESSION 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 |
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| First-in, first-out: Modelling the UK's CO2 emissions, 1860-2016 David Hendry |
|
| 15.30-16.00 | Break |
| 16:00-18:00 | SESSION 10: Econometrics II |
| Estimation of realized betas in a multi-factor model in presence of noise and asynchronicity Orimar Sauri |
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| Marked and Weighted Empirical Processes of Residuals Vanessa Berenguer-Rico |
|
| CATS3 for OxMetrics Jurgen Doornik |
|
| 18:00 | Adjourn |