OxMetrics User Conference - Programme

Thursday, 3 September 2015

Conference Location - Amphi Favoreu, 5 Avenue Robert Schuman, 13100 Aix-en-Provence (MAP)

Time Description

Session "Financial Econometrics"
Andrew Harvey
Volatility Modeling with a Generalized t-distribution

Sebastien Laurent
Which continuous-time model is most appropriate for exchange rates?

Deniz Erdemlioglu
Financial flights, stock market linkages and jump excitation

10:30-11:00 Coffee break

Session "Forecasting 1"
Andrew Martinez
Evaluating Multi-Step System Forecasts with Relatively Few Observations

Felix Pretis
A Dynamic Indicator-Saturation Test for Time-Varying Predictive Accuracy

Pedro Valls
Forecast Comparison with Nonlinear Methods for Brazilian Industrial Production

12:30-14:00 Lunch

Ana Timberlake Memorial Lecture
Christophe Croux
Robust Statistics and time series modelling

Session "Forecasting 2"
Neil Ericsson
Eliciting Forecasts from the FOMC's Minutes Around the Financial Crisis

Siem Jan Koopman
Weighted Maximum Likelihood Estimation for Forecasting using Dynamic Factor Models with an Application to Mixed-Frequency Data

16:15-16:45 Coffee break

Speed Session 1
10-minutes per presentation

Anmar Al Wakil
Exploring VIX Futures Optimal Positioning

Adrien Becam
Serial-correlation and time-varying liquidity in the hedge-fund industry

Malick Fall
Testing the Conditional Liquidity Asset Pricing Model with Unobserved Components Models.

Ermengarde Jabir
A Comparative Study of the Predictive Power of Real Estate Uncertainty

Guided tour of Aix
Departure at 18:00 from Grand Hôtel Roi René
24 Boulevard du Roi René, 13100 Aix-en-Provence

Cocktail at "Pavillon Vendome"

Gala Diner at Restaurant Les 2 frères
4 Avenue Reine Astrid, 13090 Aix-en-Provence

Friday, 4 September 2015

Conference Location - Amphi Favoreu, 5 Avenue Robert Schuman, 13100 Aix-en-Provence (MAP)

Time Description

Session "Autometrics"
James Reade
Prediction Markets, Twitter and Bigotgate

Giovanni Urga
Systemic Risk and Monetary Policy

Joshua Stillwagon
TIPS and the VIX: Spillovers from Financial Panic to Breakeven Inflation in an Automated, Non-linear Modeling Framework

10:30-11:00 Coffee break

Session "Macroeconometrics I"
Guillaume Chevillon
Robust inference in structural VARs with long-run restrictions

David Hendry
The Impact of Near-Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series

Jurgen Doornik
Estimation of Restricted Cointegration Vector Autoregressive Models

12:30-14:00 Lunch

Session "Macroeconometrics II"
Bent Nielsen
Causal transmission in reduced-form models

Alain Hecq
Testing for news and noise in non-stationary time series subject to multiple revisions

Emerson Marcal
Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates

15:30-16:00 Coffee break

Speed Session 2
10-minutes per presentation

Thieu Le Quyen,
Qml inference for volatility models with covariates

Sun Ran
Volatility shocks and mutual funds flows : evidence from individual asset manager firms

Jeanne Amar
Are Sovereign Wealth Fund Investment Decisions based on Country Factors?

Anne-Charlotte Paret
Sovereign default in Emerging market countries : A transition model allowing for heterogeneity

Round Table Discussion with the OxMetrics developers
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