Time | Description | |
9:00-10:30 | Session "Financial Econometrics" |
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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 |
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10:30-11:00 | Coffee break |
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11:00-12:30 | Session "Forecasting 1" |
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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 |
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12:30-14:00 | Lunch |
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14:00-14:45 | Ana Timberlake Memorial Lecture |
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Christophe Croux Robust Statistics and time series modelling |
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15:15-16:15 | Session "Forecasting 2" |
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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 |
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16:15-16:45 | Coffee break |
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16:45-17:30 | Speed Session 110-minutes per presentation |
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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 |
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18:00-19:00 | Guided tour of AixDeparture at 18:00 from Grand Hôtel Roi René |
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24 Boulevard du Roi René, 13100 Aix-en-Provence |
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19:00-20:00 | Cocktail at "Pavillon Vendome" |
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20:30-23:00 | Gala Diner at Restaurant Les 2 frères |
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4 Avenue Reine Astrid, 13090 Aix-en-Provence |
Time | Description | |
9:00-10:30 | Session "Autometrics" |
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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 |
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10:30-11:00 | Coffee break |
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11:00-12:30 | Session "Macroeconometrics I" |
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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 |
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12:30-14:00 | Lunch |
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14:00-15:30 | Session "Macroeconometrics II" |
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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 |
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15:30-16:00 | Coffee break |
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16:00-16:45 | Speed Session 210-minutes per presentation |
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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 |
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16:45-17:30 | Round Table Discussion with the OxMetrics developers |