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Vendredi 14 mai 2010 / Friday, May 14, 2010
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8:00 – 8:30
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Accueil / Welcome
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8:30 – 10:30
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SESSION I – WEAK IDENTIFICATION
Présidente / Chair : Silvia Gonçalves (Université de Montréal, CIREQ, CIRANO)
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Donald W.K. Andrews (Yale University, CIREQ), Xu Cheng (University of Pennsylvania)
Estimation and Inference with Weak Identification
Discussant : Eric Renault (University of North Carolina, Chapel Hill, CIREQ, CIRANO)
Jean-Marie Dufour (McGill University, CIREQ, CIRANO), Lynda Khalaf (Carleton University, CIREQ), Maral Kichian (Banque du Canada)
Structural Multi-Equation Macroeconomic Models : Identification-Robust Estimation and Fit
Discussant : Frank Kleibergen (Brown University)
Sophocles Mavroeidis (Brown University)
Identification Using Stability Restrictions
Discussant : Xu Cheng (University of Pennsylvania)
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10:30 – 11:00
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Pause / Break
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11:00 – 12:20
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SESSION II – MACROECONOMETRICS
Président / Chair : Russell Davidson (McGill University, CIREQ)
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Lutz Kilian (Michigan University), Robert Vigfusson (Federal Reserve Board)
Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?
Discussant : Elena Pesavento (Emory University)
Nikolay Gospodinov (Concordia University, CIREQ), Serena Ng (Columbia University)
Commodity Prices, Convenience Yields, and Inflation
Discussant : Benoit Perron (Université de Montréal, CIREQ, CIRANO)
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12:20 – 13:50
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Lunch
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13:50 – 15:10
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SESSION III – LARGE SCALE MODELS
Président / Chair : Jean-Marie Dufour (McGill University, CIREQ, CIRANO)
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Marc Hallin (Université Libre de Bruxelles), Roman Liska (European Commission, Ispra)
Dynamic Factors in the Presence of Blocks
Discussant : Alexei Onatski (Columbia University)
Domenico Giannone (Université Libre de Bruxelles), Michele Lenza (European Central Bank), Giorgio Primiceri (Northwestern University)
Prior Selection for Vector Autoregressions
Discussant : Raffaella Giacomini (University College London)
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15:10 – 15:40
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Pause / Break
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15:40 – 17:00
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SESSION IV – IMPROVED INFERENCE
Président / Chair : Marc Henry (Université de Montréal, CIREQ, CIRANO)
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Taesuk Lee (University of Rochester), Werner Ploberger (Washington University, St. Louis)
An Improved Pre-Averaging Estimator for Integrated Volatility
Discussant : Ilze Kalnina (Université de Montréal)
Timothy Vogelsang (Michigan State University), Martin Wagner (Institute for Advanced Studies)
Estimating Cointegration Relationships : A Tuning Parameter Free Approach
Discussant : Giuseppe Cavaliere (University of Bologna)
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17:00 – 18:00
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POSTER SESSION
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Bertille Antoine (Simon Fraser University)
Specification Tests for Strong Identification
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Christian T. Brownlees (New York University, Stern School of Business)
Volatility, Correlation and Tails for Systemic Risk Measurement
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Tolga Cenesizoglu (HEC Montréal)
The Effect of Monetary Policy on Credit Spreads
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Bertrand Hounkannounon (Université de Montréal, CIREQ)
Bootstrap for Panel Regression Models with Random Effects
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Liang Hu (Leeds University)
Testing for Cointegration in Markov Switching Error Correction Models
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Rachidi Kotchoni (Université de Montréal, CIREQ)
Resampling in the Frequency Domain : The Solution to a Curse of Dimensionality
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Razvan Pascalau (Plattsburgh University)
Pretesting the Out-of-Sample Forecasting Properties of STAR Models
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Lei Qi (Princeton University)
Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models
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Jeroen Rombouts (HEC Montréal, CIRANO, CIRPEE, CORE)
On the Forecasting Accuracy of Multivariate GARCH Models
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Anna Simoni (Bocconi University)
Bayesian Thresholding for Optimal Portfolio Allocation
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Dalibor Stevanovic (Université de Montréal, CIREQ)
Dynamic Effects of Credit Shocks in Data-Rich Environment
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Roman Tymkiv (Université de Montréal, CIREQ)
Temporal Irreversibility of Time Series : Circulation and Its Economic Application
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Samedi 15 mai 2010 / Saturday, May 15, 2010
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9:00 – 10:20
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SESSION V – FORECASTING I
Président / Chair : John Galbraith (McGill University, CIREQ, CIRANO)
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Bruce Hansen (University of Wisconsin)
Multi-Step Forecast Model Selection
Discussant : Guido Kuersteiner (Georgetown University)
Jonathan Wright (Johns Hopkins University)
Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior
Discussant : Eric Ghysels (University of North Carolina, Chapel Hill)
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10:20 – 10:50
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Pause / Break
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10:50 – 12:10
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SESSION VI – FORECASTING II
Président / Chair : David Veredas (ECARES, Université Libre de Bruxelles)
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Elena Andreou (University of Cyprus), Eric Ghysels (University of North Carolina, Chapel Hill), Andros Kourtellos (University of Cyprus)
Should Macroeconomic Forecasters Use Daily Data and How?
Discussant : Tolga Cenesizoglu (HEC Montréal)
Michael Clements (University of Warwick), Ana Beatriz Galvão (Queen Mary University of London)
Real-Time Forecasting of Inflation and Output Growth in the Presence of Data Revisions
Discussant : Simon van Norden (HEC Montréal, CIREQ, CIRANO)
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12:10 – 13:40
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Lunch
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13:40 – 15:00
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SESSION VII – FINANCE
Présidente / Chair : Pascale Valéry (HÉC Montréal)
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Brendan Beare (University of California, San Diego)
Optimal Measure Preserving Derivatives
Discussant : Jeroen Rombouts (HEC Montréal, CIRANO, CIRPEE, CORE)
Marine Carrasco (Université de Montréal, CIREQ, CIRANO), Nérée Noumon (Université de Montréal, CIREQ)
Optimal Portfolio Selection using Regularization
Discussant : Raymond Kan (University of Toronto)
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