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Programme 2009-2010

Vendredi 14 mai 2010 / Friday, May 14, 2010
8:00 – 8:30 Accueil / Welcome
8:30 – 10:30 SESSION I – WEAK IDENTIFICATION Présidente / Chair : Silvia Gonçalves (Université de Montréal, CIREQ, CIRANO)
  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)  

10:30 – 11:00

Pause / Break
11:00 – 12:20 SESSION II – MACROECONOMETRICS Président / Chair : Russell Davidson (McGill University, CIREQ)    

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)  

12:20 – 13:50


13:50 – 15:10

SESSION III – LARGE SCALE MODELS Président / Chair : Jean-Marie Dufour (McGill University, CIREQ, CIRANO)  

  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)
15:10 – 15:40 Pause / Break
15:40 – 17:00 SESSION IV – IMPROVED INFERENCE Président / Chair : Marc Henry (Université de Montréal, CIREQ, CIRANO)  
  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)  
17:00 – 18:00


  Bertille Antoine (Simon Fraser University) Specification Tests for Strong Identification  
  Christian T. Brownlees (New York University, Stern School of Business) Volatility, Correlation and Tails for Systemic Risk Measurement  
  Tolga Cenesizoglu (HEC Montréal) The Effect of Monetary Policy on Credit Spreads  
  Bertrand Hounkannounon (Université de Montréal, CIREQ) Bootstrap for Panel Regression Models with Random Effects  
  Liang Hu (Leeds University) Testing for Cointegration in Markov Switching Error Correction Models  
  Rachidi Kotchoni (Université de Montréal, CIREQ) Resampling in the Frequency Domain : The Solution to a Curse of Dimensionality
  Razvan Pascalau (Plattsburgh University) Pretesting the Out-of-Sample Forecasting Properties of STAR Models  
  Lei Qi (Princeton University) Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models  


Jeroen Rombouts (HEC Montréal, CIRANO, CIRPEE, CORE) On the Forecasting Accuracy of Multivariate GARCH Models  
  Anna Simoni (Bocconi University) Bayesian Thresholding for Optimal Portfolio Allocation  
  Dalibor Stevanovic (Université de Montréal, CIREQ) Dynamic Effects of Credit Shocks in Data-Rich Environment  

Roman Tymkiv (Université de Montréal, CIREQ) Temporal Irreversibility of Time Series : Circulation and Its Economic Application  

Samedi 15 mai 2010 / Saturday, May 15, 2010
9:00 – 10:20 SESSION V – FORECASTING I Président / Chair : John Galbraith (McGill University, CIREQ, CIRANO)  
  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)  
10:20 – 10:50 Pause / Break
10:50 – 12:10 SESSION VI – FORECASTING II Président / Chair : David Veredas (ECARES, Université Libre de Bruxelles)  
  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)  
12:10 – 13:40


13:40 – 15:00 SESSION VII – FINANCE Présidente / Chair : Pascale Valéry (HÉC Montréal)

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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