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Programme: Conférence NBER-NSF 2006 en séries temporelles

PROGRAM / PROGRAMME

NBER & NSF 2006 TIME SERIES CONFERENCE

FRIDAY, SEPTEMBER 29

VENDREDI 29 SEPTEMBRE

 

11:00-12:30

Registration & Lunch / Inscriptions & Lunch

12:30 – 12:35

Welcoming Address / Mot de Bienvenue
Bryan Campbell (Concordia University, CIREQ, CIRANO), Nour Meddahi (Imperial College London, Université de Montréal, CIREQ, CIRANO)

12:35 – 14:35

Session I
Chair / Président: Richard Davis (Colorado State University)

 

Torben G. Andersen (Northwestern University, NBER), Tim Bollerslev (Duke University, NBER), Francis X. Diebold (University of Pennsylvania, NBER)
Roughing it Up : Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

David Dickey (North Carolina State University), Sangpil Hwang (Bank of Korea)
Two Nonlinear Models for Time Series

Clifford Hurvich (New York University), Yi Wang (New York University)
Cointegration from a Pure-Jump Transaction-Level Price Model

Rainer Dahlhaus (University of Heidelberg), Wolfgang Polonik (University of California)
Nonparametric Quasi Maximum Likelihood Estimation for Gaussian Locally Stationary Processes

14:35 – 15:45

Break / Pause & Poster Session I

 

Willa Chen (Texas A&M University), Rohit Deo (New York University)
Bias Reduction and Likelihood Based Almost-Exactly Sized Hypothesis Testing in Predictive Regressions using the Restricted Likelihood

Ji Eun Choi (University of Waterloo), Bovas Abraham (University of Waterloo)
An Empirical Comparison of some Parameter Estimation Methods in Stochastic Volatility Models

Peter Christoffersen, Kris Jacobs (McGill University, CIREQ, CIRANO), Gregory Vainberg (McGill University)
Forward-Looking Betas

Ba Chu, Mark Salmon (University of Warwick)
An L-moment Test for Conditional Probability Distributions with Time-Series Data

Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Lynda Khalaf (Université Laval, CIREQ), Maral Kichian (Banque du Canada)
Structural Estimation and Evaluation of Calvo-Style Inflation Models

Raffaella Giacomini (University of California, Los Angeles), Barbara Rossi (Duke University)
Non-Nested Model Selection in Unstable Environments

David Matteson (The University of Chicago)
Estimating High Dimensional Volatility Models

Alex Maynard (Wilfrid Laurier University)
Robust Granger Causality Tests in the VARX Framework

Fallaw Sowell (Carnegie Mellon University)
An Improved Approximation to the Distributions in GMM Estimation with Dependent Data

Ke-Li Xu (Yale University)
Empirical Likelihood Re-weighted Functional Estimation of Nonlinear Diffusions

15:45 – 17:45

Session II
Chair / Président: James Stock (Harvard University, NBER)

 

Robert Engle (New York University, Morgan Stanley), Robert Ferstenberg (Morgan Stanley), Jeffrey Russell (University of Chicago)
Measuring and Modeling Execution Cost and Risk (2nd paper)

Ole Barndorff-Nielsen (University of Aarhus), Peter Hansen (Stanford University), Asger Lunde (University of Aarhus), Neil Shephard (Nuffield College, University of Oxford)
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Nikolay Gospodinov (Concordia University, CIREQ)
Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions

Jean-Marie Dufour, René Garcia, Abderrahim Taamouti (Université de Montréal, CIREQ, CIRANO)
Measuring Causality between Volatility and Returns with High-Frequency Data

18:30

Dinner (invitation only) / Dîner (sur invitation)

 

SATURDAY, SEPTEMBER 30

SAMEDI 30 SEPTEMBRE

 

08:30 – 10:00

Session III
Chair / Président: Roch Roy (Université de Montréal, CRM)

 

David Findley (U.S. Census Bureau)
Optimality of GLS for One-Step-Ahead Forecasting of REGARIMA and Related Models when the Regression is Misspecified

Kung-Sik Chan (University of Iowa)
Temporal Aggregation of Seasonally and Fractionally Differenced Time Series

Stéphane Grégoir (CREST-INSEE)
An Alternative Framework for Univariate and Multivariate Seasonal Adjustment

10:00 – 10:30

Break / Pause

10:30 – 12:00

Session IV
Chair / Président: Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

 

Ulrich Müller, Mark Watson (Princeton University)
Testing Models of Low-Frequency Variability

Alexei Onatski (Columbia University)
A Formal Statistical Test for the Number of Factors in the Approximate Factor Models

Marine Carrasco (Université de Montréal, CIREQ, CIRANO), Liang Hu (Leeds University), Werner Ploberger (University of Rochester)
Optimal Test for Markov Switching

12:00 – 13:45

Lunch & Poster Session II

 

Beth Andrews (Northwestern University)
Rank-Based Estimation for Autoregressive Moving Average Time Series Models

Jie Bai (University of Chicago)
Macro Fundamentals in Equity Premium Prediction

Guillaume Chevillon (ESSEC Business School, University of Oxford)
Finite Sample Cointegration in the Presence of Deterministic Trends

Shang-Chan Chiou (University of Chicago)
Testing and Dating Financial Contagion via a New Class of State-Space Model with Multiple Endogenous Structural Breaks

Gloria González-Rivera, Zeynep Senyuz, Emre Yoldas (University of California, Riverside)
Autocontours Dynamic Specification Tests

Xin Huang (Duke University)
Macroeconomic News Announcements, Financial Market Volatility and Jumps

Mohitosh Kejriwal, Pierre Perron (Boston University)
Estimating and Testing Multiple Structural Changes in Cointegrated Regression Models

Jun Ma, Charles Nelson, Richard Startz (University of Washington)
Spurious Inference in the GARCH(1,1) Model when it is Weakly Identified

Paolo Zaffaroni (Imperial College London)
Whittle Estimation of Exponential Volatility Models

Ying Zhang (Acadia University), Hao Yu, Ian McLeod (University of Western Ontario)
Exact Maximum Likelihood Estimation of AR(1) and Unit Root Testing

13:45 – 15:15

Session V
Chair / Président: Russell Davidson (McGill University, CIREQ)

 

Miguel A. Delgado, Carlos Velasco (Universidad Carlos III de Madrid)
A New Class of Portmanteau and Optimal Tests for Time Series Model Specification

Jan Johannes (University of Heidelberg), Suhasini Subba Rao (University of Bristol)
Nonparametric Prediction of Nonstationary Spatio-Temporal Processes

Christian Bontemps (Université de Toulouse, IDEI)
Moment-Based Tests for Discrete Distributions

15:15 – 15:45

Break / Pause

15:45 – 17:15

Session VI
Chair / Président: Peter Brockwell (Colorado State University)

 

Donald Andrews (Yale University), Patrik Guggenberger (University of California, Los Angeles)
The Limit of Finite Sample Size and a Problem with Subsampling (paper 2)

Hannes Leeb (Yale University), Benedikt Pötscher (University of Vienna)
Sparse Estimators and the Oracle Property, or the Return of Hodges’ Estimator

Ivana Komunjer (University of California, San Diego), Quang Vuong (Pennsylvania State University)
Efficient Conditional Quantile Estimation: The Time Series Case

17:15

Adjourn

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