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Program

 

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

Lunch
 

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

POSTER SESSION
 

 

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

Lunch
 

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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