| 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) | |
Upcoming Events
30 September 2023 (ITHQ)
2 October 2023, 15:00-19:00 (Studio-Cabaret de l'Espace St-Denis)
6 October 2023 (ITHQ)
13-14 October 2023 (U. Sherbrooke)
13 October 2023 at 15:30 (McGill)
25 October 2023 (U. Montréal)
10 November 2023, 11:30 - 13:00
16 November 2023, 12:00 - 13:30
4-5 December 2023 (Germany)
8 December 2023 (U. Montréal)
