CIREQ Econometrics Conference :
Time Series and Financial Econometrics
Program
Friday, May 3
8:00-8:30 Welcome
8:30-10:00 SESSION I – Chair : Marc Henry (Université de Montréal, CIRANO, CIREQ)
A. Ron GALLANT (Duke University), Raffaella Giacomini (University College London), Giuseppe Ragusa (Luiss University)
GMM with Latent Variables
Discussant : Frank Kleinbergen (Brown University)
George TAUCHEN (Duke University), Viktor Todorov (Northwestern University)
Limit Theorems for the Empirical Distribution Function of Scaled Increments of Itô Semimartingales at High Frequencies
Discussant : Russell Davidson (McGill University, CIREQ)
10:00-10:30 Break
10:30-12:00 SESSION II – Chair : John Galbraith (McGill University, CIREQ)
Federico BANDI (The Johns Hopkins Carey Business School), Davide Pirino (Scuola Superiore S. Anna), Roberto Reno (Universita di Siena)
Excess Idle Time
Discussant : Ruslan Goyenko (McGill University)
Kevin SHEPPARD (Oxford University)
Measuring Market Speed
Discussant : Natalia Sizova (Rice University)
12:00-13:30 Lunch
13:30-15:00 SESSION III – Chair : Prosper Dovonon (Concordia University, CIRANO, CIREQ)
Zhongjun QU (Boston University), Denis Tkachenko (National University of Singapore)
Local and Global Parameter Identification in DSGE Models Allowing for Indeterminacy
Discussant : Bertille Antoine (Simon Fraser University)
Atsushi Inoue (North Carolina State University), Lutz KILIAN (University of Michigan)
Inference on Impulse Response Functions in Structural VAR Models
Discussant : Jean-Marie Dufour (McGill University, CIRANO, CIREQ)
15:00-15:30 Break
15:30-17:00 SESSION IV – Chair : Sílvia Gonçalves (Université de Montréal, CIRANO, CIREQ)
Ulrich MÜLLER, Mark Watson (Princeton University)
Measuring Uncertainty about Long-Run Predictions
Discussant : Bruce Hansen (University of Wisconsin)
Federico Bandi (The Johns Hopkins Carey Business School), Benoît Perron (Université de Montréal, CIRANO, CIREQ), Andrea TAMONI (London School of Economics & Political Science (LSE)), Claudio Tebaldi (Bocconi University)
The Scale of Predictability
Discussant : Cédric Okou (UQAM)
17:00-18:30 POSTER SESSION
Bertille ANTOINE (Simon Fraser University), Otilia Boldea (Tilburg University)
Efficient Inference with Time-Varying Identification Strength
Selma CHAKER (Banque du Canada)
Volatility and Liquidity Costs
Hirbod Assa, Amal DABBOUS (Concordia University), Nikolay Gospodinov (Concordia University, CIRANO, CIREQ)
A Staggered Pricing Approach to Modelling Speculative Storage : Implications for Commodity Price Dynamics
Sílvia GONÇALVES, Benoît Perron (Université de Montréal, CIRANO, CIREQ)
Bootstrap Prediction Intervals for Factor Models
Mehmet Caner (North Carolina State University), Xu HAN (City University of Hong Kong)
Selecting the Correct Number of Factors in Approximate Factor Models : The Large Panel Case with Group Bridge Estimators
Eic Jacquier (HEC Montreal, CIREQ), Cédric OKOU (UQAM)
Horizon Effect in the Term Structure of Long-Run Return Trade-offs
Razvan PASCALAU (SUNY Plattsburgh)
Bootstrapping the Relative Performance of Yield Curve Strategies
Aurore Delaigle (University of Melbourne), Alexander Meister (Universität Rostock), Jeroen ROMBOUTS (ESSEC Business School)
Fast Density Estimation in GARCH Models
Barbara Rossi (Pompeu Fabra), Tatevik SEKHPOSYAN (Banque du Canada)
Alternative Tests for Correct Specification of Conditional Predictive Densities
Natalia SIZOVA (Rice University)
Frequency-Domain (Optimal) Test for Long-Run Return Predictability
Saturday, May 4
9:00-10:30 SESSION V – Chair : Victoria Zinde-Walsh (McGill University, CIREQ)
Bruce HANSEN (University of Wisconsin)
Multi-Step Forecast Model Selection
Discussant : Nikolay Gospodinov (Concordia University, CIRANO, CIREQ)
H.P. Boswijk (Amsterdam School of Economics), M. Jansson (University of California at Berkley), Morten NIELSEN (Queen’s University)
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Discussnt : Benoit Perron (Université de Montréal, CIRANO, CIREQ)
10:30-11:00 Break
11:00-12:30 SESSION VI – Chair : Marine Carrasco (Université de Montréal, CIRANO, CIREQ)
Torben Andersen, Nicola Fusari, Viktor TODOROV (Northwestern University)
The Risk Premia Embedded in Option Panels
Discussant : Ivan Shaliastovich (Wharton School, University of Pennsylvania)
Jeffrey RUSSELL (University of Chicago Booth School of Business)
Cross-Sectional and Time-Series Properties of Equity Market Liquidity with Applications to the Financial Crisis
Discussant : Selma Chaker (Banque du Canada)
12:30-14:00 Lunch
14:00-15:30 SESSION VII – Chair : Artem Prokhorov (Concordia University, CIREQ)
Xu CHENG (University of Pennsylvania), Zhipeng Liao (University of California at Los Angeles), Frank Schorfheide (University of Pennsylvania)
Shrinkage Estimation of Dynamic Factor Models with Structural Instabilities
Discussant : Xu Han (City University of Hong Kong)
Dong Hwan Oh, Andrew PATTON (Duke University)
Time-Varying Systemic Risk : Evidence from a Dynamic Copula Model of CDS Spreads
Discussant : Drew Creal (University of Chicago Booth School of Business)
