Program

MONDAY, 11 SEPTEMBER 2017

9:00-10:30

Economics

Macroeconomic indicators and disaggregated data help to predict credit: A study based on Brazilian data

Pedro Valls Pereira

Dynamic Analysis of U.S. Household Portfolios

Kevin Beaubrun-Diant

Forecasting football match results in national league competitions using score-driven time series models

Siem Jan Koopman

10:30–11:00

Coffee Break

11:00-12:30

Forecasting

Do Experts Forecast Rationally? A theoretical and empirical assessment of the role of information observation and forecast adjustment costs

Frédérique Bec

Forecasting French GDP with Dynamic Factor Models : a pseudo-real time experiment using FECM

Catherine Doz

Detecting Time-dependent Bias in the Fed’s Greenbook Forecasts of Foreign GDP Growth 

Neil Ericsson

12:30-14:00

Lunch in the Patio

14:00-14:45

Ana Timberlake Memorial Lecture

Statistics for high-frequency observations of a process

Jean Jacod

 The aim of this talk is to give a quick overview of some recent results in statistics of processes (with mostly financial time series in mind), in the case of discrete observations of an underlying process (typically a log-price) over a fixed time interval. In such a framework, estimating the law of the process is usually not feasible, but it is often the case that one can still have consistent estimators as the observation frequency increases, for some specific characteristics of the process. We start with a quick review of those characteristics that can be consistently estimated within this framework, versus those which cannot. Then, restricting our attention to underlying processes that are Itô semimartingale, as it is the case for virtually all continuous time models for log-prices, we will explain in some details how to estimate the volatility, and hopefully (if time permits) how to decide whether the process is continuous or not, and how to estimate the degree of activity of jumps, including statements about the rate-optimality and in some cases asymptotic efficiency. For simplicity, most results will be given when the observation scheme is regular and without noise, but we will also quickly explain how this can be extended to the case of irregularly spaced observations times, and the case where the microstructure noise is present.

Jean Jacod's keynote address

Google Docs Video



14:45-15:15

Coffee Break

15:15-16:45








16:45-17:00

Financial Econometrics 1

Testing for Extreme Volatility Transmission with Realized Volatility Measures

Elena Dumitrescu

Multilevel Risk Management: ETF Backtesting Risk

Lynda Khalaf

Global comovements of stock returns using a two-level factor model with time-varying parameters

Giovanni Urga

Short break

17:00-17:30

Speed Presentations

Renewing Policy mix in the WAEMU

Daniel Ouedraogo

The uncertainty of Principal Components Factors

Javier de Vicente Maldonado 

Multi-step Forecasting with Partial Least Squares

Joonsuk Kwon

17:30-18:15

19:00

Roundtable with OxMetrics Developers

Drinks & Dinner at RadioEat 

  
  

TUESDAY, 12 SEPTEMBER 2017

 

9:30-11:00

Finance II

Pricing Individual Stock Options using both Stock and Market Index Information

Jeroen Rombouts

 The Aftermath of 2008 Turmoil on Brazilian Economy: Tsunami or “Marolinha”?

Emerson Fernandes Marçal

Testing for jumps in local-to-unity continuous-time diffusion processes

Sébastien Laurent

11:00-11:30

Coffee Break

11:30 -12:30

Econometrics I

Regularized Generalized Empirical Likelihood Estimators 

Rachidi Kotchoni

Asymptotic theory of M-estimators for linear regression in time series

Bent Nielsen 

12:30-14:00

Lunch & Poster Session

Poster:

Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options Anmar Al Wakil

14:00-15:30

Indicator Saturation & Climate

Uncertain impacts on economic growth when stabilizing global temperatures at 1.5°C or 2°C warming

Moritz Schwarz

Hyperbolically Weighted Least-Squares

Guillaume Chevillon

First-in, First-out:  Modelling the UK's CO2 Emissions, 1860-2016

David Hendry

15:30-16:00

Coffee Break

16:00-17:30

Econometrics II

Estimation of realized betas in a multi-factor model in presence of noise and asynchronicity

Orimar Sauri

Marked and Weighted Empirical Processes of Residuals

Vanessa Berenguer-Rico 

CATS3 for OxMetrics

Jurgen Doornik

17:30

Adjourn