MONDAY,
11 SEPTEMBER 2017
9:00-10:30
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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
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10:30–11:00
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Coffee Break
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11:00-12:30
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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
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12:30-14:00 | Lunch in the Patio
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14:00-14:45
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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
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14:45-15:15
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Coffee Break
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15:15-16:45
16:45-17:00
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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
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17:00-17:30
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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
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17:30-18:15 19:00
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Roundtable with OxMetrics Developers Drinks & Dinner at RadioEat | | | | | TUESDAY,
12 SEPTEMBER 2017
9:30-11:00
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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
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11:00-11:30
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Coffee Break
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11:30
-12:30
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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
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Lunch & Poster
Session Poster: Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options Anmar Al Wakil
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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
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15:30-16:00
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Coffee
Break
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16:00-17:30
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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
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17:30
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Adjourn
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