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.

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