Program (preliminary)

MONDAY, 11 SEPTEMBER 2017

9:00-10:30

Financial Econometrics 1

Testing for Extreme Volatility Transmission with Realized Volatility Measures

Gilles de Truchis 

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

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

Jean Jacod

14:45-15:15

Coffee Break

15:15-16:45

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

K.E. Beaubrun-Diant

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

Siem Jan Koopman

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

Social Interactions

Inequality, Poverty and Social Protection: Time Series Analysis of Pakistan

Muhammad Waqas

Forecasting pathways of psychosocial anxiety, depression and post-traumatic stress in Ukraine following the Chornobyl nuclear accident

Robert Yaffee

12:30-14:00

Lunch & Poster Session

Posters:

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


14:00-15:30

Panel Indicator Saturation & Climate

Indicator Saturation in Panel Regressions: Poolability, stability and outliers

James Reade

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

Felix Pretis

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

David Hendry

15:30-16:00

Coffee Break

16:00-18:00

Econometric Theory

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

Bent Nielsen

Marked and Weighted Empirical Processes of Residuals

Vanessa Berenguer-Rico 

Hyperbolically Weighted Least-Squares

Guillaume Chevillon 

CATS3 for OxMetrics

Jurgen Doornik

18:00

Adjourn