PROGRAMME CFE 2014
KEYNOTE TALKS
PARALLEL SESSIONS
| Parallel session C: | Saturday 06.12.2014 | 10:30 - 11:45 |
| Session CS10 | Room: E2 |
| Quantile regression applications in finance | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Massimiliano Caporin |
Organizer: Massimiliano Caporin |
| C044: G. Bonaccolto, M. Caporin | |
| Modeling and forecasting the range bipower variation conditional quantiles | |
| C715: L. Petrella, M. Bernardi, R. Casarin | |
| Dynamic model averaging for quantile regression | |
| C412: M. Caporin, F. Ravazzolo, P. Santucci de Magistris | |
| Spillover effect to bailout expectation: an empirical study of Denmark |
| Session CS13 | Room: A2 |
| Bayesian econometrics | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Richard Gerlach |
Organizer: C.W.S. Chen |
| C484: T. Watanabe, M. Takahashi, Y. Omori | |
| Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution | |
| C499: Y. Omori, S. Shirota, H. Lopes, H. Piao | |
| Cholesky realized stochastic volatility model with leverage | |
| C865: M. So | |
| Bayesian hierarchical spatial-temporal modeling |
| Session CS22 | Room: Q2 |
| Dynamic modeling of variance risk premia | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Matthias Fengler |
Organizer: Matthias Fengler |
| C1281: M. Grith | |
| A dynamic partial equilibrium model for asset pricing with volatility risk premium and reference dependent preferences | |
| C1005: A. Cipollini, I. Lo Cascio, S. Muzzioli | |
| An index of financial connectedness applied to variance risk premia | |
| C1303: M. Fengler | |
| Are variance risk premia affine functions in the underlying state variables? |
| Session CS34 | Room: G2 |
| Econometrics of art markets | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Douglas Hodgson |
Organizer: Douglas Hodgson |
| C586: D. Hodgson, J. Galbraith | |
| Innovation, experience and artists' age-valuation profiles: evidence from eighteenth-century rococo and neo-classical painters | |
| C752: C. Hellmanzik | |
| Creative production and peer effects: evidence from the exodus of superstar painters from Paris | |
| C815: G. David | |
| Is art really a safe haven? Evidence from the French art market during WWI |
| Session CS35 | Room: O2 |
| Analysis of extremes and dependence | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Artem Prokhorov |
Organizer: Rustam Ibragimov |
| C307: W. Richter | |
| Geometric measure representations and exact distributions of extremes | |
| C685: M. Smith, S. Vahey | |
| Density forecasting of U.S. macroeconomic variables using a Gaussian copula model of cross-sectional and serial dependence | |
| C988: A. Prokhorov, R. Ibragimov | |
| Fat tails and copulas: limits of diversification revisited |
| Session CS50 | Room: P2 |
| Monitoring macro-economic imbalances and risks | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C175: T. Strohsal, L. Winkelmann | |
| Assessing the anchoring of inflation expectations | |
| C370: G. von Schweinitz, P. Sarlin | |
| Signaling twin crises: Estimating the nexus of banking and sovereign risk | |
| C724: M. Kremer, K. Hubrich, P. Hartmann, R. Tetlow | |
| Melting down: systemic financial instability and the macroeconomy |
| Session CS68 | Room: B2 |
| Multivariate time Series | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Marco Reale |
Organizer: Marco Reale |
| C905: A. Naccarato, A. Pierini | |
| Resampling and asymptotic test statistic distributions for portfolio selection | |
| C908: M. Fragetta, E. Gasteiger | |
| Fiscal foresight, limited information and the effects of government spending shocks | |
| C1197: M. Reale, G. Tunnicliffe Wilson, J. Haywood | |
| VZAR: an extension of the VAR model |
| Session CS71 | Room: I2 |
| Nonparametric and semiparametric methods: Recent developments | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Patrick Saart |
Organizer: Patrick Saart |
| C156: C. Zhou, Y. Feng | |
| Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using Semi-FI-Log-ACD | |
| C598: P. Saart | |
| Financial applications of nonparametric methods for functional linear regression analysis | |
| C601: N. Kim | |
| Control function approach to weak instruments |
| Session CS83 | Room: N2 |
| Energy price and volatility modelling | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Helena Veiga |
Organizer: Helena Veiga |
| C147: P. Guerin, C. Baumeister, L. Kilian | |
| Do high-frequency financial data help forecast oil prices? The MIDAS touch at work | |
| C401: I. Casas, S. Suardi | |
| Modelling crude oil price return volatility - level Nexus: a robust nonparametric approach | |
| C699: A. Bastianin, M. Manera | |
| How does stock market volatility react to oil shocks? |
| Session CS88 | Room: C2 |
| Quantitive methods in credit risk management | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Jiri Witzany |
Organizer: Jiri Witzany |
| C157: J. Cerny, J. Witzany | |
| Wrong-way risk - correlation coefficient calibration | |
| C1105: M. Kolman | |
| Comparison of copulas in CDO valuation | |
| C1030: C. Castro, K. Garcia | |
| Default risk in agricultural lending, the effects of commodity price volatility and climate |
| Session CS90 | Room: M2 |
| Risk estimation and estimation risk | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Jean-Michel Zakoian |
Organizer: Jean-Michel Zakoian |
| C381: C. Francq, J. Zakoian | |
| Estimating the conditional VaR of a portfolio of multivariate GARCH returns | |
| C442: F. Telmoudi, C. Francq, M. El Ghourabi | |
| Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified | |
| C1113: C. Hurlin | |
| Risk measure inference |
| Session CS61 | Room: D2 |
| Filters wavelets and signals I | Saturday 06.12.2014 10:30 - 11:45 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C871: M. Bujosa, A. Bujosa, A. Garcia-Ferrer | |
| Mathematical framework for pseudo-spectra of linear stochastic difference equations | |
| C560: M. Scharnagl, M. Mandler | |
| The relationship of simple sum and Divisia monetary aggregates with real GDP and inflation: a wavelet analysis for the US | |
| C773: M. Deistler, B. Anderson, A. Braumann, E. Felsenstein, L. Koelbl | |
| Generalized linear dynamic factor models |
| Parallel session E: | Saturday 06.12.2014 | 14:35 - 16:15 |
| Session CSI02 - Invited | Room: Sala Convegni |
| Modeling and forecasting high dimensional time series | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Manfred Deistler |
Organizer: Manfred Deistler |
| C286: M. Lippi | |
| Dynamic factor models: I(1) variables and cointegration | |
| C1246: J. Dufour, H. Zhang | |
| Short and long run second-order causality: theory, measures and inference | |
| C1256: M. Deistler, B. Anderson, E. Felsenstein, B. Funovits, L. Koelbl, M. Zamani | |
| Multivariate AR systems and mixed frequency data: identifiability and estimation |
| Session CS01 | Room: M2 |
| Financial econometrics | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Niklas Ahlgren |
Organizer: Niklas Ahlgren |
| C113: M. Lof | |
| Momentum, uncertainty, and exchange rate predictability | |
| C132: H. Nyberg, M. Lanne | |
| Generalized forecast error variance decomposition for linear and nonlinear multivariate models | |
| C176: P. Catani, N. Ahlgren | |
| The power of wild bootstrap tests of cointegration rank with unconditional and conditional heteroskedasticity | |
| C901: S. Pynnonen, J. Kolari, A. Tunez | |
| Further evidence on long-run stock returns after corporate events |
| Session CS03 | Room: C2 |
| Advances in identification of structural vector autoregressive models | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Christiane Baumeister |
Organizer: Christiane Baumeister |
| C168: D. Caldara, C. Kamps | |
| The analytics of SVARs: A unified framework to measure fiscal multipliers | |
| C021: C. Baumeister, J. Hamilton | |
| Sign restrictions, structural vector autoregressions, and useful prior information | |
| C050: L. Fanelli, E. Bacchiocchi, E. Castelnuovo | |
| Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S. | |
| C030: C. Foroni, M. Marcellino | |
| Mixed frequency structural VARs |
| Session CS17 | Room: N2 |
| Liquidity and contagion | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Serge Darolles |
Organizer: Serge Darolles |
| C411: E. Theissen, O. Korn, P. Krischak | |
| Illiquidity transmission from spot to futures markets | |
| C424: L. Deville, A. Calamia, F. Riva | |
| The determinants of ETF liquidity: theory and evidence from European markets | |
| C469: G. Mero, S. Darolles, G. Le Fol | |
| Tracking illiquidities in daily and intradaily characteristics | |
| C873: S. Darolles, M. Vaissie | |
| Non-synchronous market impact and hedge fund portfolio construction |
| Session CS32 | Room: P2 |
| Co-movements in macroeconomics and finance | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Alain Hecq |
Organizer: Alain Hecq |
| C632: G. Cubadda, E. Scambelloni | |
| Factor-augmented autoregressiove models: representation, estimation, and forecasting | |
| C646: L. Lieb, A. Bicu | |
| Cross-border effects of coordinated fiscal policy in the Eurozone | |
| C680: B. Guardabascio, G. Cubadda, A. Hecq | |
| A vector heterogeneous autoregressive index model for bi-power variation | |
| C823: G. Chevillon | |
| Exuberance: an empirical investigation of sentiment driven buoyancy |
| Session CS42 | Room: B2 |
| Time-series econometrics | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Robert Kunst |
Organizer: Robert Kunst |
| C057: U. Gunter, I. Onder | |
| Forecasting tourism demand with Google trends: The case of Vienna | |
| C361: M. Hauser, A. Gonzaga | |
| Estimation of generalized long-memory stochastic volatility: Whittle and wavelets | |
| C610: H. Rachinger | |
| Multiple breaks in long memory time series | |
| C271: R. Kunst | |
| Forecasting seasonal data and nonparametric unit-root tests |
| Session CS53 | Room: O2 |
| Advances in DSGE Modelling | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Alexander Meyer-Gohde |
Organizer: Alexander Meyer-Gohde |
| C493: T. Holden, M. Paetz | |
| Efficient simulation of DSGE models with occasionally binding constraints | |
| C547: A. Meyer-Gohde, D. Neuhoff | |
| Generalized exogenous processes in DSGE: a Bayesian approach | |
| C1163: A. Duplinskiy, F. Palm, J. Urbain | |
| Estimation of the DSGE models with multivariate detrending | |
| C691: M. Evers | |
| Solving nonlinear rational expectations models by approximating the stochastic equilibrium system |
| Session CS58 | Room: H2 |
| Statistical modelling in banking and insurance regulations | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Gareth Peters |
Organizer: Gareth Peters |
| C496: R. Gerlach, C. Chen | |
| Bayesian daily tail-risk forecasting employing intra-day data | |
| C539: T. Aste, A. Birch | |
| Onset of systemic fragility due to counterparty risk in a stylized banking system | |
| C599: G. Bagnarosa, M. Ames, G. Peters | |
| Systemic crisis timeline using tails dependences | |
| C315: G. Peters, R. Targino, P. Shevchenko | |
| Sequential Monte Carlo for capital allocation |
| Session CS62 | Room: D2 |
| Filters wavelets and signals II | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C279: K. Triantafyllopoulos, D. Kadir | |
| Bayesian inference of autoregressive models | |
| C555: M. van Kampen, M. Wagner | |
| Convergence rates of sieve estimation in a univariate nonlinear cointegration model | |
| C419: T. Cesaroni, R. De Santis | |
| Current account core periphery dualism in the EMU | |
| C781: C. Rivero, J. del Hoyo, G. Llorente | |
| A testing procedure for parameter constancy in stochastic volatility models |
| Session CS64 | Room: G2 |
| Regime change modeling in economics and finance I | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C1009: K. Hubrich, P. Hartmann, M. Kremer, R. Tetlow | |
| Melting down: systemic financial instability and the macroeconomy | |
| C1101: W. Semmler, F. Schleer | |
| Overleveraging in the banking sector: evidence from Europe | |
| C1045: G. Ghiani, M. Gillman, M. Kejak | |
| Money, banking and interest rates: monetary policy regimes with Markov-switching VECM evidence | |
| C953: G. Caggiano, E. Castelnuovo, G. Nodari | |
| Uncertainty and monetary policy in good and bad times |
| Session CS80 | Room: E2 |
| Financial Modelling | Saturday 06.12.2014 14:35 - 16:15 |
| Chair: Genaro Sucarrat |
Organizer: Genaro Sucarrat |
| C141: T. Selland Kleppe, J. Yu, H. Skaug | |
| Maximum likelihood estimation of partially observed diffusion models | |
| C527: G. Sucarrat, A. Escribano | |
| Unbiased QML estimation of log-GARCH models in the presence of zero returns | |
| C548: S. Groenneberg, B. Holcblat, G. Sucarrat | |
| Consistency and asymptotic normality in log-GARCH-X models | |
| C172: M. Wolf, O. Ledoit | |
| Nonlinear shrinkage for portfolio selection: Markowitz meets goldilocks |
| Parallel session G: | Saturday 06.12.2014 | 16:45 - 18:50 |
| Session CS02 | Room: N2 |
| Volatility and correlation modelling for financial markets | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Cristina Amado |
Organizer: Cristina Amado |
| C059: G. Fruet Dias | |
| Assessing risk premium over time: Inference on GARCH-in-mean models with time-varying coefficients | |
| C095: T. Nakatani | |
| Handling conditional correlation GARCH models in R: The ccgarch2 package | |
| C349: R. Halbleib, A. Zagidullina | |
| A latent factor model for panels of realized volatilities | |
| C190: H. Vander Elst, N. Hansen, A. Lunde, K. Olesen | |
| Realizing commodity correlations and the market Beta | |
| C755: P. Rodrigues, J. Nicolau | |
| Testing for tail breaks in bank equity index returns: international evidence |
| Session CS103 | Room: F2 |
| Contributions to applied econometrics I | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Hilde C. Bjornland |
Organizer: CFE 2014 |
| C544: J. Yoon, T. Krivobokova, S. Klasen, A. Dreher | |
| Composite indices based on partial least squares | |
| C921: C. Otrok, T. Helbling, R. Huidrom, A. Kose | |
| How do business cycles become global? Common shocks or spillovers? | |
| C1117: L. Coroneo, V. Corradi, P. Santos Monteiro | |
| Testing for optimal monetary policy via moment inequalities | |
| C1171: R. Hisano, T. Mizuno, T. Ohnishi, T. Watanabe | |
| Identification of network effect in the buyer-seller network | |
| C1250: H. Bjornland, L. Brubakk, J. Maih | |
| Monetary policy, leaning and concern for financial stability |
| Session CS06 | Room: B2 |
| Non-stationary time series and the bootstrap | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Peter Boswijk |
Organizer: Peter Boswijk |
| C042: C. Trenkler, R. Brueggemann, C. Jentsch | |
| Inference in VARs with conditional heteroskedasticity of unknown form | |
| C066: L. De Angelis, G. Cavaliere, A. Rahbek, R. Taylor | |
| Determining the co-integration rank in heteroskedastic VAR models of unknown order | |
| C187: S. Smeekes, R. Taylor | |
| Bootstrap inference on deterministic trends in the presence of heteroskedastic and possibly integrated errors | |
| C266: A. Rahbek, G. Cavaliere, P. Boswijk, R. Taylor | |
| Bootstrap-based inference on cointegration parameters in heteroscedastic vector autoregressions | |
| C280: P. Boswijk, Y. Zu | |
| Adaptive testing for a unit root with nonstationary volatility |
| Session CS16 | Room: E2 |
| Modelling financial contagion | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Raffaella Calabrese |
Organizer: Raffaella Calabrese |
| C1065: C. Kok | |
| Using agent-based network models to assess financial contagion | |
| C1258: S. Battiston | |
| Systemic risk in financial networks | |
| C1238: S. Markose | |
| Global macro-nets: systemic risk from within country sectoral imbalances and cross border exposures of national banks | |
| C1044: S. Giansante | |
| Early warning of global financial instability: a spectral systemic risk index | |
| C1003: T. Squartini, I. van Lelyveld, D. Garlaschelli | |
| Early-warning signals of topological collapse in interbank networks |
| Session CS18 | Room: O2 |
| Statistical signal processing in asset management | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Serge Darolles |
Organizer: Serge Darolles |
| C743: M. Mitri, E. Jay, S. Clemencon | |
| Mixture of experts for binary classification: application to the S$\&$P500 index prediction | |
| C851: R. Molinero | |
| Practical uses of signal processing in asset management | |
| C888: N. Baltas | |
| Trend-following meets Risk-Parity | |
| C1196: M. Rosenbaum, W. Huang, C. Lehalle | |
| Simulating and analyzing order book data: the queue-reactive model | |
| C1294: L. Liu | |
| On the joint dynamics of equity and bond - a no arbitrage dynamic asset pricing approach |
| Session CS21 | Room: A2 |
| Behavioural and emotional finance: Theory and evidence | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Richard John Fairchild |
Organizer: Richard John Fairchild |
| C224: J. Ashton, A. Gregoriou | |
| Determining the customer costs of using personal current accounts | |
| C578: X. Chen, R. Fairchild, G. Muradoglu | |
| Between fear and hope: optimal portfolio choice in a model combining expected utility and safety first preferences | |
| C762: S. Schraeder | |
| Information processing and non-Bayesian learning in financial markets | |
| C885: E. Cervellati, P. Pattitoni, M. Savioli | |
| Entrepreneurial under-diversification: over optimism and overconfidence | |
| C1308: B. Kluger, P. Chelley-Steeley, J. Steeley | |
| Victory desease, earnings and hindsight bias: An experimental study |
| Session CS47 | Room: P2 |
| Cyclical composit indicators | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C090: S. Pollock | |
| Econometric filters | |
| C334: M. Ghil, A. Groth, L. Sella, G. Vivaldo | |
| Advanced spectral methods for macroeconomic indicators | |
| C354: S. Schreiber | |
| Anticipating business-cycle turning points in real time using density forecasts from a VAR | |
| C435: D. Leiva-Leon, P. Guerin | |
| Using state-level data as predictors of National recessions: a model-averaging approach | |
| C512: G. Mazzi, M. Billio, J. Anas, L. Ferrara | |
| A unified framework for euro area and member countries real-time business cycle analysis |
| Session CS55 | Room: G2 |
| Volatility models and their applications | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| C251: N. Kunitomo, H. Misaki | |
| The SIML estimation of integrated covariances and hedging coefficients under micro-market noise and random sampling | |
| C405: T. Isogai | |
| Network clustering of Japanese stock returns with multivariate GARCH model | |
| C406: K. Sugiura, T. Nakatsuma, K. McAlinn | |
| Predicting executions in high-frequency trading | |
| C623: I. Ishida, V. Kvedaras | |
| Moment-based estimation of stochastic volatility models in the presence of intraday seasonality |
| Session CS57 | Room: C2 |
| Risk measures | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Katerina Panopoulou |
Organizer: Katerina Panopoulou |
| C178: E. Mitrodima, J. Griffin, J. Oberoi | |
| Decomposition of the asset return distribution by joint autoregressive quantile models | |
| C393: J. Belles-Sampera, M. Guillen, M. Santolino | |
| A role for GlueVaR risk measures under the Solvency II framework | |
| C402: C. Argyropoulos, E. Panopoulou | |
| Do realized measures improve VaR and ES forecasts | |
| C592: E. Dumitrescu, J. Balter, P. Hansen | |
| Exchange rate volatility forecasting: a multivariate realized-GARCH approach | |
| C614: D. Banulescu, P. Hansen, Z. Huang, M. Matei | |
| Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approach |
| Session CS60 | Room: D2 |
| Contributions on time series econometrics I | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Manabu Asai |
Organizer: CFE 2014 |
| C1189: J. Lohmeyer, J. Urbain, F. Palm | |
| Are you sure that you took the right model? Estimating impulse responses under model uncertainty | |
| C1048: J. Wang, C. Diks | |
| Can a stochastic cusp catastrophe model explain housing market crashes? | |
| C1066: P. Grabarczyk, M. Wagner | |
| Integrated modified OLS estimation andfixed-b inference for one-nonlinear-variable cointegrating polynomial regressions | |
| C1173: G. Dissanayake, S. Peiris, T. Proietti | |
| State space modeling of seasonal Gegenbauer processes with long memory | |
| C362: J. Lee | |
| Testing for neglected nonlinearity in economic time series: radial basis function network model |
| Session CS100 | Room: M2 |
| Empirical applications in macroeconomics and time series analysis | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Barbara Rossi |
Organizer: Barbara Rossi |
| C070: M. Nedeljkovic | |
| Emerging markets diversification benefits and FX risks in a globalizing world | |
| C073: D. Kaufmann, R. Scheufele | |
| Measuring output gaps in real time by use of business tendency surveys | |
| C102: M. Owyang, T. Berge | |
| Forecasting FOMC target changes | |
| C123: R. Lieli, Y. Hsu | |
| Inference for ROC curves based on estimated predictive indices: A note on testing AUC = 0.5 | |
| C121: T. Sekhposyan, B. Rossi | |
| Macroeconomic uncertainty indices |
| Session CS46 | Room: I2 |
| Macro and forecasting | Saturday 06.12.2014 16:45 - 18:50 |
| Chair: Fotis Papailias |
Organizer: Fotis Papailias |
| C1145: M. Martins, L. Aguiar-Conraria, S. Maria Joana | |
| The time-frequency foundations of the Taylor rule | |
| C1100: D. Thomakos | |
| Smoothing macroeconomic and financial time series | |
| C1194: F. Papailias, G. Kapetanios, M. Marcellino | |
| Improved financial conditions indexes | |
| C1269: M. Karanasos, A. Paraskevopoulos, S. Dafnos | |
| The fundamental properties of time varying AR models with non stochastic coefficients | |
| C1008: K. Petrova, G. Kapetanios, L. Giraitis, A. Galvao | |
| Local Bayesian estimation and forecasting with time-varying parameter DSGE models |
| Parallel session I: | Sunday 07.12.2014 | 08:45 - 10:25 |
| Session CS11 | Room: A2 |
| Bayesian nonlinear econometrics | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Roberto Casarin |
Organizer: Roberto Casarin |
| C313: F. Ravazzolo, F. Krueger, T. Clark | |
| Combining survey and Bayesian VAR forecasts of US macro variables: Evidence from entropic tilting | |
| C728: A. Pierini, R. Casarin, A. Naccarato | |
| Multiple bi-dimensional SV models for volatility matrix estimation. The case of 5D-italian banks' return | |
| C729: N. Basturk, L. Hoogerheide, P. de Knijf, H. van Dijk | |
| A Bayesian test for multimodality with applications to DNA and economic data | |
| C772: A. Mira, E. Ghysels, R. Solgi | |
| A general Bayesian MIDAS regression approach with application to data frequency selection |
| Session CS14 | Room: N2 |
| Recent developments in volatility modelling | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Christian Conrad |
Organizer: Christian Conrad |
| C426: H. Herwartz, B. Beckers, M. Seidel | |
| Risk forecasting in (T)GARCH models with uncorrelated dependent innovations | |
| C531: M. Schienle, C. Conrad | |
| Misspecification testing in GARCH-MIDAS models | |
| C1291: M. Bazzi, F. Blasques, A. Lucas, S. Koopman | |
| Transformed polynomials for modeling conditional volatility | |
| C872: S. Yfanti, M. Karanasos | |
| Modelling returns and volatilities during financial crises: a time varying coefficient approach |
| Session CS20 | Room: H2 |
| Banks and the macroeconomy: Empirical models for stress testing | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Rochelle M. Edge |
Organizer: Rochelle M. Edge |
| C369: R. Edge, L. Guerrieri | |
| Individual-bank income and expense forecasts - How multi-response PLS methods compare | |
| C603: J. Chiu | |
| Vector autoregressive models for scenario design: a horse-race comparison | |
| C620: R. Bidder, R. Giacomini | |
| Stress testing and interest rate risk | |
| C801: J. Henry, B. Marta, D. Giannone, M. Lenza, M. Modugno | |
| Stress-test scenarios for the euro area: a large Bayesian VAR methodology |
| Session CS30 | Room: I2 |
| Mixture models for financial and macroeconomic time series | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Markus Haas |
Organizer: Markus Haas |
| C491: T. Chuffart, E. Flachaire, A. Peguin-Feissolle | |
| Testing for misspecification in GARCH-type models | |
| C573: M. Gambacciani, M. Paolella | |
| Asset returns density forecasting with MCD algorithms | |
| C276: M. Haas | |
| Modeling stock market returns with mixtures of skew-normal distributions |
| Session CS48 | Room: P2 |
| Nowcasting and forecasting macro-economic trends | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C163: D. de Antonio Liedo, J. Palate | |
| A nowcasting library in JDemetra+ for reading and visualizing news | |
| C179: E. Knotek, S. Zaman | |
| Nowcasting U.S. headline and core inflation | |
| C581: I. Pirschel, M. Wolters | |
| Forecasting German key macroeconomic variables using large dataset methods | |
| C686: A. Paccagnini, R. Cardani, S. Villa | |
| Forecasting in a DSGE model with banking intermediation: evidence from the US |
| Session CS73 | Room: G2 |
| Regime switching, filtering, and portfolio optimization | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Joern Sass |
Organizer: Joern Sass |
| C884: J. Sass, V. Krishnamurthy, E. Leoff | |
| Regime switching in continuous time and filter-based volatility | |
| C875: J. Reynolds | |
| Commonality in liquidity dimensions: a generalized dynamic factor model approach | |
| C879: S. Desmettre, J. de Kock, F. Seifried | |
| Generalized Pareto processes and liquidity | |
| C894: R. Wunderlich | |
| Expert opinions and optimal portfolio strategies under partial information |
| Session CS76 | Room: M2 |
| Topics in financial econometrics | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Leopold Soegner |
Organizer: Leopold Soegner |
| C247: K. Poetzelberger | |
| Adaptive control variables for estimating functionals of diffusion processes | |
| C255: L. Vana, B. Gruen, P. Hofmarcher, K. Hornik | |
| A predictive Bayesian model averaging approach on firm default probabilities | |
| C811: F. Macaluso, A. Mira, P. Schneider | |
| How to sample from a distribution when only the characteristic function is known | |
| C857: J. Pelenis | |
| Evaluation of expected shortfall forecasts |
| Session CS82 | Room: B2 |
| Bootstrapping time series and panel data | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Jean-Pierre Urbain |
Organizer: Jean-Pierre Urbain |
| C915: A. Cornea-Madeira, O. Boldea, A. Hall | |
| Bootstrap-based tests for multiple structural changes in linear models with endogenous regressors | |
| C1082: S. Fachin, F. Di Iorio | |
| Estimating unobservable common trends in small samples using panel cointegration methods | |
| C1121: M. Friedrich, S. Smeekes | |
| Bootstrap simultaneous confidence bands for time-varying coefficient models | |
| C1181: C. Jentsch, E. Paparoditis, D. Politis | |
| Block bootstrap theory for multivariate integrated and cointegrated processes |
| Session CS96 | Room: E2 |
| Econometric models for mixed frequency data | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Joerg Breitung |
Organizer: Eric Ghysels |
| C029: T. Goetz, A. Hecq | |
| Large Bayesian mixed-frequency vector autoregressions | |
| C031: J. Breitung, N. Soldatenkova | |
| Estimating vector autoregressions with mixed frequency data | |
| C034: C. Schumacher | |
| MIDAS regressions with time-varying parameters | |
| C040: K. Aastveit, C. Foroni, F. Ravazzolo | |
| Density forecasts with MIDAS models |
| Session CP01 | Room: First floor Hall |
| Poster session | Sunday 07.12.2014 08:45 - 10:25 |
| Chair: Francisco de Asis Torres-Ruiz |
Organizer: CFE 2014 |
| C327: P. Chirico | |
| State space models for hourly electricity prices | |
| C391: A. Czapkiewicz, P. Jamer | |
| The study of multi-regimes switching copula models | |
| C1106: F. Cech, J. Barunik | |
| On the modelling and forecasting multivariate realized volatility: generalized heterogeneousautoregressive (GHAR) model | |
| C1056: J. Rodriguez-Avi, M. Olmo-Jimenez, A. Conde-Sanchez, A. Saez-Castillo, A. Martinez-Rodriguez | |
| Using regression models to classify national football teams according to the number of goals | |
| C1176: Y. Kawasaki, Y. Aoki | |
| Change in trading rules and its impact on the distributional properties of commodity futures | |
| C1193: H. Nishino | |
| GARCH model for income time series data with income inequality | |
| C1261: A. Wolny-Dominiak, T. Zadlo, W. Gamrot | |
| Quantile absolute prediction error measure in claim frequency mixed model |
| Parallel session J: | Sunday 07.12.2014 | 10:55 - 13:00 |
| Session CSI03 - Invited | Room: Sala Convegni |
| VAR modeling, cointegration and uncertainty | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Peter Winker |
Organizer: Peter Winker |
| C126: H. Luetkepohl, A. Netsunajev | |
| Structural vector autoregressions with smooth transition in variances - the interaction between U.S. monetary policy and the stock market | |
| C561: P. Winker, A. Staszewska-Bystrova, H. Lutkepohl | |
| Confidence bands for impulse responses: Bonferroni versus Wald | |
| C790: M. Wagner | |
| Some extensions of regression based cointegration analysis |
| Session CS54 | Room: N2 |
| Contributions on volatility models and estimation | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Helmut Herwartz |
Organizer: CFE 2014 |
| C688: S. Khovansky, O. Zhylyevskyy | |
| On the link between new stock listings and delistings and average cross-sectional idiosyncratic stock volatility | |
| C964: C. Kesamoon, J. del Castillo | |
| Volatility forecasting with exogenous variables and latent information | |
| C1059: A. Scognamillo, A. Amendola, V. Candila | |
| Does U.S. monetary policy affect crude oil future price volatility? An empirical investigation | |
| C898: A. Palandri | |
| Apophenia: Data under-mining the volatility leverage-effect | |
| C998: Y. Koike | |
| Quadratic variation estimation of an irregularly observed semimartingale with jumps and noise |
| Session CS12 | Room: P2 |
| Modelling uncertainty in macroeconomics | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Wojtek Charemza |
Organizer: Wojtek Charemza |
| C173: P. Siklos | |
| What's the outlook: Combining narrative, numerical forecasts, and policy uncertainty | |
| C191: A. Cesa-Bianchi, H. Pesaran, A. Rebucci | |
| Uncertainty and economic activity: A global perspective | |
| C220: H. Kowalczyk, E. Stanislawska | |
| Fan charts vs. survey forecasts. How similar are they in Poland? | |
| C237: X. Sheng, E. Ozturk | |
| Measuring global and country-specific macroeconomic uncertainty | |
| C492: S. Makarova, W. Charemza, C. Diaz | |
| Ex-post inflation forecast uncertainty and skew normal distribution: `Back from the future' approach |
| Session CS23 | Room: Q2 |
| A novel perspective in predictive modelling for risk analysis | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Chiara Gigliarano |
Organizer: Silvia Figini |
| C171: P. Zuccolotto, M. Manisera | |
| Nonlinear CUB models | |
| C734: J. Ansell | |
| Non-parametric and functional approaches to analysing SME performance | |
| C799: G. Andreeva, A. Matuszyk | |
| Gender differences in consumer credit risk | |
| C127: J. Witzany, S. Privara, M. Kolman | |
| Recovery rates in consumer lending: Empirical evidence and the model comparison | |
| C1237: J. Crook, M. Leow | |
| Parameterised intensity models with macroeconomic variables for credit cards |
| Session CS26 | Room: Q2 |
| Statistical Inference on risk measures | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Ghislaine Gayraud |
Organizer: Ghislaine Gayraud |
| C195: S. Bouzebda | |
| On the strong approximation of bootstrapped empirical copula processes with applications | |
| C376: G. Stupfler, L. Gardes | |
| Estimating extreme quantiles under random truncation | |
| C414: G. Gayraud, M. Bernardi, L. Petrella | |
| Posterior rates of Bayesian VaR and CoVaR | |
| C465: P. Regnault, G. D'Amico | |
| Confidence intervals for dynamic Theil entropy of economic systems modeled by Birth-Death processes | |
| C488: M. Chaouch, S. Khardani | |
| Randomly censored quantile regression estimation using functional stationary ergodic data |
| Session CS27 | Room: B2 |
| Inference for financial times series | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Giuseppe Storti |
Organizer: Giuseppe Storti |
| C457: R. Weigand | |
| State space modeling of fractional cointegration subspaces | |
| C819: G. Calzolari, R. Halbleib | |
| Estimating multivariate symmetric stable distributions with independent components by means of indirect inference | |
| C830: G. Storti, A. Preminger | |
| Least squares estimation for GARCH (1,1) model with heavy tailed errors | |
| C663: A. Preminger, C. Hafner | |
| On asymptotic theory for ARCH(infinite) models | |
| C1154: G. Cesale, G. Storti | |
| A flexible approach to volatility prediction in high-dimensional GARCH models |
| Session CS63 | Room: E2 |
| Forecasting | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Pilar Poncela |
Organizer: Pilar Poncela |
| C268: A. Espasa, G. Carlomagno | |
| The pairwise approach to model and forecast a large set of disaggregates with common trends | |
| C746: E. Senra, P. Poncela | |
| Medium term inflation forecasts | |
| C789: L. Sierra, P. Poncela, E. Senra | |
| The predictive content of co-movement in non-energy commodity price changes | |
| C896: P. Poncela, A. Fuertes | |
| Forecasting volatility measures through dynamic factor models of realized measures |
| Session CS74 | Room: G2 |
| Regime change modeling in economics and finance II | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C919: B. Kay, T. Daula | |
| International employment and the business cycle: new stylized facts with an application to the great moderation | |
| C925: W. Maldonado, O. Tourinho, J. de Abreu | |
| Cointegrated periodically collapsing bubbles in the exchange rate of BRICS countries | |
| C951: J. Kukacka, J. Barunik | |
| Non-parametric simulated ML estimation of the heterogeneous agent models | |
| C1023: E. Mayer, S. Debes, J. Gareis, S. Rueth | |
| Towards a consumer sentiment channel of monetary policy | |
| C1069: E. Ernst, F. Saliba | |
| Are house price dynamics responsible for unemployment persistence? |
| Session CS92 | Room: O2 |
| Real-time modelling with data subject to different complications | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Peter Zadrozny |
Organizer: Peter Zadrozny |
| C365: P. Zadrozny, B. Chen | |
| Weighted-covariance factor decomposition of VARMA models for forecasting | |
| C378: K. Wohlrabe, G. Strasser | |
| Micro information dynamics: Decomposing the forecasting power of aggregate indicators | |
| C639: K. Drechsel, S. Giesen, A. Lindner | |
| Outperforming IMF forecasts by the use of leading indicators | |
| C701: M. Banbura, D. Giannone, M. Lenza | |
| Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections | |
| C814: H. Mikosch, Y. Zhang | |
| Forecasting Chinese GDP growth with mixed frequency data: which indicators to look at? |
| Session CS94 | Room: I2 |
| Macroeconometrics | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Herman van Dijk |
Organizer: Domenico Giannone |
| C071: R. Ouysse | |
| Forecasting in a data rich environment: Bayesian model averaging and principal components regression | |
| C470: G. Callegari, G. Ricco, J. Cimadomo | |
| Signals from the Government: policy uncertainty and the transmission of fiscal shocks | |
| C675: H. van Dijk, R. Casarin, S. Grassi, F. Ravazzolo | |
| Dynamic predictive density combinations for large datasets | |
| C890: M. Jarocinski, M. Lenza | |
| Output gap and inflation forecasts in a Bayesian dynamic factor model of the euro area | |
| C1093: S. Fahr, C. Altavilla | |
| Regime switching money market dynamics and its macroeconomic implications |
| Session CS97 | Room: C2 |
| Risk modeling and applications | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Mario Maggi |
Organizer: Mario Maggi |
| C399: L. Grossi, F. Nan | |
| Robust smooth transition threshold autoregressive models for electricity prices | |
| C453: M. Bottone, M. Bernardi, L. Petrella | |
| Bayesian robust quantiles for risk management | |
| C754: R. Calabrese, G. Andreeva, J. Ansell | |
| Spatial regression models for UK SMEs | |
| C347: A. Escribano, P. Abad, A. Diaz, M. Robles | |
| Credit rating announcements and bond liquidity | |
| C878: M. Maggi, C. Lucarelli, P. Uberti | |
| Risk measurements in decision making with emotional arousal |
| Session CS98 | Room: A2 |
| Bayesian econometrics in finance | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Davide Pettenuzzo |
Organizer: Davide Pettenuzzo |
| C218: G. Tsiotas | |
| On loss functions in Value-at-Risk estimation | |
| C296: C. Carvalho | |
| On the long run variance of stocks | |
| C433: J. Maheu, X. Jin | |
| Bayesian semiparametric modeling of realized covariance matrices | |
| C767: S. Peluso, A. Mira, P. Muliere | |
| Reinforced urn processes for credit risk models | |
| C310: D. Pettenuzzo, F. Ravazzolo | |
| Optimal portfolio choice under decision-based model combinations |
| Session CS110 | Room: F2 |
| Contributions to applied econometrics II | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Michael Smith |
Organizer: CFE 2014 |
| C1025: M. Scholz, R. Hill | |
| Incorporating geospatial data in house price indexes: a hedonic imputation approach with splines | |
| C1167: M. El-Shagi, P. Amri | |
| Separating the twins | |
| C277: E. Zanetti Chini, B. Annicchiarico, A. Bennato | |
| 150 years of Italian $CO_{2}$ emissions and economic growth | |
| C254: D. Raggi, F. Pancotto, G. Pignataro | |
| Higher order beliefs and the dynamics of exchange rates | |
| C1081: C. Gilbert | |
| The dynamics of the world cocoa price |
| Session CS78 | Room: D2 |
| Contributions on time series econometrics II | Sunday 07.12.2014 10:55 - 13:00 |
| Chair: Dietmar Bauer |
Organizer: CFE 2014 |
| C1204: C. Breto | |
| Semi-parametric particle filters | |
| C1097: M. Akinyemi, G. Boshnakov | |
| Density forecasts and the mixture autoregressive model | |
| C1079: B. Funovits | |
| Implications of stochastic singularity in linear multivariate rational expectations models | |
| C1015: J. Hambuckers, C. Heuchenne | |
| Identifying the best technical trading rules: a .632 bootstrap approach | |
| C996: T. Magdalinos | |
| Conditional heteroskedasticity in stochastic regression |
| Parallel session K: | Sunday 07.12.2014 | 14:45 - 16:25 |
| Session CS05 | Room: Q2 |
| Measuring systemic risk | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Massimiliano Caporin |
Organizer: Monica Billio |
| C418: R. Panzica, M. Billio, M. Caporin, L. Pelizzon | |
| Systemic and systematic risk | |
| C521: B. Schwaab | |
| Modeling financial sector joint tail risk, with an application to the euro area | |
| C559: H. Schmidbauer, A. Roesch | |
| Information flow and entropy in networks of financial markets | |
| C1267: T. Peltonen, F. Betz, N. Hautsch, M. Schienle | |
| Systemic risk spillovers in the European banking and sovereign network |
| Session CS15 | Room: B2 |
| Multivariate modelling of economic and financial time series | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Gianluca Cubadda |
Organizer: Gianluca Cubadda |
| C233: A. Hecq, T. Gotz | |
| Non-causal MIDAS models for nowcasting GDP | |
| C437: T. del Barrio Castro, G. Cubadda, D. Osborn | |
| Cointegration between processes integrated at different frequencies | |
| C552: M. Centoni, G. Bruno, C. Lupi | |
| Forecasting private consumption by consumer surveys and canonical correlations | |
| C658: S. Ahn, H. Hong, S. Cho | |
| Analysis of cointegrated models with measurement errors |
| Session CS19 | Room: H2 |
| Banks, interest rates and profitability after the financial crisis | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Paul Mizen |
Organizer: Paul Mizen |
| C1007: A. Banerjee, P. Mizen, V. Bystrov | |
| A factor model of interest rate pass through for four large Euro area countries | |
| C718: A. Raknerud, B. Vatne | |
| Funding costs, retail rates and the relative demand for bank loans | |
| C1021: B. Hofmann, C. Borio, L. Gambacorta | |
| Bank profitability and monetary policy | |
| C982: P. Mizen, M. Lombardi, A. Illes | |
| Did European banks set interest rates too high after the global financial crisis? |
| Session CS31 | Room: O2 |
| Dynamic conditional score models | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Andrew Harvey |
Organizer: Andrew Harvey |
| C585: A. Harvey, R. Lange | |
| Modeling the interactions between volatility and returns | |
| C710: D. Delle Monache, C. Brownlees, I. Petrella | |
| Shrinkage for large time-varying parameter models: a penalized score driven approach | |
| C954: S. Thiele | |
| High dimensional dependence modelling with heavy tailed, asymmetric factor models | |
| C659: A. Luati | |
| The distribution of the error term in dynamic conditional score models |
| Session CS45 | Room: F2 |
| Dependence modeling and copulas | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Hans Manner |
Organizer: Hans Manner |
| C158: O. Okhrin, A. Ristig, N. Hautsch | |
| Efficient iterative maximum likelihood estimation of high-parameterized time series models | |
| C508: O. Grothe, M. Hofert | |
| Construction and sampling of Archimedean and nested Archimedean Levy copulas | |
| C197: A. Ristig, O. Okhrin, J. Sheen, S. Trueck | |
| Investigating financial contagion with copulae | |
| C238: H. Manner, D. Blatt, B. Candelon | |
| Detecting financial contagion in a multivariate system |
| Session CS67 | Room: P2 |
| Financial and macroeconomic forecasting | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo |
| C357: F. Krueger, S. Lerch, T. Thorarinsdottir, T. Gneiting | |
| Probabilistic forecasting based on MCMC output | |
| C624: R. Casarin, F. Ravazzolo, T. Gneiting | |
| Bayesian nonparametric calibration and combination of predictive distributions | |
| C509: M. De Pooter | |
| Modeling, decomposing, and forecasting interest rate movements in Brazil and Mexico | |
| C683: G. Nicoletti, C. Altavilla, M. Darraq | |
| Credit conditions and external source of financing |
| Session CS77 | Room: N2 |
| Modelling university outcomes through survival analysis | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Mark Steel |
Organizer: Mark Steel |
| C204: C. Vallejos, M. Steel | |
| Bayesian survival modelling of university outcomes | |
| C281: A. Giraldo, S. Meggiolaro, R. Clerici | |
| A multilevel competing risks model for analysis of university students' careers: evidence from Italy | |
| C407: C. Dehon, E. Arias | |
| Predictors of dropout and degree completion in the Belgian French community's higher education system | |
| C822: G. Migali, S. Bradley | |
| The effect of a tuition fee reform on the timing of drop out from Higher Education in the UK |
| Session CS79 | Room: I2 |
| Modelling and computation in macro-econometrics | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Rodney Strachan |
Organizer: Rodney Strachan |
| C026: R. Strachan, E. Eisenstat | |
| Modelling inflation volatility | |
| C774: R. Leon | |
| Efficient Bayesian inference in inverted Wishart stochastic volatility models | |
| C474: J. Chan | |
| The stochastic volatility in mean model with time-varying parameters: an application to inflation modeling | |
| C1148: C. Thamotheram, A. Garratt, L. Thorsrud, S. Vahey | |
| Comparing computational methods for predictive scores |
| Session CS87 | Room: E2 |
| Statistical analysis of financial returns | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Toshi Watanabe |
Organizer: Toshi Watanabe |
| C408: T. Yoshiba | |
| Modeling and estimation of stock returns with skew t-copula | |
| C464: T. Takada | |
| Robust early warning signals of abrupt switches in stock markets | |
| C498: K. Oya, R. Kinoshita | |
| Measurement of causality change between returns of financial assets | |
| C571: N. Wang, C. Huang, Y. Hsu | |
| Open-end fund characteristics and the effects on financial stability by Investors' herding redemption in Taiwan |
| Session CS93 | Room: A2 |
| Time series analysis in economics | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Raffaella Giacomini |
Organizer: Barbara Rossi |
| C035: B. Rossi, T. Sekhposyan | |
| Optimality tests in presence of instabilities | |
| C043: M. Modugno, C. Altavilla, D. Giannone | |
| Bond market and macroeconomic news | |
| C069: M. Lenza, D. Giannone, G. Amisano | |
| Forecasting with large time-varying parameters vars | |
| C078: R. Giacomini, T. Kitagawa | |
| Robust Bayes inference for non-identified SVARs |
| Session CS44 | Room: M2 |
| Contributions in financial econometrics I | Sunday 07.12.2014 14:45 - 16:25 |
| Chair: Henri Nyberg |
Organizer: CFE 2014 |
| C1076: J. Stapf, M. Scharnagl | |
| Inflation, deflation, and uncertainty: what drives euro area option-implied inflation expectations? | |
| C1174: I. Figuerola-Ferretti, T. Tang, I. Paraskevopoulos | |
| Pairs trading and relative liquidity in the European stock market | |
| C105: M. Bonelli, D. Mantilla-Garcia | |
| Predictive systems under economic constraints | |
| C609: M. Anokhina, H. Penikas | |
| Research of the determinants of the systemic importance of global banks |
| Parallel session L: | Sunday 07.12.2014 | 16:55 - 18:35 |
| Session CSI01 - Invited | Room: Sala Convegni |
| Volatility Modelling | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Giuseppe Storti |
Organizer: Giuseppe Storti |
| C504: S. Laurent, K. Boudt, R. Quaedvlieg | |
| Roughing it up some more: Jumps and co-jumps in vast-dimensional price processes | |
| C860: G. Gallo, F. Calvori, F. Cipollini | |
| Modeling eigen-dynamics of realized covariances | |
| C1000: C. Diks, V. Panchenko, O. Sokolinskiy, D. van Dijk | |
| Comparing the accuracy of multivariate density forecasts in selected regions of the copula support |
| Session CS24 | Room: A2 |
| Nonstationary time series and financial bubbles | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Christian Francq |
Organizer: Christian Francq |
| C201: H. Raissi, J. Hirukawa | |
| Investigating long run linear relationships between non constant variances of economic variables | |
| C672: L. Truquet | |
| Statistical inference in semiparametric locally stationary ARCH models | |
| C678: J. Zakoian | |
| Explosive bubble modelling by noncausal process | |
| C1152: R. McCrorie, C. Gilbert, I. Figuerola-Ferretti | |
| Understanding commodity futures prices: fundamentals, financialization and bubble characteristics |
| Session CS28 | Room: M2 |
| Financial econometrics | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Christophe Chorro |
Organizer: Dominique Guegan |
| C320: B. Hassani | |
| Stress testing engineering: the real risk measurement? | |
| C439: C. Chorro, F. Ielpo, T. Nguyen thi | |
| From historical to risk neutral volatility: a GARCH approach | |
| C546: H. Gatfaoui, P. de Peretti, L. Frattarolo | |
| Measuring the time-varying dependence across financial markets: a contamination analysis of equity and sovereign CDS markets | |
| C698: J. Ortega, A. Badescu, M. Couch | |
| Lattice based techniques for GARCH option hedging |
| Session CS37 | Room: I2 |
| Common features in finance and macroeconomics | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Joao Victor Issler |
Organizer: Joao Victor Issler |
| C151: J. Pitarakis, J. Gonzalo | |
| Inferring the predictability induced by a persistent regressor in a predictive threshold model | |
| C567: A. Galvao, M. Clements | |
| Measuring macroeconomic uncertainty: output growth and inflation | |
| C606: O. Guillen, J. Issler, A. Arinos de Mello Franco-Neto | |
| Do monetary and productivity shocks explain aggregate fluctuations? | |
| C720: J. Issler, W. Gaglianone | |
| Microfounded forecasting |
| Session CS49 | Room: P2 |
| Development on season adjustment and seasonal modelling | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C196: S. Grudkowska | |
| An application of ramp effect to modelling of a crisis | |
| C328: D. Ladiray, F. Guggemos | |
| Calendar effects in time series analysis | |
| C545: E. Infante, G. Mazzi | |
| Seasonal adjustment of short time-series: a comparative study | |
| C668: B. Abeln, J. Jacobs | |
| Seasonal adjustment in real-time: a comparison of X-13ARIMA-SEATS and CAMPLET |
| Session CS56 | Room: D2 |
| Modeling multivariate financial time series | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Edoardo Otranto |
Organizer: Edoardo Otranto |
| C223: D. Frison, C. Brownlees | |
| How interdependent are systemic risk indicators? A network analysis | |
| C525: C. Amado, A. Silvennoinen, T. Terasvirta | |
| Conditional correlation models with nonstationary variances and correlations | |
| C647: F. Corsi, F. Lillo, D. Pirino | |
| Contagion through common exposure and systemic risk | |
| C085: C. Hafner, O. Linton | |
| A new approach to high-dimensional volatility modelling |
| Session CS84 | Room: Q2 |
| Tail risks | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Marco Geraci |
Organizer: David Veredas |
| C064: M. Geraci, D. Veredas, T. Garbaravicius | |
| Short selling in the tails | |
| C068: D. Massacci | |
| Tail risk dynamics in stock returns: Observation-driven approach and links to the business cycle | |
| C129: F. Nucera, B. Schwaab, A. Lucas, S. Koopman | |
| Ranking the stars | |
| C260: X. Zhang, D. Veredas | |
| Score driven time varying tail risk |
| Session CS85 | Room: E2 |
| Funds performance measurement | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Spyridon Vrontos |
Organizer: Spyridon Vrontos |
| C299: E. Panopoulou, S. Vrontos | |
| Density forecasting of hedge fund returns | |
| C309: T. Pantelidis, E. Panopoulou, S. Vrontos | |
| Hedge fund predictability and optimal asset allocation | |
| C629: M. Wagner, D. Margaritis | |
| Late trading in mutual fund shares - the sequel | |
| C690: S. Vrontos | |
| Performance evaluation of funds |
| Session CS89 | Room: B2 |
| Analysing complex time series | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Matteo Barigozzi |
Organizer: Qiwei Yao |
| C022: M. Barigozzi, M. Lippi, M. Luciani | |
| Dynamic factor models, cointegration, and error correction mechanisms | |
| C122: D. Li, R. Li | |
| Local composite quantile regression smoothing for Harris recurrent Markov processes | |
| C576: M. Parrella, F. Giordano, M. La Rocca | |
| Classifying complex time series databases by periodic components | |
| C826: Z. Lu | |
| A review on nonlinear regression analysis of irregularly located spatial time-series data |
| Session CS91 | Room: N2 |
| Estimation of macroeconomic models with time varying volatility | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Marco Del Negro |
Organizer: Serena Ng |
| C088: W. McCausland | |
| Large dynamic panels with stochastic volatility | |
| C101: M. Del Negro, D. Greenwald | |
| Large VARs with time varying volatility | |
| C107: C. Montes-Galdon | |
| Volatility shocks and business cycles | |
| C300: P. Guerron | |
| Estimating dynamic equilibrium models with stochastic volatility |
| Session CS99 | Room: O2 |
| Statistical methods for modelling spatio-temporal random fields | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Simone Padoan |
Organizer: Simone Padoan |
| C360: P. Naveau, G. Marcon, S. Padoan, P. Muliere | |
| Nonparametric simulation of the multivariate max-stable random vectors | |
| C479: Y. Sun, M. Fuentes | |
| Fused Lasso for spatial and temporal quantile function estimation | |
| C644: R. Huser, M. Genton | |
| Non-stationary dependence structures for spatial extremes | |
| C695: M. Genton, S. Castruccio, R. Huser | |
| High-order composite likelihood inference for multivariate or spatial extremes |
| Session CS107 | Room: F2 |
| Energy economics | Sunday 07.12.2014 16:55 - 18:35 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo |
| C1041: V. Larsen, H. Bjornland | |
| Oil and the great moderation in a regime switching framework | |
| C1067: L. Thorsrud, H. Bjornland | |
| Commodity prices, fiscal policy design and economic activity | |
| C1092: M. Lorusso, C. Nolan | |
| Oil price shocks and the UK economy, 1990-2005 | |
| C1201: M. Seneca, A. Ferrero | |
| Monetary policy in a simple new Keynesian model of a small open oil-exporting economy |
| Parallel session N: | Monday 08.12.2014 | 08:45 - 10:05 |
| Session CS09 | Room: N2 |
| Volatility measuring, modeling and applications | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Massimiliano Caporin |
Organizer: Massimiliano Caporin |
| C450: M. Billio, M. Caporin, L. Frattarolo, L. Pelizzon | |
| Network banks exposures and variance spillovers in the Euro area | |
| C511: M. Cavicchioli, M. Billio | |
| Markov switching models for volatility: filtering, approximation and duality | |
| C077: D. Erdemlioglu, N. Gradojevic | |
| Heterogeneous investment horizons and jump risk in financial markets |
| Session CS29 | Room: O2 |
| Solution and estimation of non-linear general equilibrium models | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Luca Guerrieri |
Organizer: Luca Guerrieri |
| C108: M. Jahan-Parvar, A. Gallant, H. Liu | |
| Measuring ambiguity aversion | |
| C497: N. Traum, H. Bi | |
| Sovereign risk and spillovers: Untangling the web in Europe | |
| C924: L. Guerrieri | |
| Collateral constraints and macroeconomic asymmetries |
| Session CS41 | Room: E2 |
| Applied economic issues | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Lynda Khalaf |
Organizer: Maral Kichian |
| C394: F. Rumler, A. Reiff | |
| Within- and cross-country price dispersion in the Euro area | |
| C1264: L. Khalaf, J. Bernard, B. Chu, M. Voia | |
| Non-standard confidence limits for ratios and tipping points, with applications to dynamic regressions and panel data | |
| C1305: D. Koursaros | |
| Banks, lending and the transmission of monetary shocks |
| Session CS69 | Room: B2 |
| Risk premia time series | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Jeroen V.K Rombouts |
Organizer: Jeroen V.K Rombouts |
| C574: F. Violante, J. Rombouts, L. Stentoft | |
| On the estimation of variance risk premia | |
| C833: C. Dorion, H. Bhamra, A. Jeanneret | |
| The dynamics of the equity risk premium | |
| C1222: J. Rombouts | |
| Sparse change-point model |
| Session CS75 | Room: C2 |
| Quantitative risk management | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Mike K.P. So |
Organizer: Mike K.P. So |
| C054: M. Asai, M. McAleer | |
| Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance | |
| C517: J. Chen, M. Kashiwagi | |
| The Japanese Taylor rule estimated using quantile regressions | |
| C804: K. Chan, M. So | |
| Bayesian analysis of max-stable models via hybrid sampling methods |
| Session CS102 | Room: M2 |
| Contributions in financial econometrics II | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Marco Lippi |
Organizer: CFE 2014 |
| C261: Y. Liu, P. Boswijk | |
| Correlation aggregation in high frequency financial data | |
| C1153: C. Roth, F. Audrino, L. Camponovo | |
| A conservative test for the lag structure of assets’ realized volatility dynamics | |
| C1180: G. Arbia, M. Di Marcantonio | |
| Forecasting interest rates using geostatistical techniques | |
| C1191: V. Gunnella | |
| The expectation hypothesis of the repo rates: new evidence from multiple hypotheses and heteroskedasticity control |
| Session CS104 | Room: A2 |
| Contributions to Bayesian econometrics I | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Roberto Leon |
Organizer: CFE 2014 |
| C1279: R. Yatigammana, R. Gerlach | |
| Modelling conditional duration via flexible error distributions | |
| C1063: P. Reusens, C. Croux | |
| Detecting time variation in the `price puzzle': an improved prior choice for the time varying parameter VAR model | |
| C227: D. Ahelegbey, M. Billio, R. Casarin | |
| Sparse high-dimension multivariate autoregressive models | |
| C081: D. Nur, G. Livingston Jr, I. Hudson | |
| Fully Bayesian inference for smooth threshold autoregressive (STAR)(k)-GARCH(s,q) models |
| Session CS106 | Room: F2 |
| Computational econometrics I | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Christopher M. Otrok |
Organizer: CFE 2014 |
| C1202: S. Hadjiantoni, E. Kontoghiorghes | |
| Estimating the time-varying parameters model: an alternative approach | |
| C1212: M. Smid | |
| A dynamic model of limit order market with possibly rational traders | |
| C1282: F. Vanni, G. Bottazzi, U. Gragnolati | |
| A numerical estimation method for discrete choice models with non-linear externalities | |
| C1230: L. Grigoryeva, L. Bauwens, J. Ortega | |
| Reduction and composite likelihood estimation of non-scalar multivariate volatility models |
| Session CS65 | Room: G2 |
| Regime change modeling in economics and finance III | Monday 08.12.2014 08:45 - 10:05 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C929: A. Tarassow | |
| Financial investment constraints. A panel threshold application to German firm level data | |
| C948: J. Kotlowski | |
| Do central bank forecasts matter for professional forecasters? | |
| C949: A. Halka, G. Szafranski | |
| What common factors are driving inflation in CEE countries? | |
| C917: F. Karame | |
| A likelihood-based approach to estimate Markov-switching stochastic volatility models |
| Parallel session P: | Monday 08.12.2014 | 10:35 - 12:15 |
| Session CS112 | Room: E2 |
| Financial applications I | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Demetris Koursaros |
Organizer: CFE 2014 |
| C256: Q. Gan | |
| Does the probability of informed trading model fit empirical data? | |
| C587: H. Basse Mama | |
| Dynamics of firm learning from stock prices: Evidence from Europe | |
| C984: L. Sun, Y. Huang | |
| Measuring the instability of China's financial system | |
| C1188: Y. Ota | |
| On method finding arbitrage opportunities from different markets | |
| C868: S. Agarwal | |
| Investor's demographics and portfolio objectives: an empirical study using factor analysis |
| Session CS95 | Room: M2 |
| Contributions on panel data | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Martin Wagner |
Organizer: CFE 2014 |
| C1068: Y. Karavias, E. Tzavalis | |
| Local power of panel unit root tests allowing for structural breaks | |
| C1115: P. Keblowski | |
| Dimensionality and long-run homogeneity effects in panel vector error correction model | |
| C1235: S. Papadopoulos | |
| A formula for predicting loan loss reserves under adverse GDP scenarios for EU15 banks | |
| C1251: S. Reese, J. Westerlund, P. Narayan | |
| A factor analytical approach to price discovery | |
| C215: R. van den Akker, I. Becheri | |
| Asymptotically UMP tests for unit roots in cross-sectionally dependent panels |
| Session CS101 | Room: B2 |
| Contributions on time series econometrics III | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Sung Keuk Ahn |
Organizer: CFE 2014 |
| C046: M. Al Sadoon | |
| A general theory of rank testing | |
| C041: A. Dechert | |
| Fractional cointegration analysis of industrial metal prices | |
| C1120: F. Severino, F. Ortu, A. Tamoni, C. Tebaldi | |
| A persistence-based Wold-type decomposition for stationary time series | |
| C1142: J. Afonso-Rodriguez | |
| A CUSUM of squares test for cointegration based on OLS residuals with a model free limiting null distribution | |
| C1166: D. Rosadi, S. Peiris | |
| Second-order least-squares estimation for regression models with ARMA errors: simulation results |
| Session CS04 | Room: N2 |
| Contributions on volatility and correlation modelling | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Manfred Gilli |
Organizer: CFE 2014 |
| C902: Y. Sun, J. Loveland, I. Blackhurst | |
| Conditional heteroskedasticity of return range processes | |
| C1013: M. Grishko, A. Dyusembaev, P. Andras | |
| Securities portfolio risk estimation and forecasting by the use of Bayesian self-organizing maps | |
| C1122: V. Skintzi, C. Markopoulou, A. Refenes | |
| Realized hedge ratio: predictability and hedging performance | |
| C1164: L. Vacha, J. Barunik | |
| Realized wavelet-based estimation of integrated covariance and co-jumps in the presence of noise | |
| C1187: G. Figa-Talamanca | |
| A statistical test for the Heston model |
| Session CS66 | Room: H2 |
| Contributions on banking and financial markets | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Jozef Barunik |
Organizer: CFE 2014 |
| C106: M. Grothe, S. Autrup | |
| Economic surprises and inflation expectations | |
| C749: F. Carvalho, M. Castro, S. Costa | |
| Macroprudential policy transmission in a small open economy with traditional and matter-of-fact financial frictions | |
| C1049: G. Livan, M. Bardoscia, M. Marsili, T. Aste | |
| Pricing in a complex financial market: instability from local measures and model uncertainty | |
| C1157: T. Ochiai, J. Nacher | |
| Anomalous price dynamics at resistance line in stock and forex markets | |
| C1221: T. Krehlik, J. Barunik | |
| Measuring long- and short-run connectedness of financial markets |
| Session CS40 | Room: A2 |
| Contributions to forecasting | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Alessandra Amendola |
Organizer: CFE 2014 |
| C170: A. Naghi | |
| A forecast rationality test that allows for loss function asymmetries | |
| C970: D. Buncic, C. Moretto | |
| Forecasting copper prices with dynamic averaging and selection models | |
| C997: L. Pauwels, F. Chan | |
| Why do simple average forecast combinations perform so well? | |
| C1252: T. Murata, N. Du | |
| Income replacement ratio for various households in national pension program in Japan | |
| C1245: C. Fajardo Toro, J. Alonso Cifuentes | |
| Forecasting Colombian inflation rate: estimation using statistical and artificial intelligence approaches |
| Session CS43 | Room: O2 |
| Contributions on quantile regression, non/semi-parametric methods | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Isabel Casas |
Organizer: CFE 2014 |
| C160: Y. Tian | |
| Exploring investors' expectation through quantile regression methods | |
| C1020: K. Avdulaj, J. Barunik | |
| Semiparametric nonlinear quantile model for financial returns | |
| C250: X. Xiao, C. Zhou | |
| Option implied risk measures: a generalized empirical likelihood approach | |
| C589: A. Dumitru | |
| A nonparametric viewpoint on time-indexed point processes. Testing for stationarity | |
| C1095: J. Schnurbus, H. Haupt | |
| Nonparametric estimation and forecasting of time series with deterministic trend and season and traffic fatalities in Germany |
| Session CS39 | Room: F2 |
| Contributions to dependence modeling and copulas | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Ivan Kojadinovic |
Organizer: CFE 2014 |
| C1042: M. Kurz, F. Spanhel | |
| Testing the simplifying assumption in vine copulas | |
| C1184: M. Ames, G. Peters, G. Bagnarosa | |
| Extreme dependence in commodity trading strategies | |
| C1253: J. Fjodorovs, A. Matvejevs | |
| Modeling VIX index based on semi parametric Markov models with Frank copula | |
| C093: R. Latocha | |
| The GARCH-copula model as a hedge ratio of corporate bonds portfolio | |
| C1199: G. Rivieccio, G. De Luca | |
| A copula-VAR approach for the analysis of serial dependence in stock returns |
| Session CS109 | Room: P2 |
| Contributions to the macroeconomy and asset prices | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Baoline Chen |
Organizer: CFE 2014 |
| C657: L. Tiozzo Pezzoli, A. Siegel, F. Pegoraro | |
| International yield curves and principal components selection techniques: an empirical assessment | |
| C808: M. Agarwal | |
| Earnings vs Cash flows: the valuation perspective | |
| C305: Y. Okhrin | |
| Empirical similarity and Taylor rule: case-based decision making in the Federal Reserve Bank | |
| C1039: B. Li, Q. Liu | |
| Identifying monetary policy behavior in China: a Bayesian DSGE approach | |
| C1239: K. Filipova | |
| Valuing macroeconomic uncertainty in bond risk premia |
| Session CS81 | Room: Q2 |
| Contributions to quantitative risk management | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Marco Bee |
Organizer: CFE 2014 |
| C942: R. Belhachemi, P. Rostan | |
| Option pricing using the continuous hidden threshold mixed skew-symmetric distribution | |
| C1182: H. Tsukahara | |
| On backtesting risk measurement models | |
| C1107: M. Bee | |
| Density approximations and VaR computation for compound Poisson-lognormal distributions | |
| C974: P. Meier, A. Ivanovas | |
| Estimating risk-neutral density tails: a comparison | |
| C1011: P. Pei | |
| Backtesting portfolio Value-at-Risk with estimated portfolio weights |
| Session CS36 | Room: I2 |
| Contributions to macro and forecasting | Monday 08.12.2014 10:35 - 12:15 |
| Chair: Anindya Banerjee |
Organizer: CFE 2014 |
| C980: T. Weigt | |
| Reduction of forecast errors | |
| C1047: B. Siliverstovs | |
| Short-term forecasting with mixed-frequency data: a MIDASSO approach | |
| C1165: E. Granziera, T. Sekhposyan | |
| The conditional predictive ability of economic variables | |
| C094: A. Habibnia | |
| Forecasting using many predictors with neural network factor models | |
| C771: H. Lee, C. Cheong, P. Mool | |
| Forecasting with a parsimonious subset VAR model |
| Parallel session R: | Monday 08.12.2014 | 14:50 - 16:30 |
| Session CS33 | Room: D2 |
| Statistical analysis of climate time series | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Tommaso Proietti |
Organizer: Eric Hillebrand |
| C1192: J. Urbain, M. Friedrich, S. Smeekes | |
| Bootstrap inference on non-linear trends in climate time series data | |
| C1209: T. Proietti, E. Hillebrand | |
| Seasonal and cyclic changes in temperature data | |
| C1032: U. Triacca | |
| Measuring the distance between global temperatures time series | |
| C1089: E. Hillebrand | |
| Data revisions and the statistical relation of sea-level and temperature |
| Session CS114 | Room: M2 |
| Contributions in financial econometrics III | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Christos Savva |
Organizer: CFE 2014 |
| C038: E. Ossola, P. Gagliardini, O. Scaillet | |
| Time-varying risk premium in large cross-sectional equity datasets | |
| C048: E. Aldrich, I. Heckenback, G. Laughlin | |
| A compound multifractal model for high-frequency asset returns | |
| C1225: J. Barunik, E. Kocenda, L. Vacha | |
| Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market? | |
| C1306: F. Lamperti | |
| On the similarity of time series dynamics: a criterion for model validation |
| Session CS38 | Room: N2 |
| Macroeconometrics | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Marek Jarocinski |
Organizer: Marek Jarocinski |
| C169: F. Huber | |
| Density forecasting using Bayesian global vector autoregressions with common stochastic volatility | |
| C386: J. Suda, A. Zervou | |
| International great inflation and common monetary policy | |
| C817: T. Wozniak, R. Hajargasht | |
| Variational Bayes inference for large vector autoregressions | |
| C374: P. Alessandri, H. Mumtaz | |
| Financial regimes and uncertainty shocks |
| Session CS52 | Room: P2 |
| Temporal disaggregation and benchmarking techniques | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C036: B. Chen, T. Di Fonzo, M. Marini | |
| The statistical reconciliation of time series of accounts after a benchmark revision | |
| C248: N. Mushkudiani, J. Daalmans, R. Bikker | |
| Data reconciliation at Statistics Netherlands | |
| C510: J. Daalmans, N. Mushkudiani, R. Bikker, T. Di Fonzo | |
| Is growth-rate preservation really the best benchmarking method? | |
| C550: C. Sax | |
| Evaluation of temporal disaggregation methods |
| Session CS70 | Room: F2 |
| MIDAS models: applications in economics and finance | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Eduardo Rossi |
Organizer: Eduardo Rossi |
| C649: E. Rossi, A. Ghalanos | |
| Nonlinear volatility dynamics: a smooth transition HAR approach | |
| C727: E. Bacchiocchi, A. Bastianin, A. Missale, E. Rossi | |
| Capital flows and interest rates: a mixed frequency approach | |
| C1002: P. Giudici, P. Cerchiello | |
| MIDAS systemic risk models | |
| C1278: C. Marsilli, L. Ferrara, M. Marcellino | |
| A mixed-frequency model with stochastic volatility |
| Session CS72 | Room: O2 |
| Econometric and quantitative methods applied to finance | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Simona Sanfelici |
Organizer: Simona Sanfelici |
| C110: M. Kiermeier | |
| Wavelet analysis and the credit spread puzzle | |
| C373: J. Akahori, N. Liu, M. Mancino, Y. Yasuda | |
| Fourier estimation method with positive semi-definite estimators | |
| C385: I. Curato, S. Sanfelici | |
| Measuring the leverage effect in a high frequency framework | |
| C1149: A. Koukorinis, G. Peters, G. Germano | |
| Hybrid generative-discriminative (HMM-SVM) machine-learning models for the forecasting of multivariate financial time series |
| Session CS86 | Room: B2 |
| Topics in time series and panel data econometrics | Monday 08.12.2014 14:50 - 16:30 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| C481: D. Wied, M. Wagner | |
| Monitoring a change from spurious regression to a cointegrating relationship | |
| C810: L. Soegner, M. Wagner | |
| Fully modified OLS estimation of spatially correlated cointegrated systems | |
| C1064: O. Stypka, M. Wagner | |
| Testing for smooth transition cointegration with integrated or trending transition variable | |
| C975: D. Bauer | |
| Consistent estimation of seasonally cointegrated VARMA systems in state space representation |
| Parallel session S: | Monday 08.12.2014 | 16:55 - 18:15 |
| Session CS111 | Room: A2 |
| Contributions to Bayesian econometrics II | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Joshua Chan |
Organizer: CFE 2014 |
| C978: J. Nakajima, T. Kimura | |
| Bayesian latent threshold dynamic models: identifying conventional and unconventional monetary policy shocks | |
| C1037: G. Kobayashi, K. Kakamu | |
| Approximate Bayesian computation for Lorenz curves from grouped data | |
| C1099: H. Nagashima, T. Nakatsuma | |
| Bayesian tempo-spatial estimation of the Japanese prefectural business cycle indicators | |
| C1116: C. Mastromarco, U. Woitek | |
| Estimating an education production function for Switzerland, 1871-1911 |
| Session CS113 | Room: O2 |
| Computational econometrics II | Monday 08.12.2014 16:55 - 18:15 |
| Chair: William J. Mccausland |
Organizer: CFE 2014 |
| C684: V. Ajevskis | |
| Semi-global solutions to DSGE models: perturbation around a deterministic path | |
| C783: A. Monteiro, A. Santos, R. Pascoal | |
| Portfolio choice with parameter uncertainty: Bayesian analysis and robust optimisation comparison | |
| C914: V. Lepetyuk, A. Jirnyi | |
| A reinforcement learning approach to solving incomplete market models with aggregate uncertainty | |
| C989: M. Richiardi, J. Grazzini | |
| Non-ergodicity as partial identification |
| Session CS59 | Room: N2 |
| Contributions on stochastic volatility | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Fulvio Corsi |
Organizer: CFE 2014 |
| C1016: W. Wei, A. Brix, A. Lund | |
| A generalized Schwartz model for energy spot prices - estimation using a particle MCMC method | |
| C1071: T. Krisztin, F. Huber, P. Piribauer | |
| Forecasting global equity indices using large Bayesian VARs | |
| C1108: S. Morozov | |
| Returns or differences? Methods for risk functional form selection | |
| C1298: M. Ficura | |
| Estimation of stochastic volatility and jumps using high-frequency data and Bayesian inference methods |
| Session CS07 | Room: B2 |
| Contributions on non-linear time-series models | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Alain Hecq |
Organizer: CFE 2014 |
| C960: B. Koo | |
| Nonparametric detection of discontinuity-points in varying coefficient regression models | |
| C1119: F. Venditti, D. Delle Monache, I. Petrella | |
| A score driven approach for state-space models with time-varying parameters | |
| C1161: M. Dziubinski | |
| Extremum estimators in practice: are approximate gradients ever useful and what can we do about it? | |
| C756: W. Orzeszko | |
| Nonparametric testing for serial independence using the NRL statistic |
| Session CS108 | Room: P2 |
| Contributions to applications in macroeconomics and time series | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Luis F. Aguiar-Conraria |
Organizer: CFE 2014 |
| C431: P. Salamaliki, I. Venetis | |
| Interpreting economic policy uncertainty - real economic activity causality: the role of infrequent structural shifts and omitted variables | |
| C966: A. Gomez-Loscos, M. Gadea, E. Bandres | |
| Regional business cycles across Europe | |
| C1103: T. Mizuno, T. Ohnishi, T. Watanabe | |
| Financial bubble detection using cross-sectional dispersion of price earnings ratios | |
| C1141: L. Aguiar-Conraria, R. Sousa, M. Soares | |
| CO2 price dynamics in the carbon market of California |
| Session CS105 | Room: E2 |
| Financial applications II | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Andreas Savvides |
Organizer: CFE 2014 |
| C1156: K. Gisler, M. Fengler | |
| A variance spillover analysis without covariances: what do we miss? | |
| C1050: K. Szafranek | |
| Financialization of the commodity markets. Conclusions from the restricted VARX ADCC MVT GARCH | |
| C918: R. Ianole, E. Druica | |
| A computational model of hidden costs in saving decisions | |
| C1160: H. Dakhli | |
| IPO timing: an option to expand |
| Session CS51 | Room: M2 |
| Contributions in financial econometrics IV | Monday 08.12.2014 16:55 - 18:15 |
| Chair: Roy Cerqueti |
Organizer: CFE 2014 |
| C1186: S. Khrapov | |
| Option pricing via risk-neutral density forecasting | |
| C1219: C. Savva | |
| Relation between risk and return in international stock markets revisited | |
| C1292: C. Tudor, A. Anghel, M. Tudor | |
| Portfolio optimization with down side risk: an application on the Romanian stock market | |
| C923: N. Ferreira, M. Oliveira | |
| Portfolio technical efficiency assessment with DEA: the case of the PSI-20 enterprises |