KEYNOTE TALKS


Keynote talk 1 Saturday 12.12.2015 08:40 - 09:30 Room: Beveridge Hall
Realized volatility based forecasting models: Exploiting the errors
Speaker: T. Bollerslev  Co-authors: A.J. Patton, R. Quaedvlieg Chair: Herman van Dijk
Keynote talk 3 Sunday 13.12.2015 18:30 - 19:20 Room: Beveridge Hall
Estimation and Inference for random time varying coefficient models
Speaker: G. Kapetanios   Chair: Stephen Pollock
Keynote talk 4 Monday 14.12.2015 12:05 - 12:55 Room: Beveridge Hall
Distributed estimation and inference with statistical guarantees
Speaker: J. Fan  Co-authors: H. Battey, H. Liu, J. Lu, Z. Zhu Chair: Hans-Georg Mueller


PARALLEL SESSIONS


Parallel session B: CFE Saturday 12.12.2015 09:40 - 10:55

Session CO392 Room: Senate
GARCH innovations Saturday 12.12.2015   09:40 - 10:55
Chair: Christian Francq Organizer: Christian Francq
  CO0856:  W. Charemza, C. Francq, S. Makarova, J.-M. Zakoian
  Testing for policy effects in ARMA-GARCH model
  CO0878:  L. Truquet
  Root$-n$ consistent estimation of the density of a GARCH(1,1) process
  CO1362:  J.-M. Zakoian, C. Francq
  Two step estimation of multivariate GARCH and stochastic correlation models
Session CO416 Room: Chancellor's Hall
Analysis of high-dimensional time series I Saturday 12.12.2015   09:40 - 10:55
Chair: Marco Lippi Organizer: Marc Hallin, Marco Lippi
  CO0378:  M. Barigozzi, M. Hallin
  Generalized dynamic factor models and volatilities
  CO0399:  T. Proietti, A. Giovannelli
  Optimal linear prediction of stochastic trends
  CO1238:  M. Deistler, A. Braumann, E. Felsenstein, D. Fresoli, L. Koelbl
  Estimation of generalized linear dynamic factor models: The single and the mixed frequency case
Session CO418 Room: Court
Co-movements in macro and finance time series Saturday 12.12.2015   09:40 - 10:55
Chair: Alain Hecq Organizer: Alain Hecq
  CO0523:  G. Cubadda, E. Scambelloni
  Index-augmented autoregressive models: Representation, estimation, and forecasting
  CO1456:  M. Stamatogiannis, A. Hecq, J. Jacobs
  Testing for news and noise in non-stationary time series subject to multiple revisions
  CC1075:  A. Bicu, L. Lieb
  Cross-border effects of fiscal policy in the Eurozone
Session CO420 Room: Jessel
Robust methods Saturday 12.12.2015   09:40 - 10:55
Chair: Stephane Guerrier Organizer: Jonathan Hill
  CO1242:  C. Croux, A. Alfons
  The robust lasso for high dimensional regression
  CO0173:  D. La Vecchia, M. Hallin
  Semiparametrically efficient rank-based estimation for dynamic location and scale models
  CO0400:  S. Guerrier, R. Molinari
  Robust inference for time series models: A wavelet-based framework
Session CO424 Room: Torrington
Technical analysis and adaptive markets Saturday 12.12.2015   09:40 - 10:55
Chair: Robert Hudson Organizer: Robert Hudson
  CO0526:  A. Urquhart, R. Hudson, B. Gebka
  On technical trading rules
  CO1348:  M. Soufian
  On the determinants of stability in financial markets
  CO1810:  R. Hudson
  Investigating the profitability of technical analysis using cross-sectional country data
Session CO464 Room: Woburn
Early warning system and systemic risk indicators I Saturday 12.12.2015   09:40 - 10:55
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0697:  L. Leonida, G. Kapetanios, P. Calice, G. Caggiano
  Logit and multinomial logit models for early warning systems: On the duration of systemic banking crises
  CO0972:  M. El-Shagi, J. Mallett
  Identifying indicators for stress in the banking system: A simulation based approach
  CO1139:  N. Boyarchenko, D. Giannone, T. Adrian
  Quantifying systemic risk
Session CO496 Room: SH349
Time series Saturday 12.12.2015   09:40 - 10:55
Chair: Marco Reale Organizer: Marco Reale
  CO1074:  A. Luati, T. Proietti
  Generalised linear models for the spectrum of a time series
  CO1415:  Y. Zu
  Testing asset price bubbles with financial data
  CO1780:  M. Reale, R. Ellis, A. Lin, C. Price
  Edge deletion tests in graphical models for time series
Session CO524 Room: Athlone
Modeling commodity prices and volatility Saturday 12.12.2015   09:40 - 10:55
Chair: Helena Veiga Organizer: Sofia Ramos, Helena Veiga
  CO0623:  M. Joets
  On the impact of macroeconomic uncertainty on the volatility of commodity prices
  CO0723:  J. Chevallier, Y.-J. Zhang
  Spillover effect of stock market panic on crude oil and natural gas markets
  CO1046:  H. Gatfaoui
  Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
Session CO528 Room: Holden
Funds performance measurement Saturday 12.12.2015   09:40 - 10:55
Chair: Spyridon Vrontos Organizer: Spyridon Vrontos
  CO0988:  N. Topaloglou
  Diversification benefits of commodities: A stochastic dominance efficiency approach
  CO1340:  S. Vrontos, E. Panopoulou
  A comprehensive approach to survival analysis of hedge funds
  CC0982:  N. Voukelatos, E. Panopoulou
  Divergence and performance: A new measure of hedge fund distinctiveness
Session CO538 Room: Gordon
Macroeconomic analysis Saturday 12.12.2015   09:40 - 10:55
Chair: Peter Zadrozny Organizer: Peter Zadrozny
  CO1435:  P. Zadrozny
  An econometric method for decomposing total-input productivity into input-specific productivities
  CO1446:  X. Lei, K. Kasa
  Information and inequality
  CC1465:  K. Kasa, I.-K. Cho
  Doubts, inequality, and bubbles
Session CO596 Room: Montague
Temporal and spatial econometric modelling and testing Saturday 12.12.2015   09:40 - 10:55
Chair: Zudi Lu Organizer: Zudi Lu
  CO0541:  M. Kyriacou
  Indirect inference in spatial autoregression
  CO0555:  Z. Lu, Z. Jiang, N. Ling
  Cross-validation bandwidth selection for kernel density estimation with spatial data
  CO0746:  F. Martellosio
  Adjusted MLE for the spatial autoregressive parameter
Session CO623 Room: Bloomsbury
State space models and cointegration Saturday 12.12.2015   09:40 - 10:55
Chair: Martin Wagner Organizer: Martin Wagner
  CO0469:  M. Wagner, D. Bauer
  Polynomial cointegration
  CO0521:  D. Bauer, R. Buschmeier
  Asymptotic properties of subspace methods for the estimation of seasonally cointegrated models
  CO1692:  M. Franchi
  Some results on the structure theory of cointegrated state space systems
Session CG577 Room: Bedford
Contributions on nonstationary time series and panels Saturday 12.12.2015   09:40 - 10:55
Chair: Michael Vogt Organizer: CFE
  CC0260:  M. Ben Salem, B. Castelletti Font
  The long-run dynamics of the real sovereign bonds: What it can be learnt from Net Foreign Assets
  CC1565:  J.A. Afonso-Rodriguez
  New results on the power of some tests for a fixed unit root under a stochastic unit root alternative
  CC1588:  M. Massmann, N. Christopeit
  Estimating structural parameters in regression models with adaptive learning
Parallel session D: CFE Saturday 12.12.2015 11:25 - 13:05

Session CI016 Room: Beveridge Hall
Special session on Bayesian methods in economics and finance Saturday 12.12.2015   11:25 - 13:05
Chair: Knut Are Aastveit Organizer: Mike West
  CI0215:  S. Kaufmann, C. Schumacher
  Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
  CI0485:  M. Jensen, M. Fisher, P. Tkac
  Mutual fund dynamic risk allocation and skill level with a Bayesian seminonparametric change-point model
  CC1610:  M. Pitt, A. Doucet, G. Deligiannidis, R. Kohn
  Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
Session CO410 Room: Bloomsbury
Financial regulation Saturday 12.12.2015   11:25 - 13:05
Chair: Dominique Guegan Organizer: Dominique Guegan
  CO0444:  K. Li, D. Guegan
  The spectral stress VaR
  CC1222:  M. Garcin, C. Goulet
  Probability density of future returns: A fully nonparametric heteroskedastic model
  CO1375:  B. Hassani, D. Guegan
  Risk or regulatory capital: Bringing distributions back in the foreground
  CO1489:  C. Goulet
  Empirical probability density function of Lyapunov exponents
Session CO434 Room: G21A
Goodness-of-fit, multiple predictors and multivariate models Saturday 12.12.2015   11:25 - 13:05
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  CO1791:  C. Saunders, L. Khalaf, M.-C. Beaulieu
  Dynamic panel analysis of market debt ratios
  CO0922:  S. Gungor
  Small-sample tests for multiple-predictor regressions
Session CO436 Room: Jessel
Time-series econometrics Saturday 12.12.2015   11:25 - 13:05
Chair: Robert Kunst Organizer: Robert Kunst
  CO0172:  U. Gunter, I. Onder
  Forecasting city arrivals with Google Analytics: The merits of big data shrinkage techniques and forecast combination
  CO0244:  P.H. Franses
  Seasonal time deformation and periodic autoregressive time series models
  CO0595:  M. Hauser, A. Gschwandtner
  Profit persistence and stock returns
  CO0749:  H. Rachinger, V. Berenguer-Rico
  On the persistence of economic time series: A threshold approach
Session CO454 Room: Woburn
Nowcasting and forecasting under uncertainty I Saturday 12.12.2015   11:25 - 13:05
Chair: Katja Heinisch Organizer: Gian Luigi Mazzi
  CO0324:  K. Heinisch
  Regional surveys: Identifying uncertainty and forecasting economic growth
  CO0770:  P. Claeys
  Nowcasting public finances in Italy
  CO1051:  M. Tasci
  Lessons for forecasting unemployment in the U.S.: Use flow rates, mind the trend
  CO0778:  M. Malgarini, S. Fantacone, P. Garalova, E. Mazzoni
  On business confidence as an indicator for industrial production: Evidence from the EC survey
Session CO490 Room: Bedford
The econometrics of climate change Saturday 12.12.2015   11:25 - 13:05
Chair: Tommaso Proietti Organizer: Eric Hillebrand, Tommaso Proietti
  CO0408:  F. Pretis
  Econometric models of climate systems: The equivalence of two-component energy balance models and cointegrated VARs
  CO0648:  J. Davidson
  Modelling the interactions in paleoclimate data
  CO0685:  E. Hillebrand, T. Proietti
  Global mean temperatures and global CO2 concentrations: A seasonal state-space approach
  CO1424:  M. Friedrich, W. Bader, B. Franco, B. Lejeune, E. Mahieu, H. Reuvers, S. Smeekes, J.-P. Urbain
  Nonparametric estimation and bootstrap inference on the recent trends in atmospheric ethane (C2H6) above Europe
Session CO506 Room: Athlone
Modelling volatility Saturday 12.12.2015   11:25 - 13:05
Chair: Christos Savva Organizer: Christos Savva
  CO0235:  C. Savva
  Risk-return trade-off for European stock markets
  CO1088:  N. Michail
  Inflation volatility and the Euro: On the effect of the common currency
  CO0873:  V. Pappas, M. Izzeldin
  The role of market indices in forecasting stocks volatility: A HAR framework using a mixed sampling approach
  CO1025:  L. Symeonidis, A. Kourtis, R. Markellos
  Volatility forecasting around the world
Session CO542 Room: Torrington
Finance and jobs in dynamic macro models Saturday 12.12.2015   11:25 - 13:05
Chair: Ekkehard Ernst Organizer: Ekkehard Ernst
  CO0480:  R. Merola, D. Clancy
  Countercyclical capital rules for small open economies
  CO0578:  C. Merkl
  Business cycle asymmetries and the labor market
  CO0938:  E. Ernst
  Hiring uncertainty, investment and job creation: The role of financial frictions
  CO0941:  A. Oeking, R. Chami, E. Ernst
  About monetary policy transmission in remittances-receiving countries
Session CO556 Room: Gordon
Asset price bubbles Saturday 12.12.2015   11:25 - 13:05
Chair: Ivan Paya Organizer: Ivan Paya
  CO1013:  R. McCrorie, I. Figuerola-Ferretti
  The shine of precious metals around the global financial crisis
  CO1178:  R. Sollis
  Improving the accuracy of asset price bubble start and end date estimators
  CC0712:  I. Paya, E. Pavlidis, D. Peel
  Testing for speculative bubbles using spot and forward exchange rates: An application to the German hyperinflation
  CO1315:  I. Figuerola-Ferretti, R. McCrorie, I. Paraskevopoulos
  Crude oil prices did not exhibit bubble behavior: Evidence using OVIX-adjusted WTI
Session CO566 Room: Chancellor's Hall
Noncausal and non Gaussian time series models Saturday 12.12.2015   11:25 - 13:05
Chair: Alain Hecq Organizer: Christian Gourieroux, Alain Hecq
  CO0272:  H. Nyberg, M. Lanne
  Nonlinear dynamic interrelationships between real activity and stock returns
  CO0495:  S. Telg, A. Hecq, L. Lieb
  Forecasting inflation in Europe with mixed causal-noncausal models
  CO0557:  L. Lieb, A. Hecq
  Modelling the demand of photovoltaic panels using mixed-causal autoregression
  CO1549:  A. Monfort, C. Gourieroux
  Revisiting identification and estimation in structural VARMA models
Session CO568 Room: Holden
Modelling risk Saturday 12.12.2015   11:25 - 13:05
Chair: Giovanni Barone-Adesi Organizer: Giovanni Barone-Adesi
  CO0166:  G. Barone-Adesi, K. Giannopoulos
  Estimating the joint tail risk under filtered historical simulation
  CO0943:  F. Corsi
  A jump and smile ride: Continuous and jump variance risk premia in option pricing
  CO1011:  S. Peluso, S. Chib, A. Mira
  Bayesian semiparametric multivariate change point analysis
Session CO570 Room: Court
Sparse modelling, shrinkage and regularization Saturday 12.12.2015   11:25 - 13:05
Chair: Helga Wagner Organizer: Helga Wagner
  CO0603:  F. Caron
  Probabilistic low-rank matrix completion with adaptive spectral regularization algorithms
  CO1175:  A. Bitto, S. Fruehwirth-Schnatter
  Achieving shrinkage in the time-varying parameter models framework
  CO0777:  D. Pauger, H. Wagner, G. Malsiner-Walli
  Sparse Bayesian modelling for categorical predictors
  CO1164:  V. Rockova, E. George
  The spike-and-slab LASSO
Session CO578 Room: SH349
Measurement of market spillovers Saturday 12.12.2015   11:25 - 13:05
Chair: Matthias Fengler Organizer: Matthias Fengler
  CO0198:  H. Herwartz, M. Fengler
  Measuring spot variance spillovers when (co)variances are time-varying: The case of multivariate GARCH models
  CO0199:  D. Buncic, K. Gisler
  Global equity market volatility spillovers: A broader role for the United States
  CO0651:  T. Krehlik, J. Barunik
  Measuring the frequency dynamics of financial and macroeconomic connectedness
  CO1304:  K. Yilmaz
  Estimating global sovereign default risk connectedness
Session CO590 Room: Senate
Empirical model discovery Saturday 12.12.2015   11:25 - 13:05
Chair: David Hendry Organizer: David Hendry
  CO0159:  N. Ericsson
  Improving global vector autoregressions
  CO0350:  J. Castle, D. Hendry, J. Doornik
  Bias correction after selection with correlated variables
  CO0775:  J. Doornik, D. Hendry
  Automatic selection of multivariate dynamic econometric models
  CO0954:  M.N. Tabor, O. Kitov
  Detecting structural changes in linear models: A variable selection approach using multiplicative indicator saturation
Session CO625 Room: Montague
Credit risk modelling Saturday 12.12.2015   11:25 - 13:05
Chair: Jonathan Crook Organizer: Jonathan Crook, Ana-Maria Fuertes
  CO0666:  T. Bellotti
  Reliable region predictions for automated valuation models
  CC1301:  A.-M. Fuertes, A. Audzeyeva
  Predictability of emerging market yield spreads before and after Lehman Brothers: The role of macroeconomic volatility
  CC1506:  B. Baesens, S. Lessmann, H.-V. Seow, L. Thomas, B. Baesens
  Benchmarking state of the art classification algorithms for credit scoring
  CO1813:  J. Crook, M. Leow
  A new model for estimating exposure at default
Parallel session E: CFE Saturday 12.12.2015 14:25 - 16:05

Session CO390 Room: MAL B34
Multivariate GARCH and dynamic correlation models Saturday 12.12.2015   14:25 - 16:05
Chair: Jean-David Fermanian Organizer: Jean-David Fermanian
  CO0238:  J.-D. Fermanian
  Dynamic correlation models based on vines: The model and applications
  CO1275:  B. Poignard, J.-D. Fermanian
  Dynamic correlation models based on vines: Asymptotic theory
  CO1286:  M. Fengler, J.-D. Fermanian, H. Malongo
  Macroeconomic variables, long run correlation, and optimal portfolio allocation the case of DCC-type models
  CO1347:  H. Asgharian, C. Christiansen, A.J. Hou
  Macro-finance determinants of the long-run stockbond correlation: The DCC-MIDAS specification
Session CO442 Room: MAL B29
Corporate finance Saturday 12.12.2015   14:25 - 16:05
Chair: Christodoulos Louca Organizer: Christodoulos Louca
  CO0680:  I. Tsalavoutas, G. Fairbairn, D. Henry
  The influence of national culture on the capital structure of SMEs
  CO1018:  C. Antoniou, A. Kumar, A. Maligkris
  Terrorism, emotions, and corporate policies
  CO0985:  A. Kostakis
  On stock returns and default risk: New international evidence
  CO1491:  C. Louca, A. Petrou, P. Andreou
  CEO career horizon and stock price crashes
Session CO444 Room: MAL B36
Applied financial econometrics Saturday 12.12.2015   14:25 - 16:05
Chair: Richard Luger Organizer: Richard Luger
  CO0958:  T. Prono
  Linear two-stage-least-squares estimators for GARCH processes
  CO0973:  G. Bauer
  The macroeconomic drivers of bond market risk
  CO0928:  A. Diez de los Rios
  Affine term structure modes with observable volatility
  CO1083:  R. Luger, X. Liu
  Markov-switching quantile autoregression: A Gibbs sampling approach
Session CO478 Room: MAL 421
Volatility modeling and correlation in financial markets Saturday 12.12.2015   14:25 - 16:05
Chair: Giampiero Gallo Organizer: Edoardo Otranto
  CO0299:  A. Clements, J. Fuller, V. Papalexiou
  Public news flow in intraday component models model for trading activity and volatility
  CO0696:  G. Gallo, E. Otranto
  Markov switching models with fuzzy regimes
  CO0849:  F. Lillo, V. Filimonov, M. Rambaldi
  Modelling volatility dynamics of FX rates around macroeconomic news
  CO1177:  J.-P. Ortega, L. Bauwens, L. Grigoryeva
  Reduction and composite likelihood estimation of non-scalar multivariate volatility models
Session CO494 Room: MAL B33
Forecasting in central banks Saturday 12.12.2015   14:25 - 16:05
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  CO0210:  A. Halka
  Forecasting process in Polish central bank
  CO0650:  J. Hallgren, J. Siven, E. Alpkvist, A. den Reijer, T. Koski
  Nowcasting GDP with adaptive masking and ridge regression
  CO0867:  A.S. Jore, K.A. Aastveit, F. Ravazzolo, C. Foroni
  Norges Banks system for short-term forecasting of macroeconomic variables
  CO1063:  A. Conti
  Short-term forecasting inflation and GDP at the Bank of Italy
Session CO514 Room: MAL B35
Econometric challenges in risk management Saturday 12.12.2015   14:25 - 16:05
Chair: Laura Spierdijk Organizer: Laura Spierdijk
  CO0407:  R. Koning
  A multiple testing correction approach to PD validation
  CO0433:  L. Spierdijk, L. Spierdijk, S. Shaffer, T. Considine
  Dynamic estimation of substitution elasticies with an application to US banks
  CO0638:  K. Antonio, E. Godecharle, R. Van Oirbeek
  Micro-level stochastic loss reserving models fortime-discrete data
  CO1580:  M. Vellekoop
  Term structure extrapolation and asymptotic forward rates
Session CO530 Room: MAL 414
Topics in time series and panel data econometrics Saturday 12.12.2015   14:25 - 16:05
Chair: Martin Wagner Organizer: Martin Wagner
  CO0728:  O. Stypka, M. Wagner
  Cointegrating multivariate polynomial regressions: Fully modified OLS estimation and inference
  CO0930:  M. Scholz, M. Wagner
  Large initial values and time series tests of the convergence hypothesis
  CO1226:  L. Soegner, T. Vogelsang, M. Wagner
  Integrated modified OLS estimation of spatially correlated cointegrated systems
  CO1427:  H. Reuvers
  Estimator averaging for improving efficiency
Session CO550 Room: MAL 402
Portfolio selection and asset pricing and modelling Saturday 12.12.2015   14:25 - 16:05
Chair: Abderrahim Taamouti Organizer: Abderrahim Taamouti
  CO0327:  A. Taamouti
  Parametric portfolio policies with common volatility dynamics
  CO0328:  R. Bu, K. Hadri, D. Kristensen
  Transformed diffusions and copulas: Identification, inference and VIX derivative pricing
  CO1024:  D. Philip, P. Andreou, A. Kagkadis, A. Taamouti
  Term structure of forward moments and predictability of asset returns
  CC0605:  J. Williams, A. Alshami, P. Dovonon, A. Taamouti
  Bootstrapping reduced rank realized covariance matrices
Session CO588 Room: MAL B20
New Bayesian methods and econometric applications Saturday 12.12.2015   14:25 - 16:05
Chair: Michael Smith Organizer: Michael Smith
  CO0917:  M. Zhou, Y. Cong, B. Chen
  The Poisson gamma belief network
  CO0597:  T. Shively, H. Chipman, E. George, R. McCulloch
  Shape-constrained nonparametric high-dimensional function estimation using Bayesian additive regression trees
  CO0850:  R. Gerlach, W.Y. Chen, G. Peters, S. Sisson
  Dynamic quantile function models
  CO0846:  M. Smith
  Econometric modeling of regional electricity spot prices in the Australian market
Session CO637 Room: MAL G15
Nowcasting and forecasting under uncertainty II Saturday 12.12.2015   14:25 - 16:05
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0290:  R.M. Masolo, M. Waldron, L. Koerber, N. Fawcett
  Evaluating point and density forecasts from an estimated DSGE: The role of off-model information over the crisis
  CO0310:  J. Mitchell, A. Galvao, A. Garratt
  Comparing Alternative Methods of Combining Density Forecasts - with an Application to US inflation and GDP Growth
  CO0653:  C. Foroni, G.L. Mazzi, F. Venditti, V. Aprigliano, M. Marcellino
  A daily indicator of economic growth
  CO1014:  M. Banbura, L. Saiz
  Density nowcasts of Euro area real GDP growth and pooling
Session CG017 Room: MAL 539
Contributions on Bayesian methods in economics and finance Saturday 12.12.2015   14:25 - 16:05
Chair: Jonathan Stroud Organizer: CFE
  CC1426:  K. Irie, M. West
  A statistical approach to sequential portfolio optimization with multi-step forecasting
  CC1519:  S.D. Oduro, J. Griffin, J. Oberoi
  Learning about informed trading risk through the dynamic volume - spread relationship
  CC1658:  M.S. Miescu
  IMF programs and sensitivity to external shocks: A Bayesian VAR approach
  CC1443:  B. Mazur
  Forecasting performance of Bayesian DCS models using asymmetric conditional distributions
Session CG375 Room: MAL 415
Contributions on non-starionarity and non-linearity Saturday 12.12.2015   14:25 - 16:05
Chair: Bent Nielsen Organizer: CFE
  CC1510:  V. Berenguer Rico, B. Nielsen
  Cumulated sum of squares statistics for non-linear and non-stationary regressions
  CC1098:  M.C. Badics
  Singular spectrum analysis based neural network for crude oil price forecasting
  CC1475:  T. Nakatsuma, K. McAlinn, A. Ushio
  Nonlinear leverage effects in asset returns: Evidence from the U.S. and Japanese stock markets
  CC1290:  I. Tsener, S. Maliar, J. Taylor, L. Maliar
  A tractable framework for analyzing a class of nonstationary Markov models
Parallel session F: CFE Saturday 12.12.2015 16:35 - 18:40

Session CI018 Room: Senate
Special session on bootstrap inference Saturday 12.12.2015   16:35 - 18:40
Chair: Jean-Pierre Urbain Organizer: Jean-Pierre Urbain
  CI0665:  R. Davidson
  A discrete model for bootstrap iteration
  CI0802:  S. Smeekes, L. Lieb
  Bootstrap inference for VAR models under rank uncertainty
  CI1602:  M.H. Neumann
  Dependent wild bootstrap for the empirical process and von Mises-statistics
Session CO348 Room: Gordon
Time-frequency analysis of economic and financial data Saturday 12.12.2015   16:35 - 18:40
Chair: Luis Aguiar-Conraria Organizer: Maria Joana Soares, Luis Aguiar-Conraria
  CO0553:  M. Martins
  Estimating the Phillips curve in the time-frequency domain
  CO0545:  M. Charpe
  The impact of the labour share on growth in the 19th century
  CO0735:  M. Marczak, T. Beissinger
  Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective
  CO0738:  P. Caraiani
  Evaluating exchange rate forecasts along time and frequency
  CO0803:  F. Verona
  The $Q$ theory: New evidence from wavelet analysis
Session CO362 Room: SH349
Recent developments in time varying modelling Saturday 12.12.2015   16:35 - 18:40
Chair: Natalia Bailey Organizer: Natalia Bailey
  CO1701:  F. Zikes, G. Kapetanios
  Time-varying LASSO
  CO1283:  G. Fruet Dias, C. Scherrer, M. Fernandes
  Time varying price discovery and market microstructure noise
  CO0195:  K. Petrova, G. Kapetanios, A. Galvao, L. Giraitis
  Bayesian local likelihood method
  CO1082:  K. Baltas, A. Andrikopoulos
  Dynamic neighbor effects in public debt ratios: The case of uncertainty
  CO1030:  S.S.W. Lui, J. Mitchell
  Producing Early Euro-Area GDP Estimates using a Global VAR Model
Session CO388 Room: Chancellor's Hall
Structure in multivariate and high dimensional time series Saturday 12.12.2015   16:35 - 18:40
Chair: Manfred Deistler Organizer: Manfred Deistler
  CO0366:  M. Lenza, D. Giannone, G. Primiceri
  Priors for the long run
  CO1068:  L. Koelbl, A. Braumann, E. Felsenstein, M. Deistler
  Estimation of VAR systems from mixed-frequency data: The stock and the flow case
  CO0897:  A. Chiuso, M. Zorzi
  A Bayesian approach to sparse plus low rank network identification
  CO1252:  M. Eichler
  Fitting latent variable models to multivariate time series
Session CO394 Room: Torrington
Commodity markets: Pricing and trading Saturday 12.12.2015   16:35 - 18:40
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes, Joelle Miffre
  CO0318:  M. Prokopczuk, Y. Wu
  The determinants of convenience yields
  CO1001:  J. Miffre, A.-M. Fuertes, A. Fernandez-Perez, B. Frijns
  The skewness of commodity futures returns
  CO0975:  N. Nomikos, I. Moutzouris
  The earnings-price ratio and predictability of earnings in the dry bulk shipping industry
  CC0363:  M. Bonato, L. Taschini
  Comovement and financialization in the commodity market
  CC1650:  Y. Le Pen, M. Bessec, B. Sevi
  On hedgers' speculation: Evidence from commodities futures markets using mixed-frequency data
Session CO402 Room: Holden
Quantifying social media impact on financial dynamics Saturday 12.12.2015   16:35 - 18:40
Chair: Giacomo Livan Organizer: Guido Germano, Giacomo Livan
  CO0686:  D. Tuckett
  Theory and methods in using text data for economic prediction: The UCL relative sentiment shift approach
  CO0952:  G. Bormetti, G. Ranco, I. Bordino, G. Caldarelli, F. Lillo, M. Treccani
  Coupling news sentiment with web browsing data predicts intra-day stock prices
  CO0885:  C. Tessone, D. Garcia, P. Mavrodiev, N. Perony
  From social media to endogenous activity: Their effects on Bitcoin price bubbles and user adoption
  CO1049:  T. Souza, T. Aste
  On the nonlinear dependency between social media and the stock market: Twitter and news
  CO1112:  O. Kolchyna, T. Souza, T. Aste
  In quest of significance: Identifying types of Twitter sentiment spikes that predict events in sales
Session CO422 Room: Bedford
Econometrics of art markets Saturday 12.12.2015   16:35 - 18:40
Chair: Douglas Hodgson Organizer: Douglas Hodgson
  CO0313:  S. Auci, A. Cognata
  Efficiency of Italian opera houses: A stochastic frontier production function approach
  CO0326:  D. Hodgson, J. Galbraith, C. Hellmanzik
  The relationship between artistic movements and artist careers: Evidence from individual-level hedonic regression
  CO0583:  C. Boufflet, M.L. Chamorro
  A first approach to pricing on the painting secondary market in the Argentine Republic
  CO0669:  S. Chang
  From quality to utility, an empirical study of artist reputations impact on contemporary art market price
  CC0570:  C. Hellmanzik
  Historic art exhibitions and modern day auction results
Session CO438 Room: G21A
Large dimensional panel models Saturday 12.12.2015   16:35 - 18:40
Chair: Xun Lu Organizer: Degui Li
  CO0188:  X. Lu
  Determining the number of groups in latent panel structures with an application to income and democracy
  CO0658:  D. Li
  Estimation of principal functional coefficient models for longitudinal data
  CC1093:  A. Atak
  Semiparametric trending regression for unbalanced panel data with application to realized volatility
  CC1680:  M. Avarucci, P. Zaffaroni
  Generalized least squares estimation of panel with common shocks
  CC1784:  P. Keblowski
  Canonical correlation analysis of panel VEC models
Session CO456 Room: Woburn
Inflation analysis and forecasting Saturday 12.12.2015   16:35 - 18:40
Chair: Till Strohsal Organizer: Gian Luigi Mazzi
  CO0226:  M. Paloviita
  Analysis of aggregated inflation expectations based on the ECB SPF survey
  CO0216:  F. Bec, A. De Gaye
  How oil price forecast errors impact inflation forecast errors
  CO0320:  T. Strohsal, R. Melnick, D. Nautz
  The time-varying degree of inflation expectations anchoring
  CO1095:  R. Colavecchio
  A credit-based indicator for the risk of low inflation
Session CO482 Room: Montague
Financial forecasting Saturday 12.12.2015   16:35 - 18:40
Chair: Fotis Papailias Organizer: Fotis Papailias, Dimitrios Thomakos
  CO1101:  C. Scherrer, G. Fruet Dias, F. Papailias
  Volatility discovery
  CO1020:  N. Kourogenis, A. Antypas, M. Birmpa
  Quasi-qualitative methods for assessing the expected accuracy of volatility forecasts of equity prices
  CO1151:  K. Nikolopoulos, D. Thomakos
  A horse for (almost) every course: Forecasting financial time series with the Theta Method
  CO1191:  D. Thomakos, F. Papailias
  Interval-based trading strategies
  CO1061:  F. Papailias
  Improved yield curve forecasting
Session CO484 Room: Athlone
Fiscal policy Saturday 12.12.2015   16:35 - 18:40
Chair: Evi Pappa Organizer: Evi Pappa
  CO0611:  N. Traum, H. Bi
  Sovereign risks and fiscal fundamentals in the Eurozone
  CO1248:  F. Pappada, Y. Zylberberg
  State capacity and pro-cyclical fiscal policy
  CO1260:  V. Vassilatos, T. Kollintzas, D. Papageorgiou
  A model of market and political power interactions for Southern Europe
  CO1318:  E. Pappa, E. Vella, R. Sajedi
  Fiscal consolidation in a disinflationary environment: Price-based versus quantity-based measures
  CO1268:  E. Dioikitopoulos
  Structural tranformation and the obesity epidemic: Growth and taxation
Session CO508 Room: Court
Regime change modeling in economics and finance I Saturday 12.12.2015   16:35 - 18:40
Chair: Willi Semmler Organizer: Willi Semmler
  CO0637:  G. Anderson
  A solution technique for regime switching DSGE models with occasionally binding constraints
  CO1328:  W. Semmler, M. Gross
  Destabilising effects of bank overleveraging on economic activity
  CO1107:  R. Castellano, L. Scaccia
  An empirical investigation of sovereign CDS market
  CO0814:  M. Gonzalez-Astudillo
  Identifying the stance of monetary policy at the zero lower bound: A Markov-switching estimation
  CO0596:  J. Schnurbus, H. Haupt, J. Schnurbus, W. Semmler
  Catching-up, leapfrogging, and falling-back in economic growth: A nonparametric approach
Session CO532 Room: Bloomsbury
Financial risk Saturday 12.12.2015   16:35 - 18:40
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  CO0678:  T. Isogai
  Combining classification tree analysis with network grouping of Japanese stock returns
  CO0844:  K. Oya
  Option implied volatility of JGB using American option prices
  CO0837:  T. Takada, Y. Tsukioka
  Corporate bond spreads and investor risk appetite
  CO0840:  Y. Yamamoto
  Asymptotic inference for common factor models in the presence of jumps
  CO0838:  T. Yoshiba
  Empirical comparison of several skew-$t$ copulas
Session CO548 Room: Jessel
Banks and the macroeconomy in the context of stress testing Saturday 12.12.2015   16:35 - 18:40
Chair: Ching-Wai Jeremy Chiu Organizer: Ching-Wai Jeremy Chiu
  CO0332:  C.-W.J. Chiu
  The rate elasticity of retail deposits in the United Kingdom: A macroeconomic investigation
  CO0306:  P. Kapinos, O. Mitnik
  A top-down approach to stress-testing banks
  CO0909:  M. Pritsker
  Choosing stress scenarios for systemic risk through dimension reduction
  CO1003:  T.C. Wong, C.-H. Hui, K. Ho, E. Tan
  A stress testing framework with interactions between solvency and liquidity risks and macro-financial linkages
  CO0789:  M. Flood, J. Liechty, T. Piontek
  Systemwide commonalities in market liquidity
Parallel session G: CFE Sunday 13.12.2015 08:45 - 10:25

Session CO352 Room: MAL 414
Nonlinear modelling of financial time series Sunday 13.12.2015   08:45 - 10:25
Chair: Wei Wei Organizer: Cristina Amado
  CO0478:  W. Wei, D. Pelletier
  A stochastic price duration model for estimating high-frequency volatility
  CO0639:  S. Martins, C. Amado
  Modelling sovereign debt contagion: A smooth transition approach
  CO1449:  R. Sandberg
  Discrete time nonlinear diffusion models
  CO0303:  M. Midilic
  Estimation of STAR-GARCH models with iteratively weighted least squares
Session CO354 Room: MAL B35
Measuring and forecasting default risk Sunday 13.12.2015   08:45 - 10:25
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  CO0765:  L. Abdel Fattah, S. Barthelemy, N. Levratto, B. Trempont
  Bankruptcy survival: Evidence from France
  CO0811:  A. Amendola, M. Restaino, L. Sensini, F. Ametrano
  Variable selection methods for forecasting multiple business exits in Europe
  CO1228:  L. Dirick, G. Claeskens, B. Baesens
  Advances on the use of mixture cure models in the credit risk context
  CO1327:  M. Medhat
  Cyclicality and firm-size in private firm defaults
Session CO370 Room: MAL 421
Measuring financial risk Sunday 13.12.2015   08:45 - 10:25
Chair: Scott Brave Organizer: Scott Brave, Jiri Witzany
  CO1273:  L. Benzoni, R. Goldstein
  Taxes, not credit-event premia, explain short maturity investment-grade spreads
  CO1284:  A. Ajello
  Financial stability and optimal interest-rate policy
  CO1429:  J. Cerny
  A copula approach to CVA modeling
  CC1334:  J. Witzany
  A note on the Vasicek's model with the logistic distribution
Session CO446 Room: MAL B20
Bayesian nonparametric econometrics Sunday 13.12.2015   08:45 - 10:25
Chair: John Maheu Organizer: John Maheu
  CO0354:  R. Casarin, E. ter Horst, G. Molina
  A Bayesian time-varying approach to risk neutral density estimation
  CO0501:  A. Virbickaite, H. Lopes, C. Ausin, P. Galeano
  Particle learning for Bayesian non-parametric Markov switching stochastic volatility model
  CO0453:  Y. Song, D.-H. Kim
  A Bayesian semiparametric approach in a random coefficient demand framework
  CO0516:  D.-H. Kim, G. Aryal
  Empirical relevance of ambiguity in first price auction models
  CO1840:  M. Kalli, J. Griffin
  Bayesian nonparametric time varying vector autoregression
Session CO468 Room: MAL B34
Macroeconomics, asset pricing, and robustness Sunday 13.12.2015   08:45 - 10:25
Chair: Alexander Meyer-Gohde Organizer: Alexander Meyer-Gohde
  CO0347:  H. Liu, Y. Zhang
  Ambiguity and financial uncertainty in a real Business Cycle Model
  CO0409:  R. Bidder, I. Dew-Becker
  Long-run risk is the worst-case scenario
  CO0852:  A. Tamoni, D. Bianchi
  Understanding expected returns
  CO0780:  A. Meyer-Gohde
  Model uncertainty and generalized entropy
Session CO470 Room: MAL 402
Quantitative asset management Sunday 13.12.2015   08:45 - 10:25
Chair: Rafael Molinero Organizer: Serge Darolles, Rafael Molinero
  CO0421:  S. Boutaleb
  Using quantitative risk management as a trading tool in a commodities trading company
  CO0907:  G. Bagnarosa, G. Peters, M. Ames
  A speculative volume based covariance model for currency portfolios
  CO0753:  A. Becam, S. Darolles, G. Le Fol
  Serial correlation and time-varying liquidity in the hedge fund industry
  CO0769:  E. Jurczenko, J. Teiletche
  Active risk-based investing
Session CO502 Room: MAL 415
Panel data models with common factors: Theory and applications Sunday 13.12.2015   08:45 - 10:25
Chair: Vasilis Sarafidis Organizer: Vasilis Sarafidis
  CO0573:  N. Bailey, S. Holly, H. Pesaran
  A two stage approach to spatio-temporal analysis with strong and weak cross-sectional dependence
  CO1213:  M. Weidner, M. Chen, I. Fernandez-Val
  Nonlinear panel models with interactive effects
  CC1398:  D. Massacci
  Least squares estimation of large dimensional threshold factor models
  CC1197:  V. Sarafidis
  A simple estimator for short panel data models with common factors
Session CO510 Room: MAL B29
Econometric analyses of spillovers and liquidity Sunday 13.12.2015   08:45 - 10:25
Chair: Pierre Siklos Organizer: Pierre Siklos
  CO0161:  P. Siklos, D. Lombardi, S. St Amand
  Monetary policy spillovers: A global empirical perspective
  CO0352:  P. Adaemmer, M.T. Bohl, O. von Ledebur
  Price discovery in European agricultural markets: When do futures contracts matter?
  CO0418:  E. Kocenda, J. Barunik, L. Vacha
  Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
  CO1181:  A. Belke, J. Beckmann
  Financial integration, capital flows and economic performance: Evidence from a global vector error correction model
Session CO512 Room: MAL B30
Topics in financial econometrics Sunday 13.12.2015   08:45 - 10:25
Chair: Leopold Soegner Organizer: Leopold Soegner
  CO0376:  S. Desmettre, S. Gruen, F.T. Seifried
  Forecasting discrete dividends by no-arbitrage
  CO0577:  E. Leoff, J. Sass
  Stylized facts for regime-switching models
  CO0620:  L. Vana, K. Hornik, B. Gruen
  Modeling creditworthiness using a generalized linear mixed-effects approach
  CO0888:  A. Horvath, N. Hautsch
  NASDAQ trading pauses: Pacifiers or amplifiers
Session CO518 Room: MAL B36
Financial volatility and covariance modelling Sunday 13.12.2015   08:45 - 10:25
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  CO0784:  B. Sanhaji, S. Laurent
  Generalized dynamic conditional score model
  CO1005:  S.S. Ozturk, T. Stengos
  A multivariate stochastic volatility model applied to a panel of S$\&$P500 stocks in different industries
  CO0622:  C. Pakel, K. Sheppard, N. Shephard, R. Engle
  Fitting vast dimensional time-varying covariance models
  CO0759:  G. Sucarrat, C. Francq
  Equation-by-equation estimation of a multivariate log-GARCH-X model of financial returns
Session CO544 Room: MAL B33
Modelling and computation in macro-econometrics Sunday 13.12.2015   08:45 - 10:25
Chair: Eric Eisenstat Organizer: Eric Eisenstat
  CO0672:  F. Ravazzolo, C. Foroni, P. Ribeiro
  Forecasting commodity currencies: The role of fundamentals with short-lived predictive content
  CO1056:  E. Eisenstat, F. Carmignani, R. Strachan, R. Tourky
  Estimation of continuous piecewise linear models using Bayesian clustering
  CO0879:  R. Strachan, E. Eisenstat, J. Chan
  Reduced sources of error in time-varying parameter models
Session CO639 Room: MAL G15
Nowcasting and forecasting under uncertainty III Sunday 13.12.2015   08:45 - 10:25
Chair: Boriss Siliverstovs Organizer: Gian Luigi Mazzi
  CO0293:  B. Siliverstovs
  Short-term forecasting with mixed-frequency data: An appraisal of supervised factor and shrinkage methods
  CO1183:  N. Fawcett, A. Harvey, M. Weale
  Nowcasting and forecasting with heavy tails in macroeconomics
  CO1316:  B. van Roye
  The Bayesian estimation, analysis and regression toolbox for forecasting and policy analysis
  CO1174:  R. Scheufele
  On the use real-time data to evaluate macroeconomic forecasting indicators
Session CG469 Room: MAL 541
Contributions in DSGE modelling Sunday 13.12.2015   08:45 - 10:25
Chair: Luca Fanelli Organizer: CFE
  CC0300:  T. Kano
  Exchange rates and fundamentals: Closing a two-country model
  CC1793:  D. Koursaros
  Learning expectations using multi-period forecasts
  CC1717:  L. Fanelli, G. Angelini
  Bootstrapping DSGE models
Session CG499 Room: MAL 540
Contributions on financial time series and risk premia Sunday 13.12.2015   08:45 - 10:25
Chair: Philip Hans Franses Organizer: CFE
  CC1319:  S. Mouabbi, A. Carriero, E. Vangelista
  UK term structure decompositions at the zero lower bound
  CC1400:  F. Casalin
  Size and power of tests based on permanent-transitory component models
  CC1626:  R. Ellwanger
  On the tail risk premium in the crude oil futures market
  CC1655:  N. Baltas, D. Karyampas
  Forecasting the equity risk remium: The ups and the downs
Session CG551 Room: MAL 539
Contributions on portfolio selection Sunday 13.12.2015   08:45 - 10:25
Chair: Chulwoo Han Organizer: CFE
  CC1697:  F. Lautizi
  Dynamic shrinkage estimates for portfolio selection
  CC1703:  S. Broda, M. Paolella, J. Krause
  Approximating expected shortfall for heavy tailed distributions
  CC1539:  S. Arvanitis, T. Post, M. Hallam
  Stochastic spanning
  CC1094:  F. Guidi
  Time varying integration and diversification strategies: The case of emerging and frontier stock markets
Parallel session H: CFE Sunday 13.12.2015 10:55 - 13:00

Session CI022 Room: Beveridge Hall
Special session on modelling heteroskedasticity Sunday 13.12.2015   10:55 - 13:00
Chair: Liudas Giraitis Organizer: Liudas Giraitis
  CI0466:  T. Terasvirta
  Testing and modelling the unconditional variance component in multiplicative time-varying GARCH models
  CI0613:  L. Giraitis, V. Dalla, P.C. Phillips
  Testing for mean stability of heteroskedastic time series
  CI1544:  D. Kristensen, H. Han
  A semiparametric multiplicative GARCH-X model: Adopting economic variables to explain volatility
Session CO286 Room: G21A
Financial time series Sunday 13.12.2015   10:55 - 13:00
Chair: Melanie Schienle Organizer: Kyusang Yu, Melanie Schienle
  CO1155:  T. Lee, C. Park
  Test for serial correlation in mean and variance of a sequence of time series objects
  CO0939:  J. Jeon, J. Taylor
  ARMA-GARCH models and kernel density estimation for short-term density forecasting of wave energy
  CO0923:  P. Malec, M. Schienle
  A Semiparametric Intraday GARCH-X Model
  CO1293:  N. Parolya, N. Hautsch, T. Bodnar
  Consistent estimation of the high dimensional efficient frontier
  CO1281:  C. Bormann, M. Schienle
  Testing against asymmetry between tail dependence functions of financial data
Session CO358 Room: Gordon
Numerical methods and estimation of DSGE models Sunday 13.12.2015   10:55 - 13:00
Chair: Martin M Andreasen Organizer: Martin M Andreasen
  CO0411:  G. Lombardo, H. Uhlig
  A theory of pruning
  CO0445:  W. Mutschler
  Identification of DSGE models: The effect of higher-order approximation and pruning
  CO0547:  K. Schmedders, O. Wilms, W. Pohl
  Higher-order dynamics in asset-pricing models with recursive preferences
  CO0473:  A. Binning
  Solving second and third-order approximations to DSGE models: A recursive Sylvester equation solution
  CO1266:  K. Jorgensen, M.M. Andreasen
  Short run consumption risks in the long run risk model
Session CO360 Room: Montague
Estimation and inference in long memory processes Sunday 13.12.2015   10:55 - 13:00
Chair: Josu Arteche Organizer: Josu Arteche
  CO0482:  C. Velasco
  Bias-free estimation of fractional integrated panel data models
  CO0527:  P. Rodrigues, A. Rubia, M. Demetrescu
  Testing the fractionally-integrated hypothesis with $k-$step $M-$estimators
  CO0307:  V.A. Reisen
  Robust spectral estimators for long-memory processes
  CO1636:  S. Peiris, M. Asai
  Generalized fractional stochastic volatility models
  CO0369:  J. Arteche
  Optimal bandwidth selection in local Whittle estimation
Session CO364 Room: Court
Measuring systemic risk Sunday 13.12.2015   10:55 - 13:00
Chair: Monica Billio Organizer: Monica Billio
  CO0288:  M. Billio, M. Costola, R. Casarin, A. Pasqualini
  An entropy-based early warning indicator for systemic risk
  CO0304:  R. Panzica, M. Billio, M. Caporin, L. Pelizzon
  The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
  CO0301:  C. Hurlin
  Where the risks lie: A survey on systemic risk
  CO0338:  D. Bianchi, M. Billio, R. Casarin, M. Guidolin
  Modeling contagion and systemic risk
  CO1180:  S. Straetmans
  Financial crises, crises spillovers and the business cycle
Session CO376 Room: Bloomsbury
Quantile regression in finance and economics Sunday 13.12.2015   10:55 - 13:00
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  CO0337:  M. Caporin, G. Bonaccolto, R. Gupta
  Oil returns conditional quantiles and uncertainty indexes: Causality and forecasting implications
  CO0431:  G. Bonaccolto, M. Caporin, S. Paterlini
  Asset allocation strategies based on penalized quantile regression
  CO0552:  M. Risse, C. Pierdzioch, S. Rohloff
  A Quantile-Boosting Approach to Forecasting Gold Returns
  CC1028:  T. Dimitriadis, R. Halbleib
  Estimating daily financial quantiles by means of high-frequency data: A scaling method approach
  CO0934:  L.F. Martins
  Revisiting the public debt-growth relationship using threshold quantile regression
Session CO382 Room: Chancellor's Hall
New developments in financial time series analysis Sunday 13.12.2015   10:55 - 13:00
Chair: Yasuhiro Omori Organizer: Cathy W-S Chen
  CO0286:  H. Shiraishi, Z. Lu
  Statistical estimation for optimal dividend barrier with insurance portfolio
  CO0548:  C.S.H. Wang
  On the need of estimating the parameters of GARCH models
  CO0742:  T. Watanabe, M. Ubukata
  Stock return predictability of the market variance risk premium in Japan
  CO0974:  C. Forbes, Z. Liu
  Bayesian restricted likelihood-based instrumental variables regression
  CO0847:  Y. Omori, Y. Yamauchi
  Multivariate realized stochastic volatility with dynamic pairwise correlations
Session CO386 Room: Senate
Indirect inference and related methods Sunday 13.12.2015   10:55 - 13:00
Chair: Veronika Czellar Organizer: Veronika Czellar
  CO1169:  C. Gourieroux, J. Jasiak
  Misspecification of causal and noncausal orders in autoregressive processes
  CO0213:  D. Veredas, H. Fallahgoul, F. Fabozzi
  Quantile-based inference for tempered stable distributions
  CO0884:  F. Le Grand, V. Czellar
  Estimating the role of limited participation in the joint behavior of asset prices and individual consumptions
  CO1150:  J. Rousseau, E. Gassiat, E. Vernet, K. Mengersen
  Nonparametric mixture models and HMMS
  CO0245:  F. Pelgrin, A. Guay
  A reliable and testable alternative to long-run restrictions in structural VAR models
Session CO408 Room: SH349
Monitoring and tracking dependence Sunday 13.12.2015   10:55 - 13:00
Chair: Oliver Grothe Organizer: Oliver Grothe
  CO0334:  D. Wied, H. Dette
  Detecting relevant changes in time series models
  CC1111:  H. Manner, M. Koesler
  Testing for Cojumps: A multivariate coexceedance-based approach
  CC1119:  C. Schellhase, G. Kauermann, J. Schnurbus
  D-Vines estimation for mixed data using penalized splines
  CO0292:  T. Eckernkemper
  Modeling systemic risk: Time-varying tail dependence when forecasting marginal expected shortfall
Session CO448 Room: Jessel
Macroeconomic uncertainty and policy Sunday 13.12.2015   10:55 - 13:00
Chair: Wojciech Charemza Organizer: Wojciech Charemza, Svetlana Makarova
  CO0589:  C. Conrad
  When information on forecast uncertainty improves the performance of a combined forecast
  CO0607:  A. Meinusch
  Quantitative easing and tapering uncertainty: Evidence from Twitter
  CO0727:  G. Kenny
  Understanding the role of uncertainty in the Euro area business cycle
  CO0831:  P. Eckley
  Measuring economic uncertainty using news-media textual data
  CO0876:  S. Makarova
  ECB footprints on the inflation forecast uncertainty
Session CO504 Room: Torrington
Regime switching, filtering, and portfolio optimization Sunday 13.12.2015   10:55 - 13:00
Chair: Joern Sass Organizer: Joern Sass
  CO0386:  M. Szoelgyenyi
  Dividend maximization under changing economic environment and partial information
  CO0475:  J. Reynolds
  Crisis, Regulation, and Co-Movements in Equity Liquidity
  CO0476:  K. Poetzelberger
  The consistency of estimators of the dimension of factors: Box-counting, local and quantization estimators
  CO0538:  L. Veraart, A. Gandy
  A Bayesian methodology for systemic risk assessment in financial networks
  CO0950:  C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, T. Sayer
  Investment strategies within a regime switching model for asset returns
Session CO516 Room: Athlone
Risk and volatility modelling Sunday 13.12.2015   10:55 - 13:00
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  CO0615:  A. Preminger, C. Hafner
  The effect of additive outliers on fractional unit root tests
  CO0776:  M. Marchese, P. Zaffaroni
  Whittle estimation of multivariate exponential volatility models with long memory
  CO1256:  N.S. Hansen, K.V. Olesen, A. Lunde, H. Vander Elst
  Realizing commodity correlations
  CO1332:  G. Storti, P. Coretto, M. La Rocca
  Robust clusterwise autoregressive conditional heteroskedasticity
Session CO576 Room: Bedford
Nonstationary time series and panels Sunday 13.12.2015   10:55 - 13:00
Chair: Stephan Smeekes Organizer: Stephan Smeekes
  CO0315:  R. Van den Akker, B. Zhou, B. Werker
  Semiparametrically optimal hybrid rank tests for unit roots
  CO0636:  S. Reese, J. Westerlund, H. Karabiyik
  On the role of the rank condition in CCE estimation of factor-augmented panel regressions
  CO1534:  E. Wijler, S. Smeekes
  A comparative study on forecasting performance of high-dimensional time series methods
  CO1709:  J.-P. Urbain, P. Pedroni
  Nonlinear heterogeneity in cointegrated panels
  CC1699:  J.L. Carrion-i-Silvestre, A. Banerjee
  Testing for panel cointegration using common correlated effects estimators
Session CO584 Room: Holden
Empirical macroeconomics Sunday 13.12.2015   10:55 - 13:00
Chair: Daniel Kaufmann Organizer: Daniel Kaufmann
  CO0211:  J. Kotlowski, A. Halka
  Global or domestic: Which shocks drive inflation in European small open economies
  CO0883:  M. Gubler, G. Baeurle
  Monetary policy, exchange rates and global inflation spillovers to Switzerland: An investigation with disaggregate data
  CO0403:  J. Crespo Cuaresma, F. Huber, M. Feldkircher, G. Doppelhofer
  Tracking the global transmission dynamics of US monetary policy
  CO0397:  G. Kastner
  Dealing with dynamic covariances in high-dimensional time series: A Bayesian approach
  CC1395:  F. Huber, D. Kaufmann
  Trend fundamentals and exchange rate dynamics
Session CO641 Room: Woburn
Modelling and forecasting cyclical fluctuations II Sunday 13.12.2015   10:55 - 13:00
Chair: Josef Hollmayr Organizer: Gian Luigi Mazzi
  CO0254:  C. Christiansen, N. Aslanidis, C. Savva, N. Lambertides
  Idiosyncratic volatility puzzle: Influence of macro-finance factors
  CO0262:  F. Zhang, R. Garcia-Saltos, P. Blagrave
  A simple multivariate filter for estimating potential output
  CO0280:  S. Pollock
  Oversampling of stochastic processes
  CO0346:  J. Hollmayr, M. Kuehl
  Learning about banks' net worth and the slow recovery after the crisis
  CO0716:  A. Banerjee, I. Masten, M. Marcellino
  An overview of the factor-augmented error-correction model
Session CP002 Room: Macmillan Hall and Crush Hall
Poster Session Sunday 13.12.2015   10:55 - 13:00
Chair: Stella Hadjiantoni Organizer: CFE
  CP0186:  J. Voelzke
  Individual labour income, stock prices and who it may concern
  CP1159:  A. Czapkiewicz, P. Jamer, J. Landmesser
  Time-varying transition probabilities for Markov switching copula models
  CP1505:  R. Hendrych
  Robustified sequential estimation of GARCH processes
  CP1518:  T. Wojtowicz
  Intraday long-term linkages on European stock markets
  CP1618:  T. Weigt
  A new forecast combination approach using large time-varying VARs applied to a seven-country data set
  CP1693:  X. Xia
  Measuring systemic risk in the European banking system: A copula approach
  CP1700:  F. Cech, J. Barunik
  Measurement of common risk factors: A panel quantile regression models for returns and volatility
  CP1772:  L. Hanus, L. Vacha
  A wavelet-based time-varying co-integration model
  CP1562:  E. Petersen
  The stock price effect of Apple keynotes
  CP1648:  C. Kispert
  The effect of regulation on Bitcoin
  CC1629:  R. Hennani
  Nonlinear interdependencies or contagions phenomenons between the main European stock market indices
  CC1204:  O. Tapiero
  Intraday asset risk pricing: An integer autoregressive model
Parallel session I: CFE Sunday 13.12.2015 14:30 - 16:10

Session CI020 Room: Beveridge Hall
Special session on advances in dynamic factor analysis Sunday 13.12.2015   14:30 - 16:10
Chair: Christopher Otrok Organizer: Christopher Otrok
  CI0441:  C. Otrok
  Time-varying spillovers
  CI0446:  H. Mumtaz
  Common and country specific economic uncertainty
  CI1824:  M. Owyang
  Forecasting fed funds target changes
Session CO356 Room: G21A
Modelling and forecasting temporal data Sunday 13.12.2015   14:30 - 16:10
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  CO1176:  F. Forte, M. Niglio
  Markov switching autoregressive forecasts: Symmetric or asymmetric loss functions
  CO1712:  G. De Luca, G. Gallo
  Mixture memory models for realized volatility
  CO1047:  L. Vacha, J. Barunik
  Realized wavelet-based estimation of integrated covariance and co-jumps in the presence of noise
  CO1223:  W. Distaso, V. Corradi, D. Alifano
  Robust portfolio sorts
Session CO368 Room: Chancellor's Hall
Bootstrap methods for time series Sunday 13.12.2015   14:30 - 16:10
Chair: Peter Boswijk Organizer: Peter Boswijk
  CO0892:  L. De Angelis, G. Cavaliere, R. Taylor, P. Boswijk
  Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
  CO1230:  P. Boswijk
  Wild bootstrap methods for heteroskedastic times series with leverage
  CO1259:  R. Taylor, S. Leybourne, D. Harvey
  Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
  CO1368:  A. Rahbek, G. Cavaliere, H.B. Nielsen
  Bootstrap applied to ARCH models
Session CO380 Room: Court
Bayesian nonlinear econometrics Sunday 13.12.2015   14:30 - 16:10
Chair: Roberto Casarin Organizer: Roberto Casarin
  CO0519:  J. Maheu, A. Shamsi Zamenjani
  Nonparametric conditional Beta
  CO0675:  M. Marcellino, R. Casarin, C. Foroni, F. Ravazzolo
  Bayesian panel Markov-switching model with mixed data sampling
  CO0842:  L. Rossini, R. Casarin, M. Billio
  Bayesian nonparametric sparse seemingly unrelated regression model
  CO1211:  N. Basturk, H. van Dijk
  Bayesian estimation of multimodal density features applied to DNA and economic data
Session CO384 Room: Senate
Multivariate methods for economic and financial time series Sunday 13.12.2015   14:30 - 16:10
Chair: Gianluca Cubadda Organizer: Gianluca Cubadda
  CO0465:  A. Hecq, T. Goetz, L. Lieb
  Real time mixed frequency VARs: Nowcasting, backcasting and Granger causality
  CO0582:  S. Fachin, F. Di Iorio, C. Ciccarelli
  Industrial development in the Italian regions, 1861-1913: New evidence
  CO0891:  H. Hong, S. Ahn, S. Cho
  Adjustments of the effects of measurement errors using instrumental variables and mixed-models in cointegration analysis
  CO1686:  Y. Shapovalova, M. Eichler
  Volatility spillovers with multivariate stochastic volatility models
Session CO396 Room: Gordon
Wavelet methods in economics Sunday 13.12.2015   14:30 - 16:10
Chair: Marco Gallegati Organizer: Marco Gallegati
  CO0569:  F.N. Andersson, S. Opper
  Firm ownership and provincial CO2-emissions in China
  CO0796:  J. Bruzda
  Wavelet-based factor pricing and measurement of macroeconomic risks
  CO1004:  M. Gallegati
  Long waves in external imbalances, credit growth and asset prices: An historical perspective on global financial crisis
  CO1794:  M. Scharnagl, M. Mandler
  The relationship of simple sum and Divisia monetary aggregates with real GDP and inflation: A wavelet analysis for US
Session CO426 Room: Holden
Common features in macroeconomics and finance Sunday 13.12.2015   14:30 - 16:10
Chair: Joao Victor Issler Organizer: Joao Victor Issler
  CC0365:  J. Gonzalo, J.J. Dolado, L. Chen
  Quantile factor models
  CO1436:  O. Guillen, W. Gaglianone
  Local unit root and inflationary inertia in Brazil
  CO1381:  W. Gaglianone, J. Marins
  Risk assessment of the Brazilian FX rate
  CO1437:  J.V. Issler, A.M. de Castro
  Consumption-wealth ratio and expected stock returns: Evidence from panel data on G7 countries
Session CO476 Room: Jessel
Empirical macro-finance Sunday 13.12.2015   14:30 - 16:10
Chair: Cesare Robotti Organizer: Serena Ng
  CO0757:  K. Hubrich
  Monetary and financial stability policy: Unconventional monetary policy, leverage and financial stress
  CO0827:  J.-J. Forneron, S. Ng
  A likelihood-free reverse sampler of the posterior distribution
  CO0861:  C. Robotti, V. Raponi, P. Zaffaroni
  Two-pass cross-sectional regressions with individual stocks
  CO0826:  J.C. Wu, D. Creal
  Interest rate uncertainty and economic fluctuations
Session CO480 Room: SH349
Advances in financial forecasting Sunday 13.12.2015   14:30 - 16:10
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  CO0357:  A. Vivian, S. Jordan, M. Wohar
  Forecasting market returns: Bagging or combining
  CO0986:  E. Mitrodima, J. Griffin, J. Oberoi
  A Bayesian non-parametric multiple quantile model for forecasting the asset return distribution
  CO1118:  E. Panopoulou, I. Vrontos, S. Vrontos, L. Meligkotsidou
  Quantile forecast combinations in realised volatility prediction
Session CO500 Room: Torrington
Volatility models Sunday 13.12.2015   14:30 - 16:10
Chair: Eduardo Rossi Organizer: Eduardo Rossi
  CO0652:  X. Yao, M. Izzeldin
  A Modified fractionally co-integrated VAR for predicting returns
  CO0996:  K. Christensen, M. Podolskij, B. Veliyev, N. Thamrongrat
  Inference from high-frequency data: A subsampling approach
  CO0995:  P. Santucci de Magistris, F. Violante, A. Barletta
  Retrieving risk-neutral densities embedded in VIX options: A non-structural approach
  CO1258:  X. Li, M. Tsionas, M. Izzeldin
  Measuring financial contagion: A multivariate stochastic volatility approach
Session CO522 Room: Montague
Topics in multiple time series analysis Sunday 13.12.2015   14:30 - 16:10
Chair: Carsten Trenkler Organizer: Carsten Trenkler
  CO0800:  R. Brueggemann, J. Breitung
  Projection estimators for structural impulse responses
  CO1016:  C. Jentsch, M. Meyer, A. Leucht, C. Beering
  Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
  CO0755:  C. Kascha
  Specification of ARMA: Models with the adaptive lasso
  CO0817:  C. Trenkler, C. Kascha
  Forecasting VARs, model selection, and shrinkage
Session CO536 Room: Bedford
Financial conditions indices Sunday 13.12.2015   14:30 - 16:10
Chair: Garry Young Organizer: Garry Young, Simon Price
  CO0267:  G. Young, S. Price, G. Kapetanios
  A financial conditions index using targeted data reduction
  CO0544:  A. Galvao, M. Owyang
  Financial stress regimes and the macroeconomy
  CO0932:  S. Brave, A. Butters
  A high frequency measure of U.S. GDP with application to financial conditions indexes
  CO1220:  H. Balfoussia, H. Gibson
  Financial conditions in the Euro area: A narrative of the crisis and its consequences for the real economy
Session CO558 Room: Bloomsbury
Behavioural and emotional finance: Theory and evidence I Sunday 13.12.2015   14:30 - 16:10
Chair: Richard Fairchild Organizer: Richard Fairchild
  CO1122:  E.M. Cervellati, P. Pattitoni, M. Savioli
  Entrepreneurial under diversication, over optimism and overcondence: Theory and evidence
  CO1027:  K. Kaivanto
  Visceral emotions, within-community communication and (ill-judged) endorsement of financial propositions
  CO0906:  G. Mallard
  Decision-making: Conceptual levels of examination
  CO0804:  O. Marnet
  Joint audit, competence, independence, judgement, scepticism, bias mitigation, audit quality
Session CO586 Room: Woburn
Volatility models and their applications Sunday 13.12.2015   14:30 - 16:10
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  CO0977:  M. Takahashi
  Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
  CO1232:  L. Gruber, M. West
  Dynamic Bayesian forecasting of multivariate volatilities and portfolio decisions
  CO1234:  Y. Kurose, Y. Omori
  Dynamic block-equicorrelation, realized stochastic volatility and cross leverage
  CO1287:  T. Ishihara
  Realized stochastic volatility model with multiple realized measures
  CO1849:  A. Portela Santos, G. Moura, J. Caldeira, F.J. Nogales
  Combining multivariate volatility forecasts: An economic-based approach
Session CC025 Room: Athlone
Contributions in panel data Sunday 13.12.2015   14:30 - 16:10
Chair: Josep Lluis Carrion-i-Silvestre Organizer: CFE
  CC1440:  L.A. Arteaga Molina, J.M. Rodriguez-Poo
  Empirical likelihood-based inference for categorical varying coefficient panel data models with fixed effects
  CC1509:  J. Murteira, M. Augusto
  Hurdle models of repayment behaviour in personal loan contracts
  CC1821:  D. Tsouknidis, M. Kavussanos
  Corporate social responsibility performance and firm performance in the global shipping industry
  CC1741:  R. Ouysse
  Shrinkage PCA for efficient estimation of large approximate factor models
Parallel session J: CFE Sunday 13.12.2015 16:40 - 18:20

Session CO374 Room: MAL 415
Non-linear time series models Sunday 13.12.2015   16:40 - 18:20
Chair: Alessandra Canepa Organizer: Alessandra Canepa
  CO1192:  A. Canepa
  Dynamic asymmetries in house price cycles: A generalized smooth transition model
  CC1829:  F. Khaled
  Mortage default, property price and banks lending behaviour in Hong Kong SAR
  CO1832:  Y. Wang
  Bank lending and house price: The Hong Kong experience
  CC1667:  E. Rossi
  Stock market volatility and economic variables: A nonlinear approach
Session CO414 Room: MAL B34
Density regression, tree models, and variable selection Sunday 13.12.2015   16:40 - 18:20
Chair: Carlos Carvalho Organizer: Richard Hahn
  CO0601:  C. Carvalho, R. Hahn
  Shrinkage estimation of treatment effects: Dealing with many controls
  CO0629:  J. Scott
  Multiscale spatial density smoothing
  CO1215:  C. Hans
  Block hyper-$g$ priors in Bayesian regression
  CO1285:  J. Murray
  Density regression with Bayesian additive regression trees
Session CO432 Room: MAL B30
Volatility modelling in financial markets Sunday 13.12.2015   16:40 - 18:20
Chair: Menelaos Karanasos Organizer: Menelaos Karanasos
  CO1236:  F. Menla Ali
  Exchange rate volatility and emerging market portfolio flows
  CO1240:  P. Koutroumpis, M. Karanasos, Y. Karavias
  Inflation convergence in the EMU and the link between inflation differentials and their uncertainty
  CO1804:  M. Karanasos, F. Menla Ali
  Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
  CO1841:  E. Noikokyris, M. Karanasos, G. Chortareas
  Stock markets response to MPC unconventional monetary policy
Session CO458 Room: MAL G15
Modelling and forecasting cyclical fluctuations I Sunday 13.12.2015   16:40 - 18:20
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0243:  L. Gadea
  The Great Moderation in historical perspective: Is it that great?
  CO0265:  A. Karalis Isaac
  The low-variance, high-risk economy: Lessons from the higher moments of MSI-VARs
  CO0705:  J.-C. Martinez-Ovando
  Nested dynamic factor modeling: A coherent approach to measure national and state coincident indexes
  CO0854:  G.L. Mazzi, J. Anas, M. Billio, L. Cales
  Combining composite indicators and advanced graphical tools for monitoring Euro area and member states cycles
Session CO540 Room: MAL B35
Econometrics of dynamic portfolios and risk Sunday 13.12.2015   16:40 - 18:20
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  CO0507:  G. Roussellet
  Real uncertainty and the zero lower bound
  CO0511:  C. Francq
  Filtered historical simulations for estimating the conditional risk of a dynamic portfolio
  CO1369:  B. Moritz, T. Zimmermann
  Deep conditional portfolio sorts
  CO0782:  B. Holcblat
  On the empirical saddlepoint approximation with application to asset pricing
Session CO552 Room: MAL B33
Applied econometrics Sunday 13.12.2015   16:40 - 18:20
Chair: Michael Owyang Organizer: Tatevik Sekhposyan, Michael Owyang
  CO0356:  M. Owyang, E. Ghysels
  Taylor type monetary policy rules with financial market expectations
  CO0546:  A. Galvao, G. Kapetanios, A. Carriero
  A comprehensive evaluation of macroeconomic forecasting methods
  CO0564:  I. Petrella, D. Delle Monache, F. Venditti
  Adaptive state space models
  CO1058:  T. Sekhposyan, M. McCracken, M. Owyang
  Real-time forecasting with a large, mixed frequency, Bayesian VAR
Session CO554 Room: MAL 414
Mixed-frequency time series Sunday 13.12.2015   16:40 - 18:20
Chair: J Isaac Miller Organizer: J Isaac Miller
  CO0325:  J.I. Miller
  Simple robust tests for the specification of high-frequency predictors of a low-frequency series
  CO0461:  Y. Murasawa
  The Beveridge-Nelson decomposition of mixed-frequency series
  CO0618:  T. Goetz, K. Hauzenberger
  Time-varying mixed-frequency vector autoregressive models
  CO0781:  M. Chambers
  The estimation of continuous time models with mixed frequency data
Session CO562 Room: MAL B20
Recent advances in Bayesian computational methods Sunday 13.12.2015   16:40 - 18:20
Chair: Gael Martin Organizer: Gael Martin
  CO0295:  M. Quiroz, M. Villani, R. Kohn
  Fast and efficient MCMC for large data problems using data subsampling and the difference estimator
  CO1282:  C. Robert, M. Banterle, C. Grazian, A. Lee
  Accelerating Metropolis-Hastings algorithms by delayed acceptance
  CO0157:  D. Frazier, G. Martin, C. Robert
  On consistency of approximate Bayesian computation
  CO1187:  J. Ridgway, N. Chopin, P. Alquier
  On the properties of variational approximations of Gibbs posteriors
Session CO657 Room: MAL B36
Regime change modeling in economics and finance II Sunday 13.12.2015   16:40 - 18:20
Chair: Marco Gross Organizer: Willi Semmler
  CO1123:  J. Kukacka, J. Barunik
  Simulated ML estimation of a financial agent-based herding model
  CO1345:  W. Semmler, M. Gross
  Convex Phillips curves: Literature review, a theoretical model and an empirical analysis for the Euro area
  CO1386:  T. Ferraresi, W. Semmler, A. Roventini
  Macroeconomic regime switching and technological change
  CO0969:  F. Jawadi, A. Idi cheffou, B.A. Hachmi, L. Wael
  On the instability of the market beta: A three regime threshold GARCH model
Session CC030 Room: MAL 541
Constributions in financial applications Sunday 13.12.2015   16:40 - 18:20
Chair: Michael Rockinger Organizer: CFE
  CC1576:  M.C. Iannino, S. Zhuk
  Estimating nominal share price preferences
  CC1786:  K. Leszkiewicz-Kedzior, P. Keblowski, A. Welfe
  The foreign exchange market, the U.S. dollar and the oil price in an open medium-sized economy
  CC1113:  A. Temizsoy, G. Iori, G. Montes-Rojas
  Importance of network positioning in the interbank market
  CC1570:  G. Strasser, A. Sancetta, A. Kurov, M. Halova Wolfe
  Price drift before U.S. macroeconomic news: On private information about public announcements
Session CG349 Room: MAL 539
Contributions on time-vaying parameters and Kalman filter Sunday 13.12.2015   16:40 - 18:20
Chair: Rodney Strachan Organizer: CFE
  CC0269:  D. Rambaccussing
  Present value of houses: A state space approach
  CC1388:  M. van der Schans
  Time-dependent Black-Litterman
  CC1753:  E. Zanetti Chini, L. Rossi
  Firm's dynamics and business cycle: New disaggregated data
Session CG353 Room: MAL 402
Contributions on time series Sunday 13.12.2015   16:40 - 18:20
Chair: Carlos Velasco Organizer: CFE
  CC0281:  G. Liu-Evans, G. Phillips
  Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
  CC1438:  A. Staszewska-Bystrova, H. Luetkepohl, P. Winker
  Calculating joint bands for impulse response functions using highest density regions
  CC1473:  C. Weiser, F. Heiss
  Efficient deterministic filtering for state-space models
  CC1611:  J. Barunik, T. Kley
  Quantile cross-spectral measures of dependence between economic variables
Session CG377 Room: MAL 421
Contributions on quantile regression in finance and economics Sunday 13.12.2015   16:40 - 18:20
Chair: Matthew Harding Organizer: CFE
  CC1184:  X. Meng, J. Taylor
  Improving accuracy of value at risk estimation using intra-day data
  CC1563:  K. Kuck, R. Maderitsch
  The quantile-heterogenous autoregressive model of realized volatility: Evidence from commodity markets
  CC1707:  G. Kobayashi
  Bayesian endogenous Tobit quantile regression
  CC1371:  K. Avdulaj, J. Barunik
  A copula quantile approach to conditional Value-at-Risk estimation
Session CG493 Room: MAL 540
Contributions on VaR and extreme value theory Sunday 13.12.2015   16:40 - 18:20
Chair: Stefan Straetmans Organizer: CFE
  CC0989:  F. Gresnigt, P.H. Franses
  Specification testing in Hawkes models
  CC1419:  L. Trapin, M. Bee, D. Dupuis
  Realized Peaks-Over-Threshold: A high-frequency extreme value approach for financial time series
  CC1672:  P. Grau, L.M. Doncel, J. Sainz
  Forecasting Value-at-Risk for BRIC financial markets using high quantile estimation methods
  CC0178:  L.F. Melo Velandia, A. Jimenez
  Modeling conditional skewness and kurtosis: A VaR application
Session CG533 Room: MAL B29
Contributions on systemic risk Sunday 13.12.2015   16:40 - 18:20
Chair: Christophe Hurlin Organizer: CFE
  CC1679:  H. Dakhli
  Systemic risk in the American financial system: A view from the top
  CC1557:  M. Escalera, W. Tarrant
  Sovereign adaptive risk modeling
  CC1467:  M. Pelger
  Large-dimensional factor modeling based on high-frequency observations
  CC1760:  G. Sher
  Measuring nominal yield risk
Parallel session L: CFE Monday 14.12.2015 08:30 - 10:10

Session CO350 Room: MAL 539
Financial econometrics Monday 14.12.2015   08:30 - 10:10
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  CO0462:  M. Lof, H. Nyberg
  Noncausality and the commodity currency hypothesis
  CO0518:  N. Ahlgren, P. Catani
  Finite-sample multivariate tests for ARCH in vector autoregressive models
  CO1126:  V. Gunnella
  The expectation hypothesis of the term structure of very short-term rates: Evidence from a new testing approach
  CO0630:  A. Jach
  International stock market comovement outlined with a thick pen
Session CO366 Room: MAL 632
Energy and macroeconomics Monday 14.12.2015   08:30 - 10:10
Chair: Hilde Bjornland Organizer: Hilde Bjornland
  CO1413:  K. Mohaddes, H. Pesaran
  Country-specific oil supply shocks and the global economy: A counterfactual analysis
  CO1412:  F.M. Nordvik, H. Bjornland
  Supply elasticity and drilling technology: Evidence from North Dakota
  CO1417:  K.A. Aastveit, R. Arezki, A. Matsumoto
  Oil news shocks, OPEC response and the macroeconomy
  CO1422:  I. Van Robays
  Forecasting the Brent oil price: Addressing time-variation in forecast performance
Session CO372 Room: MAL 402
Financial networks: systemic coevolution of financial systems Monday 14.12.2015   08:30 - 10:10
Chair: Fabio Caccioli Organizer: Fabio Caccioli, Tomaso Aste
  CO0649:  T. Di Matteo
  Application of filtered networks to Finance
  CO0820:  G. Ferrara, S. Langfield, Z. Liu, T. Ota
  Systemic liquidity risk in the interbank network
  CO0793:  G. Livan, M. Bardoscia, M. Marsili
  Complexity driven collapse of economic equilibria
  CO0866:  R. Mantegna
  Proximity-based networks and filtered networks in economic and financial systems
Session CO400 Room: MAL 532
Bayesian econometrics Monday 14.12.2015   08:30 - 10:10
Chair: Deborah Gefang Organizer: Deborah Gefang
  CO0463:  G. Li
  A Jacobian approach to solve the incidental parameter problem
  CO0612:  F. Krueger
  Combining density forecasts under various scoring rules: An analysis of UK inflation
  CO1073:  H. van Dijk, N. Basturk, L. Hoogerheide
  On the implications of time variation in reduced rank econometric models for Bayesian forecasting
  CO1313:  D. Gefang
  Asymmetric volatility spillovers between UK regional worker flows and vacancies
Session CO412 Room: MAL 541
Mixture models, identification, and independent components Monday 14.12.2015   08:30 - 10:10
Chair: Markus Haas Organizer: Markus Haas
  CO0887:  S. Mueller, M. Haas
  Normal mixture variance states for structural identification of FX market shocks
  CO0752:  J. Naef, M. Paolella, P. Polak, R.W. Butler
  Getting out of the COMFORT Zone: The MEXI distribution for asset returns
  CO0486:  J. Krause, M. Paolella, P. Polak
  Simulation-based method for portfolio optimization for copula models
  CO0726:  M. Haas
  Stochastic dominance criteria for normal mixture distributions
Session CO462 Room: MAL G15
Early warning system and systemic risk indicators II Monday 14.12.2015   08:30 - 10:10
Chair: Gregor von Schweinitz Organizer: Gian Luigi Mazzi
  CO0258:  G. von Schweinitz, P. Sarlin
  Optimizing policymakers' loss functions in crisis prediction: Before, within or after
  CO0790:  P. Giudici, L. Parisi
  Modeling sovereign risk with correlated stoschastic processes
  CO1038:  P. Cerchiello, P. Giudici
  An early warning model based on financial tweets data
  CO1202:  C. Proano, T. Strohsal, J. Wolters
  Characterizing the financial cycle: Evidence from a frequency domain analysis
Session CO492 Room: MAL B20
Analysis of extremes and dependence Monday 14.12.2015   08:30 - 10:10
Chair: Artem Prokhorov Organizer: Artem Prokhorov, Rustam Ibragimov
  CO0189:  R. Ibragimov, A. Prokhorov
  Fat tails and copulas: Limits of diversication revisited
  CO1270:  I. Medovikov, A. Prokhorov
  A new measure of vector dependence, with an application to financial contagion
  CO1678:  A. Prokhorov, Y. Zhu, E. Anderson
  Copula by triangulation, with application to tail dependence estimation
Session CO498 Room: MAL 633
Financial time series and risk premia Monday 14.12.2015   08:30 - 10:10
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  CO0234:  A. Dufays
  Semi-Markov multi-fractal volatility models
  CO0542:  C. Han
  A geometric treatment of time-varying volatilities
  CO1279:  R. Crevits, C. Croux
  Robust filtering in general state space models
  CO1411:  J. Olmo
  Nonlinear dynamics in the risk aversion coefficient of strategic investors
Session CO582 Room: MAL 421
RAstaNEWS special session on volatility and time series modeling Monday 14.12.2015   08:30 - 10:10
Chair: Christian Conrad Organizer: Christian Conrad
  CO1193:  K. Loch
  Time-varying volatility persistence and the business cycle
  CO1250:  M. Schienle, C. Liang
  Determination of vector error correction models in higher dimensions
  CC1168:  R. Baillie, G. Kapetanios, F. Papailias
  Inference for impulse response coefficients from multivariate fractionally integrated processes
  CO1660:  C. Morana, F.C. Bagliano
  A global perspective on the Great Moderation-Great Recession interconnection September 2015
Session CG019 Room: MAL 540
Contributions on bootstrap inference Monday 14.12.2015   08:30 - 10:10
Chair: Russell Davidson Organizer: CFE
  CC0882:  L. Camponovo
  On the validity of the pairs bootstrap for lasso estimators
  CC1409:  U. Hounyo
  Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
  CC1627:  B. Veliyev, U. Hounyo
  Validity of Edgeworth expansions for realized volatility estimators
  CC1031:  D. Grabowski, P. Winker, A. Staszewska-Bystrova
  Generating prediction bands for path forecasts from SETAR models
Parallel session M: CFE Monday 14.12.2015 10:40 - 11:55

Session CO052 Room: Jessel
High dimensional models and networks in macroeconomics and finance Monday 14.12.2015   10:40 - 11:55
Chair: Matteo Barigozzi Organizer: Matteo Barigozzi
  CO0487:  C. Brownlees, C. Hanse, E. Nualart
  Bank credit risk networks: Evidence from the Eurozone
  CO1581:  C. Lam, P. Souza
  Sparse adjustment for spatial weight matrix and applications in spatial econometrics
  CO0379:  V. Carvalho
  Supply chain disruptions: Evidence from the Great East Japan Earthquake
Session CO440 Room: Senate
Analysis of high-dimensional time series II Monday 14.12.2015   10:40 - 11:55
Chair: Marc Hallin Organizer: Marc Hallin, Marco Lippi
  CO0209:  M. Luciani, M. Barigozzi, M. Lippi
  Non-stationary dynamic factor models for large macroeconomic databases
  CO0253:  G. Becheri, R. Van den Akker
  Asymptotically UMP tests for unit roots in cross-sectionally dependent panels
  CO1239:  M. Lippi, M. Forni, A. Giovannelli, S. Soccorsi
  Dynamic factor models with infinite-dimensional factor space: Forecasting
Session CO472 Room: SH349
Nonregular panel data and time series models Monday 14.12.2015   10:40 - 11:55
Chair: Carla Moreira Organizer: Marcelo J Moreira
  CO0221:  J.D. Barbosa, M.J. Moreira
  Asymptotic analysis and efficiency of large dynamic panel models
  CO0251:  K. Jochmans
  Nonparametric estimation of non-exchangeable latent-variable models
  CO0474:  F. Kleibergen, M. Bun
  Identification and inference in moments based analysis of linear dynamic panel data models
Session CO474 Room: Torrington
Data science and platform design Monday 14.12.2015   10:40 - 11:55
Chair: Denis Nekipelov Organizer: Denis Nekipelov
  CO1605:  D. Nekipelov, J. Hartline, S. Chawla
  Mechanism design for data science
  CO1608:  T. Komarova, M. Gentry, P. Schiraldi
  Simultaneous first-price auctions with preferences over combinations: Identification, estimation and application
  CC0621:  A. Balter, A. Pelsser
  Robust stochastic optimisation with indistinguishable models
Session CO486 Room: Montague
Sequential Monte Carlo methods in econometrics Monday 14.12.2015   10:40 - 11:55
Chair: Michael Pitt Organizer: Michael Pitt
  CO1344:  D. Creal, J.C. Wu
  Bond risk premia in consumption-based models
  CO1359:  J. Stroud, M. Johannes
  Bayesian modeling and forecasting of high-frequency volatility
  CO1806:  R. Kohn, E. Mendes, C.K. Carter
  An extended space approach for particle Markov chain Monte Carlo methods
Session CO488 Room: Gordon
Filters wavelets and signals Monday 14.12.2015   10:40 - 11:55
Chair: Stephen Pollock Organizer: Stephen Pollock
  CO0762:  C. Rivero, J. del Hoyo, G. Llorente
  Testing for constant parameters in nonlinear models
  CO0860:  M. Wildi
  Mixing data of different sampling frequencies in the frequency domain
  CO1261:  T. Cesaroni
  The predictive content of business survey indicators: Evidence from SIGE
Session CO546 Room: Holden
Time-varying parameters Monday 14.12.2015   10:40 - 11:55
Chair: Matei Demetrescu Organizer: Matei Demetrescu
  CO0201:  D. Floro, B. van Roye
  Threshold Effects of Financial Stress on Monetary Policy Rules: A panel data analysis
  CO0434:  N. Salish
  Forecasting methods for functional time series
  CO1357:  M. Demetrescu
  Testing long memory under time-varying short memory parameters
Session CO643 Room: Athlone
Early warning system and systemic risk indicators III Monday 14.12.2015   10:40 - 11:55
Chair: Benjamin Klaus Organizer: Gian Luigi Mazzi
  CO0268:  R. Vermeulen
  Leading indicators of financial stress: New evidence
  CO0296:  B. Klaus, T. Duprey, T. Peltonen
  Dating systemic financial stress episodes in the EU countries
  CO1225:  A. Kornprobst, R. Douady
  A practical approach to financial crisis indicators based on random matrices
Session CO659 Room: Bloomsbury
Behavioural and emotional finance: Theory and evidence II Monday 14.12.2015   10:40 - 11:55
Chair: Richard Fairchild Organizer: Richard Fairchild
  CO1158:  M. Alsharman, R. Fairchild
  The role of immediate emotions in investment decisions
  CO1209:  R. Fairchild
  From behavioural to emotional corporate finance: A new research direction
  CO0635:  X. Chen
  On corporate bond market liquidity
Session CG555 Room: Bedford
Contributions on GARCH models Monday 14.12.2015   10:40 - 11:55
Chair: Roderick McCrorie Organizer: CFE
  CC1492:  J. Wu
  Mixed-frequency multivariate GARCH
  CC1471:  C. Tudor
  The volatility of conditional correlation in multivariate GARCH models
  CC1597:  Y. Zhang, A. Dias
  On volatility persistence and structural breaks
Parallel session O: CFE Monday 14.12.2015 14:30 - 15:50

Session CC024 Room: G21A
Contributions in financial econometrics Monday 14.12.2015   14:30 - 15:50
Chair: Florian Ielpo Organizer: CFE
  CC1219:  C. Wang, R. Gerlach
  Realized-CARE for tail risk forecasting with range and realized measures
  CC1455:  M. Akinyemi, C. Adedoyin
  Evaluating credit worthiness in a non credit culture society
  CC1666:  M. Rockinger, E. Jondeau
  Optimal long-term allocation with pension fund liabilities
  CC1590:  F. Ielpo, L.-N. Boon
  An anatomy of global risk premiums
Session CC027 Room: Montague
Contributions in Bayesian econometrics Monday 14.12.2015   14:30 - 15:50
Chair: Tom Shively Organizer: CFE
  CC1524:  B. Marquier
  Bayesian cointegration using a singular distribution on the long-run relations matrix
  CC1434:  R.S.W. Chung, M. So
  Approximate Bayesian inference with pseudo-likelihood
  CC0207:  M. Scharth, E. Mendes, R. Kohn
  Markov interacting importance samplers
Session CC029 Room: Gordon
Contributions on asymptotics in econometrics Monday 14.12.2015   14:30 - 15:50
Chair: Tucker McElroy Organizer: CFE
  CC1630:  A. Louka, S. Arvanitis
  Martingale transforms with mixed stable limits and the QMLE for conditionally heteroskedastic models
  CC1720:  X. Li
  Asymptotic theory for the ARMA(1,1)-EGARCH(1,1) model quasi-maximum likelihood estimator
  CC1662:  R.S. Pedersen
  Inference and testing on the boundary in extended constant conditional correlation GARCH models
  CC1641:  Y. Kanazawa, K. Takeshita, K. Nakayama
  CAN properties of a regional estimator in the presence of national micro moments: A simulation study
Session CG287 Room: Bedford
Contributions in time series and applications Monday 14.12.2015   14:30 - 15:50
Chair: Ansgar Belke Organizer: CFE
  CC0343:  T. Wickramarachchi, C. Gallagher, R. Lund
  A new approach to measure the risk of a financial time series
  CC1418:  D. Bloznelis
  Short-term salmon price forecasting
  CC1295:  S. Jegajeevan
  On the applicability of advanced forecasting techniques to developing economies: A case of Sri Lanka
  CC1377:  M. Mansur
  Adaptive forecasting in the presence of structural change and long memory persistence
Session CG359 Room: SH349
Contributions on the estimation of DSGE models Monday 14.12.2015   14:30 - 15:50
Chair: Karl Schmedders Organizer: CFE
  CC1206:  O. de Groot
  Stochastic volatility for asset pricing and business cycles
  CC1577:  M.M. Sorge, L. Fanelli
  Indeterminacy, misspecification and forecastability
  CC1763:  A. Duplinskiy, A. Gorn
  Estimation of a DSGE model with heterogeneous agents using an indirect inference estimator
  CC1661:  G. Angelini, L. Fanelli
  Misspecification and expectations correction in new Keynesian DSGE models
Session CG395 Room: Jessel
Contributions on high-frecuency data Monday 14.12.2015   14:30 - 15:50
Chair: Kim Christensen Organizer: CFE
  CC1479:  E. Aldrich, J. Grundfest, G. Laughlin
  Layering the order book: Quoting activity during the flash crash
  CC1595:  Y. Koike
  Detecting infinitesimal lead-lag effects from ultra high frequency data
  CC1695:  A. Kolokolov, R. Reno
  Efficient multipowers
  CC1483:  D. Kurisu, N. Kunitomo
  On effects of jump and noise in high-frequency financial econometrics
Session CG483 Room: Senate
Contributions on forecasting Monday 14.12.2015   14:30 - 15:50
Chair: Nikolaos Kourogenis Organizer: CFE
  CC1401:  R. Chou
  Forecasting volatility with multiple horizon extreme values
  CC1587:  H. Fang, C. Diks
  Comparing density forecasts in a risk management context
  CC1511:  C. Rahal
  Computational forecasting with FRED
  CC1668:  R. Schuessler, J. Beckmann
  A comprehensive dynamic Bayesian model combination approach to forecasting equity premia
Session CG485 Room: Holden
Contributions on fiscal policy Monday 14.12.2015   14:30 - 15:50
Chair: Peter Claeys Organizer: CFE
  CC1077:  T.P. Dybowski, J.N. Dybowski
  A new measure to quantify the effects of U.S. tax policy news
  CC1280:  D. Matveev
  Debt maturity, monetary policy and fiscal sustainability without commitment
  CC1759:  W. Tarrant
  An econometric analysis of the flat tax revolution
  CC0287:  H. Morita
  Japanese fiscal policy under the zero lower bound of nominal interest rates
Session CG507 Room: Woburn
Contributions on volatility Monday 14.12.2015   14:30 - 15:50
Chair: Gernot Mueller Organizer: CFE
  CC0184:  H. Zhang, A. Dufour
  Modelling intraday volatility in European bond market
  CC1603:  L. Grigoryeva, J.-P. Ortega, A. Peresetsky
  Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
  CC1531:  Q. Chen, X. Weng
  Information flows between the US and China's agricultural commodity futures markets-based on VAR-BEKK-skew-t model
  CC1708:  S. Thiele
  Modelling conditional densities with asymmetric tails
Session CG531 Room: Bloomsbury
Contributions in panel data econometrics Monday 14.12.2015   14:30 - 15:50
Chair: Martin Wagner Organizer: CFE
  CC0709:  G. Calzolari, L. Magazzini, G. Calzolari
  Improving GMM efficiency in dynamic models for panel data with mean stationarity
  CC1718:  D. Becker
  Consistent estimation in dynamic panel data models with individual fixed effects
  CC0196:  I. Caspi
  Panel data tests for bubbles with an application to OECD housing prices
  CC1408:  K. Hayakawa, J. Breitung, M. Qi
  Instrumental variable estimation of panel data models with weakly exogenous variables
Session CG553 Room: Court
Contributions on applied econometrics and finance Monday 14.12.2015   14:30 - 15:50
Chair: Thanasis Stengos Organizer: CFE
  CC1364:  A. Pua
  On IV estimation of a dynamic linear probability model with fixed effects
  CC1450:  F. Venditti, P. Alessandri, A. Conti
  The financial stability dark side of monetary policy
  CC1361:  M. Behn, M. Gross, T. Peltonen
  Assessing capital-based macroprudential policy using an integrated early warning GVAR model
  CC1828:  S. Sidorov
  Comparative analysis of greedy and lasso-type algorithms for index tracking problems
Session CG569 Room: Athlone
Contributions on pricing Monday 14.12.2015   14:30 - 15:50
Chair: Lorenzo Mercuri Organizer: CFE
  CC1745:  C. Dorion, J.-F. Begin, G. Gauthier
  The pricing of idiosyncratic risk in option markets
  CC0181:  P.J. Cayton, K.-Y. Ho
  A nonparametric option pricing model using higher moments
  CC1507:  M. Kolman
  Fourier transform in option pricing models
  CC1421:  P. Pederzoli, A. Cosma, O. Scaillet, S. Galluccio
  Valuing American options using fast recursive projections
Session CG597 Room: Chancellor's Hall
Contributions on temporal and spatial econometric Monday 14.12.2015   14:30 - 15:50
Chair: Jan Jacobs Organizer: CFE
  CC1520:  C.-A. Comes
  Spatial econometrics in Web 2.0: A method for determining the economic entropy in UE28
  CC0506:  P. Piribauer, J. Crespo Cuaresma
  Bayesian variable selection in spatial autoregressive models
  CC1822:  T. Krisztin, P. Havlik, D. Leclere, I. Moreau
  Global high-resolution land-use change projections: A Bayesian multinomial logit approach with model uncertainty
  CC1723:  C. Heinze
  An oblique projection approach to consumer price level prediction
Session CG626 Room: Torrington
Contributions on credit risk modelling Monday 14.12.2015   14:30 - 15:50
Chair: Arvid Raknerud Organizer: CFE
  CC1564:  P. Gapko, M. Smid
  Dynamic credit risk model of a large consumer portfolio
  CC1733:  A. Raknerud, B.H. Vatne, I. Hjelseth
  On the credit risk on bank loans
  CC1715:  H. Do, H. Scheule, D. Rosch
  Modelling loss severity for residential mortgage loans: A three-step selection approach
  CC1404:  E. Hennink
  Long term expected corporate bond spreads
Parallel session P: CFE Monday 14.12.2015 16:20 - 18:00

Session CO460 Room: MAL G15
Seasonal adjustment and reconciliation Monday 14.12.2015   16:20 - 18:00
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0737:  D. Ladiray, G.L. Mazzi
  The direct versus indirect problem in seasonal adjustment
  CO1048:  J. Jacobs, B. Abeln
  Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET
  CO0970:  T. McElroy
  Seasonal adjustment of meager time series
  CO1019:  J. Palate
  Model-based seasonal adjustment with JDemetra+
  CO1022:  E. Infante, G. Scepi
  Alternative two step reconciliation practices
Session CC026 Room: MAL 402
Contributions in time series econometrics Monday 14.12.2015   16:20 - 18:00
Chair: Anders Rahbek Organizer: CFE
  CC1484:  J. Kim, J. Park
  Mean reversion and stationarity: A new perspective from the asymptotics of diffusion models
  CC1792:  L. Kristoufek
  Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
  CC0787:  S. Elezovic
  Towards multivariate seasonal adjustment and joint outlier treatment in a system of hierarchical time series
  CC1738:  S. Schreiber, J. Breitung
  Causality tests and delay measures in a frequency band
  CC1365:  C. Leschinski, P. Sibbertsen
  Multivariate spurious long memory and a robust local Whittle estimator
Session CC028 Room: MAL 633
Contributions in applied econometrics Monday 14.12.2015   16:20 - 18:00
Chair: Geoff Kenny Organizer: CFE
  CC1380:  M. Feldkircher, F. Huber
  Unconventional US Monetary Policy: New Tools Same Channels?
  CC1704:  K. Kakamu, Y. Ohtsuka
  Regional growth and business cycles in Japan
  CC1269:  N. Ferreira, M.M. Oliveira
  Untangling hotel industries inefficiency: An SFA approach applied to a renowned Portuguese hotel chain
  CC1657:  S. Kaihatsu, J. Nakajima
  On trend inflation: An empirical analysis with a regime-switching model
  CC1186:  K. Bien-Barkowska
  Depicting the dynamics of the trading process with the ACM-ACD model
Session CG021 Room: MAL 541
Contributions in dynamic factor analysis Monday 14.12.2015   16:20 - 18:00
Chair: Michele Lenza Organizer: CFE
  CC1517:  M. Lombardi, F. Zhu
  A shadow policy rate to calibrate US monetary policy at the zero lower bound
  CC1734:  J. Mikkelsen, E. Hillebrand, G. Urga
  Maximum likelihood estimation of time-varying factor loadings in high-dimensional factor models
  CC1770:  V. Bystrov
  Bootstrap inference for structural analysis in factor models
  CC1477:  P. Guerin, D. Leiva-Leon
  The effects of monetary policy on industry-level stock returns in a changing world
  CC0275:  D. Leiva-Leon
  Country shocks, monetary policy expectations and ECB decisions: A dynamic nonlinear approach
Session CG023 Room: MAL 539
Contributions on stochastic volatility Monday 14.12.2015   16:20 - 18:00
Chair: Drew Creal Organizer: CFE
  CC1729:  M. Ficura, J. Witzany
  Using high-frequency returns in the Bayesian estimation of stochastic-volatility jump-diffusion models
  CC1442:  M. Danielova Zaharieva
  Bayesian semiparametric modeling of multivariate stochastic volatility
  CC1633:  I. Ishida, S. Nagata
  A GMM-RM estimation of the GARCH jump diffusion model
  CC1553:  A. Santos
  The forecast of financial volatility using volume-scaled returns through stochastic volatility models and intraday data
Session CG053 Room: MAL 532
Contributions on business cycle Monday 14.12.2015   16:20 - 18:00
Chair: Marie Bessec Organizer: CFE
  CC0419:  M. Bessec
  Revisiting the transitional dynamics of business-cycle phases with mixed frequency data
  CC1624:  D. Cascaldi-Garcia
  News, slope of the term structure and uncertainty shocks: An empirical evaluation of its interconnections
  CC1556:  M. de Carvalho, A. Rua
  Real-time nowcasting the US Output gap: Singular spectrum analyis at work
  CC1548:  J. Trinh
  Constructing fluctuation data from emerging national account statistics
  CC1545:  E. Bandres, A. Gomez-Loscos, L. Gadea
  Regional business cycles accross Europe
Session CG351 Room: MAL 421
Contributions on MCMC and Bayesian econometrics Monday 14.12.2015   16:20 - 18:00
Chair: Catherine Forbes Organizer: CFE
  CC1513:  P. Leung, C. Forbes, G. Martin
  Data driven particle filters for particle Markov chain Monte Carlo
  CC1392:  Q. Yang
  The stock market and real economy: A Bayesian nonparametric approach
  CC1685:  G. Mueller, A. Seibert
  Electricity spot prices: A model based on stable CARMA processes and its Bayesian estimation
  CC1671:  K. Bisiotis
  Affine term structure models for the UK yield curve
  CC1836:  O. Grothe, R. Liesenfeld, T. Selland Kleppe
  Bayesian analysis in non-linear non-Gaussian state-space models using particle Gibbs
Session CG357 Room: MAL 632
Contributions on evaluation of forecasting Monday 14.12.2015   16:20 - 18:00
Chair: Adam Clements Organizer: CFE
  CC0747:  M. Will, C. Leschinski, R. Kruse
  Comparing predictive accuracy under long memory
  CC1410:  L. Coroneo, F. Iacone
  Comparing predictive accuracy in small samples
  CC1468:  S. Barde
  A fast model confidence set implementation for large and growing collections of models
  CC1572:  K. Wohlrabe
  Micro information dynamics: Decomposing the forecasting power of aggregate indicators
Session CG457 Room: MAL 540
Contributions in inflation analysis and forecasting Monday 14.12.2015   16:20 - 18:00
Chair: Maritta Paloviita Organizer: CFE
  CC1663:  M. Grothe
  Inflation forecasts: On market-based and survey-based measures
  CC1374:  K. Szafranek
  On neural networks in forecasting inflation
  CC1607:  A. Silvestrini, G. Sbrana, F. Venditti
  Short term inflation forecasting: The M.E.T.A. approach
  CC0322:  S. Vahey, L. Wakerly, C. Thamotheram, C. McDonald
  Assessing the economic value of a probabilistic forecast for inflation in the presence of an inflation target