PROGRAMME CFE 2013
KEYNOTE TALKS
PARALLEL SESSIONS
| Parallel session B: | Saturday 14.12.2013 | 09:35 - 10:50 |
| Session CS08 | Room: Torrington |
| Modelling credit risk in financial markets | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Alessandra Canepa |
Organizer: Alessandra Canepa |
| C943: D. Meenagh, V. Le, P. Minford | |
| An empirical investigation about what causes banking crises | |
| C987: K. Luintel, P. Bajracharya, S. Selim | |
| Reforms, incentives and banking sector productivity | |
| C1100: A. Canepa, M. Costantini, M. Tajik | |
| Housing market and credit risk: Evidence from the United States |
| Session CS12 | Room: Russell |
| Bayesian nonlinear econometrics | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Roberto Casarin |
Organizer: Roberto Casarin |
| C517: F. Ravazzolo, D. Bianchi, M. Guidolin | |
| A Bayesian dynamic multi-factor model of instability in prices and quantities of risk | |
| C527: A. Virbickaite, H. Lopes, P. Galeano, C. Ausin | |
| Particle learning for Bayesian non-parametric Markov switching stochastic volatility models with financial applications | |
| C657: D. Bianchi | |
| Real-time learning, macroeconomic uncertainty, and the variance risk premium |
| Session CS13 | Room: Gordon |
| Probabilistic forecasting: Statistical issues | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Wojtek Charemza |
Organizer: Wojtek Charemza |
| C295: C. Baumeister, L. Kilian, X. Zhou | |
| On the usefulness of product spreads for forecasting: An empirical evaluation of the Verleger hypothesis | |
| C690: P. McSharry | |
| Parsimonious models for probabilistic macroeconomic forecasting | |
| C481: C. Kascha, C. Trenkler | |
| Forecasting VARs, model selection, and shrinkage |
| Session CS16 | Room: Athlone |
| Multivariate time series methods for macroeconomics | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Gianluca Cubadda |
Organizer: Gianluca Cubadda |
| C266: A. Hecq, M. Chauvet, T. Goetz | |
| Realized volatility and business cycle fluctuations: A mixed-frequency VAR approach | |
| C426: M. Bernardi, A. Maruotti, L. Petrella | |
| Multivariate Markov-switching models and tail risk interdependence measures | |
| C618: J. Mitchell | |
| Nowcasting regional economic growth in the UK |
| Session CS20 | Room: Bloomsbury |
| Non-linear dynamic models and applications | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Laurent Ferrara |
Organizer: Laurent Ferrara |
| C288: F. Bec, C. Gollier | |
| Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup | |
| C796: H. Mumtaz, P. Alessandri | |
| Financial conditions and density forecasts for US output and inflation | |
| C754: L. Ferrara, M. Chinn, V. Mignon | |
| Post-recession US employment through the lens of a non-linear Okun’s law |
| Session CS33 | Room: Jessel |
| Model estimation and prediction in art markets and the macroeconomy | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Christian Hafner |
Organizer: Douglas Hodgson |
| C020: D. Hodgson | |
| Individual artist career patterns and the hedonic prediction of art prices at auction | |
| C792: F. Bocart, C. Hafner | |
| Estimation of daily art indices and applications | |
| C1107: K. Wohlrabe, P. Zadrozny, S. Mittnik | |
| Macroeconomic forecasting using VARs with time-varying volatility: A new approach |
| Session CS39 | Room: Senate |
| Early warnings indicators and macro-prudential policy I | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C187: B. van Roye, J. Dovern | |
| International transmission of financial stress: Evidence from a GVAR | |
| C146: T. Knedlik | |
| The impact of preferences on early warning systems: The European commission’s scoreboard | |
| C1048: G. von Schweinitz, M. El-Shagi, A. Lindner | |
| A new indicator for real exchange rate misalignments in Europe |
| Session CS46 | Room: Court |
| The role of the risk premium in financial markets | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Jose Olmo |
Organizer: Jose Olmo |
| C112: M. Sanso-Navarro, J. Olmo | |
| Unconventional monetary policies and the bank lending channel | |
| C160: M. Hallam, J. Olmo | |
| A statistical test for multifractal and unifractal properties in financial returns | |
| C1009: J. Olmo, G. Iori, B. Kapar | |
| An empirical investigation of the cross-section of interbank funding rates |
| Session CS51 | Room: Woburn |
| Long memory processes and their applications in econometrics | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Anne Philippe |
Organizer: Anne Philippe |
| C298: R. Leipus, F. Lavancier, A. Philippe, D. Surgailis | |
| Partial-sum limits for linear processes with changing memory and applications | |
| C465: R. Le Guevel | |
| Statistical inference for multistable processes | |
| C952: G. Dissanayake, T. Proietti, S. Peiris | |
| State space modeling of Gegenbauer processes with long memory |
| Session CS53 | Room: Montague |
| Filters, wavelets and signals | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C789: G. Boshnakov | |
| Poles of periodic filters with applications to cyclostationary and multivariate time series | |
| C812: S. Olhede | |
| Anisotropy in random fields | |
| C050: C. Leong | |
| Wavelet-based forecasting of chaotic time series |
| Session CS68 | Room: Chancellor's |
| Modelling regime changes I | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C895: B. Suessmuth, D. Leuwer | |
| Scrapping subsidies in times of global crisis: How long is the shadow of fiscal stimulus | |
| C999: J. Schnurbus, H. Haupt, W. Semmler, V. Meier | |
| Leapfrogging and switching of leading and lagging position in economic growth | |
| C1150: C. Schoder, C. Proano, W. Semmler | |
| Macroeconomic activity, sovereign debt and financial market distress: The importance of non-linearities |
| Session CS77 | Room: Bedford |
| Modelling volatility and correlations | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Helena Veiga |
Organizer: Helena Veiga |
| C252: I. Casas, S. Grassi | |
| Covariance estimation of a locally stationary VAR | |
| C505: C. Amado, H. Laakkonen | |
| Modelling time-varying volatility in financial returns: Evidence from the bond markets | |
| C511: B. Martin-Barragan, A. Grane, H. Veiga | |
| Detection of outliers in multivariate GARCH models |
| Session CS92 | Room: Holden |
| Contributions to computational decision theory | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Richard Hahn |
Organizer: CFE 2013 |
| C087: R. Fairchild | |
| Emotional games | |
| C643: E. Zanetti Chini | |
| Testing and selecting local proper scoring rules | |
| C1207: V. Chinthalapati, R. Patra, H. van Wyk | |
| Stochastic utility in the Ramsey model |
| Session CS121 | Room: 349 |
| Contributions in banking and financial markets | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Martin M. Andreasen |
Organizer: CFE 2013 |
| C114: M. Hertrich, H. Zimmermann | |
| On the credibility of the Euro/Swiss Franc floor: A financial market perspective | |
| C131: P. Robejsek, P. Andreou, D. Philip | |
| Flexible parameterization of economic frontiers: A novel technique and evidence from the US banking industry | |
| C961: R. Maderitsch | |
| Hong Kong stock market overreaction to US returns: New insights from quantile regression analysis |
| Session CS124 | Room: Deller |
| Contributions in nonlinear time series | Saturday 14.12.2013 09:35 - 10:50 |
| Chair: Efthymios Pavlidis |
Organizer: CFE 2013 |
| C353: R. Brun-Aguerre, A. Fuertes, M. Greenwood-Nimmo | |
| On import price responses to depreciations and appreciations: Long lasting or temporary asymmetry | |
| C1163: D. Mendes, V. Mendes, P. Ferreira | |
| Classifying nonlinearities in financial time series | |
| C291: J. Wang, C. Diks, C. Hommes | |
| Early warning signals for critical transitions in finance |
| Parallel session D: | Saturday 14.12.2013 | 11:20 - 13:00 |
| Session CS01 | Room: B35 |
| Multivariate GARCH models with applications | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Niklas Ahlgren |
Organizer: Niklas Ahlgren |
| C130: T. Terasvirta, C. Amado | |
| Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations | |
| C105: P. Catani, T. Terasvirta, M. Yin | |
| A Lagrange multiplier test for testing the adequacy of the CCC-GARCH model | |
| C119: B. Gribisch | |
| A latent dynamic factor approach to forecasting multivariate stock market volatility | |
| C104: N. Ahlgren, P. Catani | |
| Multivariate finite-sample bootstrap tests for ARCH in vector autoregressive models |
| Session CS73 | Room: B33 |
| Modelling regime changes II | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C1222: M. Juillard | |
| Markov-switiching structural BVAR with Dynare | |
| C1228: J. Maih | |
| Rationality in a switching environment | |
| C1164: W. Semmler, S. Mittnik | |
| Overleveraging and regime change in the banking-macro link | |
| C788: F. Schleer, W. Semmler | |
| Financial sector-output dynamics in the euro area: Non-linearities reconsidered |
| Session CS83 | Room: G16 |
| Nonlinear time series I | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Frederique Bec |
Organizer: Frederique Bec |
| C439: P. Paruolo, E. Nejstgaard, A. Rahbek | |
| Likelihood based inference in a dynamic mixture cointegrated VAR model | |
| C257: E. Nejstgaard | |
| Parameter identification in the logistic STAR model | |
| C209: L. Fanelli, G. Bardsen | |
| Frequentist evaluation of small DSGE models | |
| C273: A. Hetland | |
| The stochastic stationary root model |
| Session CS14 | Room: B34 |
| New developments in time series | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Richard Gerlach |
Organizer: C.W.S. Chen |
| C044: A. Vosseler | |
| Bayesian analysis of periodic unit roots | |
| C060: T. Amano, T. Kato, M. Taniguchi | |
| Statistical estimation for CAPM with long-memory dependence | |
| C444: H. Ogata | |
| Estimation of autocopulas | |
| C602: R. Gerlach, C. Chen | |
| Bayesian semi-parametric expected shortfall forecasting incorporating intra-day range data |
| Session CS21 | Room: G15 |
| Multivariate models for financial risk assessment | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Silvia Figini |
Organizer: Silvia Figini |
| C099: M. Maggi, D. Fantazzini | |
| Banks' default probabilities and credit rating | |
| C516: P. Giudici, A. Spelta | |
| Graphical network modelling of cross-border systemic risk | |
| C658: F. Laurini | |
| The extremal index for stochastic volatility models with state space representation | |
| C751: G. Gallo, F. Cipollini, F. Calvori | |
| Predicting intra--daily volume shares for VWAP--based trading strategies: A GAS approach |
| Session CS34 | Room: B18 |
| Empirical dynamics of credit markets | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Florian Ielpo |
Organizer: Florian Ielpo |
| C380: A. Roventini, T. Ferraresi, G. Fagiolo | |
| Fiscal policies and credit regimes: A TVAR approach | |
| C1239: L. Cathcart, S. Badaoui, L. El Jahel | |
| Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads | |
| C1189: E. Dockner, M. Mayer, J. Zechner | |
| Sovereign bond risk premiums | |
| C606: F. Ielpo, P. Fan, J. Collet | |
| Sector spillovers in credit market |
| Session CS52 | Room: B20 |
| Recent advances in financial econometrics | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Christian Pigorsch |
Organizer: Christian Pigorsch |
| C687: S. Kloessner, A. Recktenwald | |
| Fast algorithms for estimating the probability of informed trading from tick data | |
| C706: G. Mueller, F. Benth, C. Klueppelberg, L. Vos | |
| Futures pricing in electricity markets based on stable CARMA spot models | |
| C842: J. Vogler, R. Liesenfeld, J. Richard | |
| Analysis of discrete dependent variable models with spatial correlation | |
| C1247: U. Pigorsch, E. Mammen | |
| Predicting large covariance matrices using a characteristic-based conditionally heteroskedastic factor model |
| Session CS54 | Room: B29 |
| Forecast accuracy | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Pilar Poncela |
Organizer: Pilar Poncela |
| C460: E. Senra, P. Poncela | |
| Forecasting inflation: On the measure of uncertainty to be used | |
| C730: J. Fuentes, J. Rodriguez | |
| Multivariate sparse partial least squares for macroeconomic forecasting | |
| C733: G. Szafranski | |
| Dynamic factor models in forecasting inflation in Poland | |
| C805: S. Henzel, C. Grimme, E. Wieland | |
| Inflation uncertainty revisited: A proposal for robust measurement |
| Session CS67 | Room: B36 |
| Modeling univariate and multivariate volatility | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Christos Savva |
Organizer: Christos Savva |
| C1014: L. Grigoryeva, L. Bauwens, J. Ortega | |
| Estimation and empirical performance of non-scalar dynamic conditional correlation models | |
| C560: F. Guidi, C. Savva | |
| Dynamic cointegration and diversification benefits among the Greater China, the UK and the US stock markets | |
| C151: S. Yfanti, M. Karanasos, M. Karoglou | |
| Multivariate FIAPARCH modeling with dynamic correlation analysis of financial markets with structural breaks | |
| C390: C. Savva, N. Aslanidis, C. Christiansen | |
| Risk-return trade-off for European stock markets |
| Session CS75 | Room: B30 |
| Financial volatility and covariance modelling | Saturday 14.12.2013 11:20 - 13:00 |
| Chair: Genaro Sucarrat |
Organizer: Genaro Sucarrat |
| C325: B. Sanhaji | |
| Testing for nonlinearity in covariances | |
| C808: C. Breto | |
| Stochastic leverage models via iterated filtering | |
| C793: S. Groenneberg, G. Sucarrat | |
| Gaussian QML estimation of the log-GARCH model via the ARMA representation: The asymptotic variance-covariance matrix | |
| C641: G. Sucarrat, C. Francq | |
| An exponential chi-squared QMLE for log-GARCH models via the ARMA representation |
| Parallel session E: | Saturday 14.12.2013 | 14:30 - 16:10 |
| Session CS88 | Room: Montague |
| Statistical methods and applications in health and finance | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Luisa Cutillo |
Organizer: Luisa Cutillo |
| C106: F. Russo, G. Immordino | |
| Regulating prostitution: Theory and evidence from Italy | |
| C645: A. Orlando, M. Carfora, L. Cutillo | |
| A factor analysis for the European economy | |
| C509: A. Carissimo, L. Cutillo | |
| Patient and gene clustering using NetSel on time course expression data | |
| C458: L. Cutillo, A. Carissimo | |
| Clustering of count data using a negative binomial model |
| Session CS38 | Room: Senate |
| Time-series econometrics | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Robert Kunst |
Organizer: Robert Kunst |
| C137: H. Rachinger, J. Dolado, C. Velasco | |
| LM and Wald tests for changes in the memory and level of a time series | |
| C593: M. Costantini, C. Bergmeir, J. Benitez | |
| On the usefulness of cross-validation for directional forecast evaluation | |
| C324: P. Franses | |
| Testing for bubbles | |
| C321: R. Kunst | |
| A combined nonparametric test for seasonal unit roots |
| Session CS48 | Room: Gordon |
| Changes in volatility and correlation dynamics | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Edoardo Otranto |
Organizer: Edoardo Otranto |
| C070: C. Hafner | |
| A new approach to high-dimensional volatility modelling | |
| C202: H. Malongo, J. Fermanian | |
| The individual and global determinants of dynamic correlations | |
| C213: D. Pelletier, A. Kassi | |
| Realized dynamic conditional correlation model | |
| C513: J. Maheu, X. Jin | |
| Modeling covariance breakdowns in multivariate GARCH |
| Session CS50 | Room: Bedford |
| Market learning, risk and asset pricing | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Valerio Poti |
Organizer: Valerio Poti |
| C843: F. Vazquez-Grande | |
| Learning in a heterogeneous economy | |
| C725: C. O'Sullivan, G. Connor, B. OKelly | |
| The trading profits and economic losses from false reporting to the libor bank panel | |
| C821: S. Zhuk, M. Schmalz | |
| Revealing downturns | |
| C472: V. Poti, A. Siddique | |
| GMM-based tests of efficient market learning and an application to testing for a small firm effect in equity pricing |
| Session CS57 | Room: Deller |
| Bayesian econometrics | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo |
| C500: K. Aastveit, A. Carriero, T. Clark, M. Marcellino | |
| On the stability of standard VARs since the crisis | |
| C499: A. Osuntuyi, M. Billio, R. Casarin | |
| Efficient Gibbs sampling for Markov switching GARCH models | |
| C608: A. Lenkoski | |
| A direct sampler for G-Wishart variates | |
| C1140: P. Gelain, F. Furlanetto, M. Taheri Sanjani | |
| Financial frictions and monetary policy tradeoffs |
| Session CS58 | Room: Athlone |
| Nowcasting | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Francesca Monti |
Organizer: Lucrezia Reichlin |
| C135: M. Luciani, L. Ricci | |
| Nowcasting Norway | |
| C260: S. Miranda Agrippino, D. Giannone, M. Modugno | |
| Nowcasting China real GDP | |
| C953: F. Monti, L. Reichlin, D. Giannone | |
| Incorporating conjunctural analysis in structural models | |
| C1184: A. Carriero | |
| Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility |
| Session CS60 | Room: Russell |
| Forecasting a large dimensional covariance matrix | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Eduardo Rossi |
Organizer: Eduardo Rossi |
| C368: A. Kock, M. Medeiros, L. Callot | |
| Forecasting vast realized covariance matrices and portfolio choice | |
| C411: P. Santucci de Magistris, E. Rossi | |
| A fast model averaging method to forecast high dimensional realized covariance matrices | |
| C820: L. Trapani, G. Urga, C. Kao | |
| Testing for instability in covariance structures | |
| C428: E. Rossi, A. Ghalanos | |
| Risk premia and time-varying higher-order conditional moments: An independent factor model |
| Session CS61 | Room: Woburn |
| Medium-scale factor models for GDP and inflation forecasts | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Rosa Ruggeri-Cannata |
Organizer: Rosa Ruggeri-Cannata |
| C128: A. Banerjee, M. Marcellino, I. Masten | |
| Structural FECM: Cointegration in large-scale structural models | |
| C293: A. Espasa, G. Carlomagno | |
| The disaggegation map approach to identify non-pervasive common features in a large set of disaggregates | |
| C620: F. Papailias, G. Kapetanios, M. Marcellino | |
| Variable reduction and variable selection methods using small, medium and large datasets: A forecast comparison for the PEEIs | |
| C493: R. Ruggeri Cannata, C. Frale, S. Grassi, M. Marcellino, G. Mazzi, T. Proietti | |
| Euromind: A flexible framework to estimate euro-area and member states monthly indicators of economic activity |
| Session CS66 | Room: Holden |
| Systemic risk tomography | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Silvia Figini |
Organizer: Roberto Savona |
| C173: J. Schaumburg, N. Hautsch , M. Schienle | |
| Financial network systemic risk contributions | |
| C1035: P. Wijayatunga | |
| Measuring degree of dependence | |
| C490: L. Grossi, F. Nan | |
| Robust estimation of regime switching models | |
| C042: M. Rockinger, E. Jondeau, R. Engle | |
| Systemic risk in Europe |
| Session CS71 | Room: Bloomsbury |
| Modelling of skewness and fat tails | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Mark Steel |
Organizer: Mark Steel |
| C221: E. Giorgi, A. McNeil | |
| On the computation of multivariate scenario sets for skewed distributions | |
| C244: F. Rubio, M. Steel | |
| Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations | |
| C427: C. Franceschini, N. Loperfido | |
| Modelling of non-normal features in film returns | |
| C494: B. Liseo, A. Parisi | |
| Bayesian inference for the multivariate skew-normal and skew-t distributions |
| Session CS35 | Room: Court |
| Probabilistic forecasting: density forecasts and disagreement | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Svetlana Makarova |
Organizer: Wojtek Charemza |
| C341: E. Mise, A. Garratt | |
| Forecasting exchange rate densities using model averaging | |
| C345: X. Sheng, K. Lahiri, H. Peng | |
| Measuring uncertainty of a combined forecast and a new test for forecaster heterogeneity | |
| C480: L. Thorsrud, H. Bjornland, F. Ravazzolo | |
| Forecasting disaggregates: Small open economies and foreign transmission channels | |
| C637: W. Charemza, C. Diaz Vela, S. Makarova | |
| Two-dimensional fan charts and uncertainties |
| Session CS80 | Room: 349 |
| Japan Statistical Society: High-frequency data analysis in financial markets | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Yasuhiro Omori |
Organizer: Toshi Watanabe |
| C261: M. Uchida | |
| Adaptive Bayes type estimation for stochastic differential equations based on high-frequency data | |
| C588: D. Nagakura, T. Watanabe | |
| State space method for quadratic estimator of integrated variance in the presence of market microstructure noise | |
| C694: T. Takada, T. Kitajima | |
| Broken symmetry before the financial bubble burst: Evidence from NYSE limit order book | |
| C698: S. Nagata, K. Oya | |
| Volatility forecast comparison with biased proxy and related test statistic |
| Session CS84 | Room: Chancellor's |
| Multivariate volatility models | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Jean-Michel Zakoian |
Organizer: Jean-Michel Zakoian |
| C157: J. Fermanian | |
| Asymptotic theory of DCC models | |
| C520: G. Gayraud, L. Petrella, M. Bernardi | |
| Bayesian inference for CoVaR | |
| C604: C. Francq, J. Zakoian | |
| Estimating MGARCH models equation-by-equation | |
| C689: E. Koch | |
| Spatial risk measures and max-stable processes |
| Session CS85 | Room: Jessel |
| Nonlinear time series II | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Frederique Bec |
Organizer: Frederique Bec |
| C392: G. Cavaliere, M. Orregard Nielsen, A. Taylor | |
| Bootstrap fractional integration tests in heteroskedastic ARFIMA models | |
| C314: H. Nielsen | |
| The co-integrated vector autoregression with errors-in-variables | |
| C241: S. Zeng, F. Bec | |
| On the rebound of stock returns after bear markets: An empirical analysis from five OECD countries | |
| C236: M. Ben Salem, F. Bec | |
| The role of inventory investment in the business cycle recovery |
| Session CS63 | Room: Torrington |
| Macro and heterogeneous agents | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Xavier Mateos-Planas |
Organizer: Xavier Mateos-Planas |
| C1152: J. Halket, L. Nesheim, F. Oswald | |
| An equilibrium Roy model of housing | |
| C1233: V. Sterk, M. Ravn | |
| Job uncertainty and deep recessions | |
| C1251: X. Mateos-Planas | |
| Formal versus informal default in consumer credit |
| Session CP01 | Room: Macmillan |
| Poster session I | Saturday 14.12.2013 14:30 - 16:10 |
| Chair: Ayse Ulgen |
Organizer: CFE 2013 |
| C802: V. Werkmann | |
| Combination of tests for cointegration in cross-correlated panels | |
| C928: R. Parrak | |
| Coupling the risks: An integrated risk measure of economic capital | |
| C968: F. Rosa-Gonzalez, E. Gonzalez-Davila, A. Arbelo-Alvarez | |
| Comparison of two methods for calculating business efficiency | |
| C978: B. Rausch | |
| Cheat and let cheat: An improvement of the tax system induced by a collective cheating | |
| C1121: R. Hendrych | |
| A dynamic generalization of orthogonal GARCH models | |
| C1124: T. Krehlik, J. Barunik | |
| Measuring spillovers in fractionally cointegrated time-series: The case of realized volatility |
| Parallel session F: | Saturday 14.12.2013 | 16:40 - 18:45 |
| Session CSI02 - Invited | Room: Beveridge |
| Model selection and inference | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| C217: B. Poetscher | |
| Inference post-model selection | |
| C357: H. Leeb | |
| Conditional predictive inference post model selection | |
| C932: D. Hendry | |
| Empirical economic model discovery and theory evaluation |
| Session CS02 | Room: B34 |
| Modelling and forecasting stock market volatility | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Walter Distaso |
Organizer: Alessandra Amendola |
| C340: V. Corradi, M. Silvapulle, N. Swanson | |
| Testing for zero jump intensity | |
| C397: S. Srisuma, J. Escanciano, S. Hoderlein, A. Lewbel, O. Linton | |
| Nonparametric identification and estimation of Euler equations | |
| C370: C. Robotti, N. Gospodinov, R. Kan | |
| Perfect fit in asset pricing models with irrelevant risk factors | |
| C592: L. Giraitis, K. Abadir, W. Distaso | |
| Seasonal ARFIMA model | |
| C636: R. Ibragimov, U. Mueller | |
| Inference with few heterogenous clusters |
| Session CS03 | Room: B33 |
| Quantitative behavioral finance | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Jorgen-Vitting Andersen |
Organizer: Jorgen-Vitting Andersen |
| C569: G. Rotundo, A. D'Arcangelis | |
| Risk and return of mutual funds and stocks: A network analysis on funds holdings | |
| C539: J. Andersen, S. Galam, G. Rotundo | |
| Communication and pricing | |
| C712: S. Gherzi, N. Stewart | |
| Trading behaviour, portfolio performance and psychological attributes of individual investors | |
| C734: M. Roszczynska-Kurasinska, K. Samson, A. Nowak, J. Andersen, M. Biesaga | |
| The role of emotions in financial decision making | |
| C1027: S. Borovkova | |
| News, jumps and volatility: Evidence from energy markets |
| Session CS93 | Room: B35 |
| Quantitative methods for credit risk management | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Raffaella Calabrese |
Organizer: Raffaella Calabrese |
| C216: J. Ansell, P. Orton, M. Ma, G. Andreeva | |
| SME performance through the credit crunch | |
| C334: G. Andreeva, L. Sanchez-Barrios, J. Ansell | |
| Estimating time-to-profit to assess creditworthiness of potential borrowers in revolving credit | |
| C382: G. Marra, R. Calabrese, S. Osmetti | |
| Binary generalized extreme value additive modelling | |
| C665: M. So, L. Thomas, H. Seow | |
| Improving credit card pricing by combing default and transactor/revolver regression models | |
| C167: T. Bellotti, J. Crook | |
| Stress testing retail loan portfolios using discrete survival models with macroeconomic variables |
| Session CS09 | Room: B36 |
| Applications of realized volatility | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Massimiliano Caporin |
Organizer: Massimiliano Caporin |
| C473: C. Okou, E. Jacquier | |
| Horizon effect in the term structure of long-run risk-return trade-offs | |
| C542: F. Abdi, A. Ranaldo | |
| From volatility to liquidity: Simple estimation from high and low prices | |
| C531: A. Kolokolov, R. Reno, M. Caporin | |
| Forecasting volatility and covariance with jumps and co-jumps | |
| C847: D. Tomio, M. Sunbrahmanyam, L. Pelizzon, J. Uno | |
| The microstructure of the European sovereign bond | |
| C935: F. Audrino, S. Knaus | |
| Lassoing the HAR model: A model selection perspective on realized volatility dynamics |
| Session CS28 | Room: B30 |
| Computational decision theory | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Richard Hahn |
Organizer: Richard Hahn |
| C976: J. Scott | |
| False discovery rate regression | |
| C761: M. Masten | |
| Numerical computation of minimax-regret treatment rules | |
| C774: A. Tetenov | |
| Importance of finite sample inference for statistical mechanisms | |
| C768: I. Manolopoulou, R. Hahn | |
| Modular priors for partially identified models | |
| C757: R. Hahn, C. Carvalho | |
| DSS: Decoupled shrinkage and selection in linear models |
| Session CS56 | Room: B20 |
| Banking and financial markets | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Arvid Raknerud |
Organizer: Arvid Raknerud |
| C199: M. Mcleay, R. Harimohan, G. Young | |
| The pass-through of ban funding costs to loan and deposit rates: UK evidence | |
| C240: P. Mizen, A. Banerjee, V. Bystrov | |
| On the influnce of anticipated changes to short-term market rates on banks' retail market rates | |
| C466: R. Edge, V. Bolotnyy, L. Guerrieri | |
| Stressing bank profitability for interest rate risk | |
| C651: P. Sevestre, S. Avouyi-Dovi, G. Horny | |
| Cost of funds, credit risk and bank loan interest rates in the crisis | |
| C660: A. Raknerud, B. Vatne | |
| On what determines default rates on bank loans |
| Session CS87 | Room: B18 |
| Recent development in semiparametric and nonparametric econometrics | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Patrick Saart |
Organizer: Marco Reale |
| C078: C. Lam, P. Souza | |
| Regularization with instrumental variables for spatial lag panel with spatial fixed effects | |
| C084: F. Iacone, J. Hualde | |
| Fixed-b estimation of fractional cointegration | |
| C548: N. Kim | |
| Semi-parametric analysis of shape-invariant Engel curves with control function approach | |
| C797: S. Stouli | |
| Construction of structural functions in conditional independence models | |
| C549: P. Saart | |
| A misspecification test for multiplicative error models of non-negative time series processes |
| Session CS59 | Room: B29 |
| Time series and option data | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Jeroen V.K. Rombouts |
Organizer: Jeroen V.K. Rombouts |
| C387: A. Dufays, J. Rombouts | |
| Sparse change-point models | |
| C554: F. Violante, J. Rombouts, L. Stentoft | |
| The price of risk | |
| C1213: R. Tuneshev | |
| Predicting crash risk using options trading information | |
| C990: R. Kotchoni | |
| Separating the integrated volatility into CIR latent factors | |
| C563: J. Rombouts | |
| Asymmetric mixtures models, jumps and option pricing |
| Session CS70 | Room: G15 |
| Topics in financial econometrics | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Leopold Soegner |
Organizer: Leopold Soegner |
| C253: K. Poetzelberger | |
| Variance reduction for infinite dimensional problems | |
| C270: G. Kastner, S. Fruehwirth-Schnatter, H. Lopes | |
| Analysis of multivariate financial time series via Bayesian factor stochastic volatility models | |
| C287: J. Mutl, L. Soegner | |
| Parameter estimation and inference with spatial lags and cointegration | |
| C406: J. Pelenis | |
| Weighted scoring rules for density forecast comparison in subsets of interest | |
| C354: L. Soegner, J. Hlouskova | |
| Generalized method of moment based parameter estimation of affine term structure models |
| Session CS94 | Room: G16 |
| Uncertainty and real-time turning points detection II | Saturday 14.12.2013 16:40 - 18:45 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C154: M. Marczak, V. Gomez | |
| Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter | |
| C188: J. Nygaard Eriksen, C. Christiansen, S. Vinther Moller | |
| Forecasting US recessions: The role of sentiments | |
| C285: M. Wildi, T. McElroy | |
| The trilemma between accuracy, timeliness and smoothness in real-time signal extraction | |
| C613: S. Pollock | |
| Cycles, syllogisms and semantics: Examining the idea of spurious cycles | |
| C614: J. Sturm, K. Abberger, M. Graff, B. Siliverstovs | |
| The KOF Barometer, version 2013: A composite leading indicator for the Swiss business cycle |
| Parallel session I: | Sunday 15.12.2013 | 10:55 - 12:35 |
| Session CSI01 - Invited | Room: Chancellor's |
| Bayesian econometrics | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Dimitris Korobilis |
Organizer: Gary Koop |
| C292: M. Steel, C. Vallejos | |
| Robust Bayesian methods for survival analysis using rate mixtures of Weibull distributions | |
| C326: D. Korobilis, G. Koop | |
| A new index of financial conditions | |
| C840: J. Griffin, M. Kalli | |
| Time varying sparsity in dynamic regression models |
| Session CS10 | Room: Russell |
| Multivariate volatility modelling | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Angeles Carnero |
Organizer: Angeles Carnero |
| C134: C. Conrad, E. Weber | |
| Measuring persistence in volatility spillovers | |
| C138: E. Ruiz, D. Fresoli | |
| The uncertainty of conditional correlations in DCC models | |
| C438: M. Caporin, G. Aielli | |
| Dynamic principal component: A new MGARCH model for large systems | |
| C813: A. Rahbek | |
| Multivariate variance targeting in the BEKK-GARCH model |
| Session CS25 | Room: Montague |
| Wavelet applications in economics | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Marco Gallegati |
Organizer: Marco Gallegati |
| C064: P. Addo, M. Billio, D. Guegan | |
| Studies in nonlinear dynamics and wavelets for business cycle analysis | |
| C557: J. Barunik, E. Kocenda, L. Vacha | |
| Gold, oil, and stocks | |
| C053: M. Kiermeier | |
| Wavelet analysis and the forward premium anomaly | |
| C1190: M. Scharnagl, M. Mandler | |
| Money growth, loan growth and consumer price inflation in the euro area: A wavelet analysis |
| Session CS29 | Room: Senate |
| Dynamic conditional score models | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Andrew Harvey |
Organizer: Andrew Harvey |
| C469: D. Delle Monache, I. Petrella | |
| A score-driven approach for autoregressive models with time-varying parameters and heavy-tails | |
| C281: F. Blasques, S. Koopman, A. Lucas | |
| Maximum likelihood estimation for generalized autoregressive score models | |
| C410: R. Ito | |
| Asymptotic theory for Beta-t-GARCH | |
| C264: A. Harvey, M. Caivano | |
| Time series models with an EGB2 conditional distribution |
| Session CS96 | Room: 349 |
| Computational econometrics I | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Robert Hudson |
Organizer: CFE 2013 |
| C045: V. Manahov, R. Hudson | |
| Artificial stock market dynamics and market efficiency: An econometric perspective | |
| C853: D. Pedregal | |
| The enhanced SSpace Matlab toolbox | |
| C934: I. Veryzhenko | |
| The efficiency of portfolio optimization: A multi-agents ecological competition analysis | |
| C1200: J. Acedanski | |
| Adaptive learning and approximate aggregation in heterogeneous agent models |
| Session CS41 | Room: Jessel |
| Bayesian nonparametric econometrics | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: John Maheu |
Organizer: John Maheu |
| C395: M. Burda, A. Prokhorov | |
| Copula based factorization in Bayesian multivariate infinite mixture models | |
| C414: R. Casarin, F. Bassetti, F. Leisen | |
| Beta-product dependent Pitman-Yor processes for Bayesian inference | |
| C573: M. Kalli, J. Griffin | |
| Bayesian semiparametric vector autoregressive models | |
| C717: M. Jochmann, J. Maheu | |
| A flexible time-varying mixture model for economic time series |
| Session CS55 | Room: Torrington |
| Long memory in economic and financial time series | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Tommaso Proietti |
Organizer: Tommaso Proietti |
| C839: S. Grassi, D. Delle Monache, P. Santucci de Magistris | |
| Level shifts and long memory: A state space approach | |
| C919: J. Arteche, O. Jesus | |
| A bootstrap approximation for the distribution of the local whittle estimator | |
| C1236: U. Hassler, P. Rodrigues, A. Rubia | |
| Quantile regression for long memory testing: A case of realized volatility | |
| C939: F. Carlini, P. Santucci de Magistris | |
| On the identification of fractionally cointegrated VAR models with the F(d) condition |
| Session CS62 | Room: Woburn |
| Recent developments in seasonal adjustment I | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Rosa Ruggeri-Cannata |
Organizer: Rosa Ruggeri-Cannata |
| C182: M. Scheiblecker | |
| Harmonizing the direct with the indirect approach in seasonal adjustment | |
| C271: K. Webel | |
| Choosing an appropriate seasonal adjustment approach: A data-driven way | |
| C384: E. Infante, D. Buono, S. Grudkowska | |
| New features of JDEMETRA+ | |
| C617: M. Hogan | |
| Variance estimates for seasonally adjusted unemployment level estimators for Wales and the UK |
| Session CS65 | Room: Holden |
| Partial information and model choice in portfolio optimization | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Joern Sass |
Organizer: Joern Sass |
| C728: L. Veraart, M. Dubois | |
| Estimation risk in portfolio optimization | |
| C311: T. Siu | |
| American option pricing and filtering with a hidden regime-switching jump diffusion model | |
| C488: C. Erlwein-Sayer, P. Ruckdeschel | |
| Asset allocation in a regime-switching model with a robustified EM-algorithm | |
| C158: J. Sass | |
| Continuous-time regime switching, discretization and portfolio optimization |
| Session CS78 | Room: Athlone |
| Realized correlations | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: David Veredas |
Organizer: David Veredas |
| C058: D. Xiu, N. Shephard | |
| Econometric analysis of multivariate realised QML: Efficient positive semi-definite estimators of the covariation of equity prices | |
| C356: H. Vander Elst, D. Veredas | |
| Disentangled jump-robust realized covariances and correlations with non-synchronous prices | |
| C759: G. Storti, L. Bauwens, M. Braione | |
| Long term component dynamic modeld for realized covariance matrices | |
| C865: C. Mancini | |
| Central limit theorem for integrated covariation in the presence of infinite variation Levy jumps |
| Session CS90 | Room: Court |
| Financial risk modeling and management | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Jiri Witzany |
Organizer: Jiri Witzany |
| C096: J. Witzany | |
| Estimating default and recovery rate correlations | |
| C101: M. Kolman | |
| Pricing of options on defaultable bonds using a binomial tree | |
| C359: J. Cerny, J. Witzany | |
| Interest rate swap credit value adjustment | |
| C597: C. Gigliarano, S. Figini, P. Muliere | |
| On discrimination indices for survival models | |
| C313: S. Figini, F. Madormo | |
| Risk estimation and assessment using survival models for credit risk data |
| Session CS102 | Room: Gordon |
| Financial econometrics I | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Engelbert Dockner |
Organizer: CFE 2013 |
| C365: G. Liu-Evans | |
| Refined estimation of parametric models by functional approximation | |
| C923: T. Dimpfl, F. Peter | |
| The impact of the financial crisis on transatlantic information flows: An intraday analysis | |
| C1161: S. van Norden, M. Wildi | |
| Basel III and the prediction of financial crises | |
| C807: G. Bagnarosa | |
| Errors in higher order risk neutral moments estimation | |
| C831: G. Sher, P. Vitoria | |
| A non-parametric test for dependence based on the entropy rate |
| Session CS107 | Room: Bloomsbury |
| Financial applications I | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Joao Victor Issler |
Organizer: CFE 2013 |
| C180: J. Bialkowski, D. Mitchell, S. Tompaidis | |
| Optimal VWAP tracking | |
| C229: H. Dakhli | |
| IPO and freeze-out pricing: An empirical analysis of the French market | |
| C915: T. Tichy, M. Holcapek | |
| On strong law of large numbers for approximation of LU-fuzzy numbers | |
| C973: Y. Zhang, A. Dias | |
| Volatility persistence: On the use of structural breaks | |
| C1230: A. Matvejevs, O. Pavlenko, N. Gutmanis | |
| Estimation and calculation procedures of the provisions for outstanding insurance claims |
| Session CS05 | Room: Bedford |
| Contributions to high-frequency volatility forecasting | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Timo Terasvirta |
Organizer: CFE 2013 |
| C093: O. Tapiero, P. de Peretti | |
| A GARCH analysis of dark-pool trades | |
| C830: D. Vortelinos | |
| The out-of-sample significance of macroeconomic announcements, linearity, long memory, heterogeneity and jumps | |
| C1166: B. Sevi | |
| An empirical evaluation of pseudo-long-memory time-series models to predict the S\&P 500 index-futures realized volatility | |
| C1167: K. Gisler, D. Buncic | |
| Dynamic HAR model with jumps and leverage effect | |
| C1218: F. Matthys | |
| Asymmetries in high frequency foreign exchange markets: On when the leverage effects kick in |
| Session CS76 | Room: Deller |
| Modelling the term structure of interest rates | Sunday 15.12.2013 10:55 - 12:35 |
| Chair: Rochelle Edge |
Organizer: CFE 2013 |
| C903: J. Juneja | |
| Modeling the term structure of interest rates and the Eurozone: Some economic implications from principal components analysis | |
| C992: Y. Kawasaki, Y. Horikoshi | |
| Nonparametric estimation of yield curves with L-spline | |
| C1122: L. Tiozzo Pezzoli | |
| Economic relevance of hidden factors in international bond risk premia | |
| C1135: H. Suenaga | |
| Estimating a term-structure model of commodity prices with heteroskedastic measurement error |
| Parallel session L: | Sunday 15.12.2013 | 14:40 - 16:20 |
| Session CSI04 - Invited | Room: Beveridge |
| The design of optimal policies | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Michel Juillard |
Organizer: Michel Juillard |
| C1245: B. de Paoli, A. Lipinska | |
| Capital controls: A normative analysis | |
| C1254: J. Pearlman, P. Levine | |
| Computation of LQ approximations to optimal policy problems | |
| C1265: G. Di Bartolomeo, P. Tirelli | |
| Optimal fiscal and monetary policy mix: A Ramsey approach |
| Session CS114 | Room: Deller |
| Financial applications II | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Panayiotis C. Andreou |
Organizer: CFE 2013 |
| C1083: M. Iannino | |
| Daily herding around stock splits | |
| C982: J. Reynolds | |
| Commonality in liquidity dimensions: A generalized dynamic factor model approach | |
| C933: M. van der Schans | |
| Imposing views on dynamic factor models | |
| C1153: E. Lin | |
| The effects of market maturity and informed trading on cash-futures basis | |
| C030: W. Chen | |
| Time consistent G-expectation and bid-ask dynamic pricing mechanisms for contingent claims under uncertainty |
| Session CS06 | Room: Bloomsbury |
| Performance evaluation | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Juha Joenvaara |
Organizer: Monica Billio |
| C286: J. Joenvaara, R. Kosowski, J. Klemela | |
| The economic value and statistical properties of manipulation-proof performance measures | |
| C319: G. Mero | |
| Measuring hedge fund performance: A Markov regime switching with false discoveries approach | |
| C362: M. Costola, M. Caporin, G. Jannin, B. Maillet | |
| On the (Ab)use of Omega | |
| C892: A. Popescu, F. Trojani, L. Camponovo | |
| Disclosures difficult to deal with: Robust hedge fund exposures and alphas |
| Session CS07 | Room: Athlone |
| Factor models and forecasting applications | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Scott A. Brave |
Organizer: Scott A. Brave |
| C348: M. Gallegati | |
| Wavelet-based early warning composite indicators: An application to the US financial stress index | |
| C512: A. Ajello, L. Benzoni, O. Chyruk | |
| Core and crust: Consumer prices and the term structure of interest rates | |
| C681: R. Butters, S. Brave | |
| Evaluating nowcasts of GDP growth | |
| C882: S. Brave, H. Genay | |
| US bank holding companies and systemic risk |
| Session CS19 | Room: Court |
| Copulas in finance: New developments | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Jean-David Fermanian |
Organizer: Jean-David Fermanian |
| C152: M. Scherer, J. Mai, S. Schenk, N. Shenkman | |
| Portfolio default models with lack-of-memory | |
| C163: H. Manner, O. Grothe, D. Tuerk | |
| A note on intra day price spike dependence in the Australian power market | |
| C165: B. Tavin | |
| Arbitrage detection in a multi-asset market: The edge of copulas | |
| C226: F. Durante | |
| Approximation of tail dependence via a new family of copulas |
| Session CS22 | Room: Russell |
| Multiple risks management | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Christian Francq |
Organizer: Christian Francq |
| C181: J. Renne, S. Dubecq, A. Monfort, G. Roussellet | |
| Credit and liquidity in interbank rates: A quadratic approach | |
| C518: J. Heam, E. Koch | |
| Endogenous financial network formation | |
| C607: J. Dudek, S. Benoit, M. Sharifova | |
| Identifying SIFIs: Toward the simpler approach | |
| C662: J. Zakoian, C. Francq | |
| Multi-level conditional VaR estimation in dynamic models |
| Session CS27 | Room: Holden |
| Mixture and regime-switching models in empirical finance | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Markus Haas |
Organizer: Markus Haas |
| C331: S. Mueller | |
| Markov switching variance regimes for identification of contemporaneous causalities between real activity and financial markets | |
| C585: J. Krause, M. Paolella | |
| Independent component analysis meets maximum likelihood estimation | |
| C612: E. Lazar, C. Alexander | |
| On the continuous limit of GARCH | |
| C634: M. Haas, J. Liu | |
| A multivariate regime-switching GARCH model with an application to portfolio optimization during financial turmoil |
| Session CS31 | Room: Chancellor's |
| Co-movements in macroeconomics and finance | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Alain Hecq |
Organizer: Alain Hecq |
| C069: G. Chevillon, A. Hecq, S. Laurent | |
| Long memory through correlation | |
| C305: G. Cubadda, B. Guardabascio, A. Hecq | |
| A vector heterogeneous autoregressive index model for realized volatilities | |
| C355: M. Massmann | |
| Generalised canonical correlation analysis revisited | |
| C777: J. Issler | |
| A stochastic discount factor approach to asset pricing using panel data asymptotics |
| Session CS109 | Room: Bedford |
| Applied econometrics I | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Maral Kichian |
Organizer: CFE 2013 |
| C876: J. Murteira | |
| Variable-addition tests for multivariate regression models | |
| C1110: M. Gubler | |
| Carry trade activities: A multivariate threshold model analysis | |
| C1113: C. Castagnetti, E. Rossi | |
| A multifactor model of credit spread changes | |
| C1134: H. Nishino, K. Kakamu | |
| A random walk stochastic volatility model for income inequality | |
| C367: J. Mora, J. Muro | |
| Persistence of informality in a developing country: An Ar (1) pseudo panel |
| Session CS40 | Room: Jessel |
| Liquidity risk | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Gaelle Le Fol |
Organizer: Gaelle Le Fol |
| C089: M. Rosenbaum, K. Dayri | |
| Large tick assets: Implicit spread and optimal tick size | |
| C268: S. Darolles, C. Francq, G. Le Fol, J. Zakoian | |
| Liquidity risk estimation in conditional volatility models | |
| C969: C. Gourieroux, J. Heam | |
| Funding liquidity risk from a regulatory perspective | |
| C183: M. Grothe, J. Ejsing, O. Grothe | |
| Liquidity and credit risk premia in government bond yields |
| Session CS91 | Room: Senate |
| Simulation-based inference in econometrics | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Gael Martin |
Organizer: Gael Martin |
| C980: S. Koopman, A. Lucas, M. Scharth | |
| Numerically accelerated importance sampling for nonlinear non-Gaussian state space models | |
| C603: A. Tremayne, V. Martin, J. Robert | |
| Efficient method of moments estimators for integer time series models | |
| C890: M. Pitt | |
| Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator | |
| C545: G. Martin, B. McCabe, C. Robert, O. Maneesoonthorn | |
| Approximate Bayesian computation in state space models |
| Session CS45 | Room: Torrington |
| Advances in DSGE Models | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Alexander Meyer-Gohde |
Organizer: Alexander Meyer-Gohde |
| C714: S. Moyen, X. Fairise, M. Krause | |
| Nominal wage rigidity and forward guidance at the zero lower bound | |
| C055: M. Kliem, A. Meyer-Gohde | |
| Monetary policy and the term structure of interest rates | |
| C068: A. Kriwoluzky | |
| Currency risk in currency unions | |
| C025: A. Meyer-Gohde | |
| Risk-adjusted linear approximation |
| Session CS47 | Room: Montague |
| Volatility models and their applications | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| C129: T. Ishihara, Y. Omori | |
| A dynamic factor stochastic volatility model with leverage effect and its application | |
| C145: J. Bekierman, B. Gribisch | |
| Estimating stochastic volatility models using realized measures | |
| C732: T. Nakatsuma, K. McAlinn, H. Katsura | |
| Particle learning for stochastic volatility models with nonlinear leverage effects | |
| C874: G. Kobayashi | |
| Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles |
| Session CS86 | Room: Gordon |
| New trends in time series econometrics and spatial econometrics | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Jean-Yves Pitarakis |
Organizer: Jean-Yves Pitarakis |
| C349: J. Gonzalo, M. Gadea | |
| Looking for a trend in distribution characteristics: The case of global warming | |
| C543: F. Rossi, P. Phillips, M. Kyriacou | |
| Indirect inference in spatial autoregression | |
| C633: F. Martellosio, G. Hillier | |
| Properties of the maximum likelihood estimator in spatial autoregressive models | |
| C762: L. Chen | |
| Identifying observed factor models in high dimensional factor models |
| Session CS64 | Room: Woburn |
| Credit risk | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Simona Sanfelici |
Organizer: Simona Sanfelici |
| C083: A. Pallavicini | |
| Counterparty risk and funding costs in a multiple-curve framework | |
| C338: P. Janus | |
| Capturing volatility in correlated default risk | |
| C724: D. Silipo, L. Giordano, L. Leonida | |
| Market-driven securitizations | |
| C693: C. Guardasoni, S. Sanfelici | |
| A boundary element PDE approach to corporate debt |
| Session CS101 | Room: 349 |
| Computational econometrics II | Sunday 15.12.2013 14:40 - 16:20 |
| Chair: Matthew Dixon |
Organizer: CFE 2013 |
| C910: M. Scharth, R. Kohn | |
| Particle efficient importance sampling | |
| C922: M. Augustyniak, M. Boudreault, M. Morales | |
| Estimating the Markov-switching GARCH model with a deterministic particle filter | |
| C1074: S. Barde | |
| A class-free information criteria | |
| C1193: S. Hadjiantoni, E. Kontoghiorghes | |
| Strategies for recursively estimating the simultaneous equations model | |
| C1226: A. Puckovs | |
| Equity indexes analysis and synthesis by using wavelet transforms |
| Parallel session M: | Sunday 15.12.2013 | 16:50 - 18:30 |
| Session CS89 | Room: B35 |
| Market microstructure | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Liam Cheung |
Organizer: Liam Cheung |
| C1031: X. Han, F. van Gysegem, M. Froemmel | |
| News, liquidity dynamics and intraday jumps: Evidence from the HUF/ EUR market | |
| C1004: D. Zhang, B. Hagstromer, L. Norden | |
| On the aggressiveness of high frequency traders | |
| C787: L. Cheung | |
| Fragmentation and market quality in the Canadian equity markets |
| Session CS15 | Room: B34 |
| Approximate Bayesian computing | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Veronika Czellar |
Organizer: Michael Creel |
| C344: A. Gleim, C. Pigorsch | |
| Approximate Bayesian computation with indirect summary statistics | |
| C551: G. Peters | |
| Approximate Bayesian computation and sequential Monte Carlo methods for risk management and insurance applications | |
| C639: D. Prangle, P. Fearnhead | |
| Methods to improve ABC inference of state space models | |
| C571: V. Czellar, L. Calvet | |
| Accurate methods for approximate Bayesian computation filtering |
| Session CS32 | Room: B30 |
| Some development in risk models | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Javier Hidalgo |
Organizer: Javier Hidalgo |
| C817: U. Cetin, A. Danilova | |
| Risk aversion of market makers and asymmetric information | |
| C837: P. Souza, J. Hidalgo | |
| Testing for equality of an increasing number of spectral density functions | |
| C838: A. Tamoni, F. Bandi, B. Perron, C. Tebaldi | |
| The scale of predictability | |
| C778: D. Ardia, A. Meucci | |
| Heavy stress-testing in non-normal markets via entropy pooling |
| Session CS103 | Room: B29 |
| Applied econometrics II | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: James Mitchell |
Organizer: CFE 2013 |
| C967: M. Gronwald, C. Sattarhoff | |
| How efficient is the global oil market: A multifractal perspective | |
| C1106: D. Yolcu Karadam, N. Ocal | |
| Asymmetric relationship between financial integration and economic growth | |
| C1102: B. Siliverstovs | |
| Nowcasting Swiss GDP in real-time squared | |
| C1109: R. Scheufele, D. Kaufmann | |
| Business tendency surveys and macroeconomic fluctuations | |
| C855: M. Succurro, G. Costanzo, D. Silipo | |
| External finance, internal finance and innovation: Evidence from the Italian manufacturing firms |
| Session CS82 | Room: B33 |
| The simulation of non-linear models | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Michel Juillard |
Organizer: Michel Juillard |
| C346: M. Andreasen | |
| The pruned state-space system for non-linear DSGE models: Theory and empirical applications | |
| C371: J. Pfeifer, B. Born, G. Mueller | |
| Terms of trade uncertainty and business cycle fluctuations | |
| C704: L. Guerrieri, M. Iacoviello | |
| OccBin: A toolkit for solving dynamic models with occasionally binding constraints | |
| C929: J. de Wind, W. den Haan | |
| Nonlinear and stable perturbation-based approximations |
| Session CS69 | Room: B18 |
| Contributions to risk modeling and management I | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Stefan Mittnik |
Organizer: CFE 2013 |
| C1010: G. Weiss, D. Ziggel, T. Berens, D. Wied | |
| A new set of improved value-at-risk backtests | |
| C1229: P. Grau, L. Doncel, J. Sainz | |
| Financial crisis and country risk rating: A value-at-risk approximation | |
| C917: T. Isogai | |
| Benchmarking of unconditional VaR and ES calculation methods: A simulation analysis with truncated stable distribution | |
| C901: A. Kresta, T. Tichy | |
| Comparison of copula-GARCH models within market risk estimation | |
| C1133: J. Oberoi, E. Mitrodima | |
| Component value at risk models with countercyclical adjustments for improved economic performance |
| Session CS04 | Room: G15 |
| Contributions to multivariate GARCH models | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Uwe Hassler |
Organizer: CFE 2013 |
| C948: G. Calzolari, G. Fiorentini, G. Aielli | |
| Latent factor models with conditional heteroskedasticity: Estimation and forecast | |
| C1052: T. Wozniak | |
| Granger-causal analysis of VARMA-GARCH models | |
| C1058: H. Mugera, C. Gilbert | |
| Biofuels or financialization: Explaining the increased correlation between grains and crude oil prices | |
| C1082: A. Pierini, A. Naccarato | |
| A multiple bi-dimensional BEKK model for portfolio volatility matrix estimation of the Italian stock market | |
| C1192: G. Cheng | |
| Credit spread volatility: Findings from the U.S. corporate bond market |
| Session CS111 | Room: B36 |
| Time series econometrics I | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Helmut Herwartz |
Organizer: CFE 2013 |
| C964: C. Liu, B. Kuo | |
| Model averaging in predictive regressions | |
| C669: F. Magalhaes de Pinho, G. Conceicao Franco | |
| Penalized likelihood for a non-Gaussian state space model | |
| C1139: J. Hambuckers, C. Heuchenne | |
| A new methodological approach for the selection of the error distribution in finance | |
| C885: S. Arvanitis, A. Louka | |
| A CLT for martingale transforms with slowly varying second moments and some limit theory for the QMLE | |
| C896: J. Lee | |
| Test of martingale difference hypothesis using RBFNN approximations |
| Session CS97 | Room: B20 |
| Financial econometrics II | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Manfred Gilli |
Organizer: CFE 2013 |
| C891: B. Ozturkkal, A. Akkemik | |
| Risk choices of portfolio managers in an emerging market economy | |
| C991: T. Ruehl | |
| The impact of ECB macro announcements on bid-ask spreads of European blue chips | |
| C806: O. Nneji | |
| Liquidity shocks and stock bubbles | |
| C897: E. Panayi, G. Peters, J. Danielsson, J. Zigrand | |
| Structural models for intraday liquidity resilience in the limit order book |
| Session CS113 | Room: G16 |
| Financial applications III | Sunday 15.12.2013 16:50 - 18:30 |
| Chair: Herman van Dijk |
Organizer: CFE 2013 |
| C1089: D. Peel, H. Suenaga, K. Smith | |
| An empirical analysis of FX volatility surface dynamics through the global financial crisis | |
| C699: M. Dixon, M. Zubair | |
| Calibrating low latency option analytics on multi-core CPUs | |
| C860: C. Castro, N. Marin | |
| Diversification gains of the integrated Latin American market | |
| C879: K. Avdulaj, J. Barunik | |
| Oil -- stocks diversification: A new evidence from a dynamic copulas and high frequency data | |
| C1154: D. Cziraky, P. Sadleir | |
| Estimation of the stressed securitisation rating transition matrices: A multi-state Markov approach |
| Parallel session O: | Monday 16.12.2013 | 08:45 - 10:25 |
| Session CSI03 - Invited | Room: Senate |
| Measuring systemic risk | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Monica Billio |
Organizer: Monica Billio |
| C259: M. Dungey, M. Luciani, D. Veredas | |
| Banking, insurance and the real economy: Interconnectedness and systemic risk | |
| C255: M. Billio, M. Getmansky, D. Gray, A. Lo, R. Merton, L. Pelizzon | |
| Sovereign, bank and insurance credit spreads: Connectedness and system network | |
| C267: A. Lucas, X. Zhang, B. Schwaab | |
| Measuring credit risk in a large banking system: Econometric modeling and empirics |
| Session CS108 | Room: G15 |
| Applied econometrics III | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Jean-Pierre Urbain |
Organizer: CFE 2013 |
| C625: F. Mokinski | |
| Evaluating real time VAR fasts based on survey-data assisted estimators | |
| C1063: A. Thomadakis | |
| On combination forecasts and historical average: Economic and statistical evidence | |
| C1093: L. Winkelmann, A. Netsunajev | |
| Inflation expectations spillovers between the European monetary union and the United States | |
| C1022: A. Soberon, J. Rodriguez Poo | |
| Precautionary savings over the life cycle: A simple two step weighted locally constant least squares estimator | |
| C644: J. Roestel, H. Herwartz | |
| Monetary credibility, endogenous pass through and imported inflation uncertainty |
| Session CS17 | Room: B34 |
| Trend filtering and statistical signal processing | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Serge Darolles |
Organizer: Serge Darolles |
| C290: G. Roussellet, A. Monfort, J. Renne | |
| A quadratic Kalman filter | |
| C320: R. Molinero | |
| Practical applications of digital signal processing in trading | |
| C391: E. Bacry, J. Muzy | |
| Model for price and trades high-frequency dynamics | |
| C723: R. Zhang, S. Clemencon | |
| Multitask statistical learning for financial return prediction |
| Session CS23 | Room: B36 |
| High-frequency volatility forecasting | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Ana-Maria Fuertes |
Organizer: Ana-Maria Fuertes |
| C1249: F. Bahramy, S. Crone | |
| Forecasting mean reversion in exchange rates: An empirical evaluation of support vector regression and Bollinger bands | |
| C115: K. Ahoniemi, A. Fuertes, J. Olmo | |
| Overnight news and daily equity trading risk limits | |
| C675: M. Izzeldin, V. Pappas, A. Fuertes | |
| On daily stock volatility predictability: The role of market conditions, sector type and horizon | |
| C028: A. Fuertes, J. Andrada-Felix, F. Fernandez-Rodriguez | |
| On a model-free approach to forecasting realized volatility of the S\&P 100 stock index |
| Session CS98 | Room: B29 |
| Financial econometrics III | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Matthias Fengler |
Organizer: CFE 2013 |
| C1149: D. Noureldin | |
| Volatility prediction using a high-frequency-based component model | |
| C884: A. Veraart, O. Barndorff-Nielsen, A. Lunde, N. Shephard | |
| Integer-valued trawl processes with applications to financial econometrics | |
| C1019: L. Vacha, J. Barunik, E. Kocenda | |
| Asymmetric volatility spillovers | |
| C1172: V. Halstensen | |
| Dispersed information in FX trading: A martingale representation | |
| C942: M. Fengler, E. Mammen, M. Vogt | |
| Additive modeling of realized variance with tests for parametric specifications |
| Session CS36 | Room: B33 |
| Modeling and forecasting risk and returns | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Maral Kichian |
Organizer: Lynda Khalaf |
| C399: M. Jahan-Parvar, B. Feunou, C. Okou | |
| Downside and upside variance risk-premium | |
| C1117: M. Kichian, J. Bernard, L. Khalaf, C. Yelou | |
| On the long-term dynamics of oil prices: Learning from combining forecasts | |
| C1269: A. Acharya, L. Khalaf, M. Voia, D. Wensley | |
| Endogeneity in parametric duration models with applications to clinical risk indices |
| Session CS112 | Room: G16 |
| Time series econometrics II | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Liudas Giraitis |
Organizer: CFE 2013 |
| C122: L. Gadea, A. Gomez-Loscos, G. Perez-Quiros | |
| On the great recession and the great moderation | |
| C254: S. Ganneval | |
| Spatial price transmission on agricultural commodity markets under different volatility regimes | |
| C1032: E. Pavlidis, N. Pavlidis | |
| Dynamic estimation of trade costs from real exchange rates | |
| C1075: P. Grabarczyk, M. Wagner | |
| A seemingly unrelated cointegrating polynomial regression analysis of the EKC | |
| C1256: K. Bel, R. Paap | |
| Modeling the impact of forecast-based regime switches on time series |
| Session CS72 | Room: B30 |
| Computational methods for option pricing | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Lars Stentoft |
Organizer: Lars Stentoft |
| C959: D. Mazieres, H. Geman, S. Hubbert | |
| A kernel approach to energy contracts valuations in high dimensions | |
| C628: A. Murgoci, R. Medeiros Gaspar | |
| Convexity adjustments for affine term structure models | |
| C850: C. Dorion | |
| Business conditions, market volatility and option prices | |
| C529: L. Stentoft, J. Simonato | |
| On the pricing framework for option valuation under GARCH and non-normality |
| Session CS116 | Room: B20 |
| Financial applications IV | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Spyridon Vrontos |
Organizer: CFE 2013 |
| C559: V. Zakamulin | |
| The real-life performance of market timing with moving average and time-series momentum rules | |
| C905: D. Bu | |
| Structural credit risk model under stochastic volatility: A particle-filter approach | |
| C1038: M. Restaino, A. Amendola | |
| Optimal cut-off points for multiple causes of business failure models | |
| C1059: A. Pellecchia, A. Amendola, L. Sensini | |
| Modelling the credit card ownership in Europe: A count data approach | |
| C1148: M. Frunza | |
| Optimal structure of central counterparties clearing houses for minimizing default risk |
| Session CS118 | Room: B18 |
| Contributions to volatility models and their applications | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Francesco Audrino |
Organizer: CFE 2013 |
| C1094: F. Javed, K. Podgorski | |
| Efficient stochastic modelling of financial volatility within non-Gaussian paradigm | |
| C1155: R. Belhachemi, M. Bouaddi | |
| Modelling conditional volatility with a continuum of hidden regimes and fundamental factors | |
| C1177: C. Kesamoon, J. Castillo | |
| Volatility forecasting using latent information | |
| C983: E. Silde, F. Blasques, A. Lucas | |
| Stationarity and ergodicity regions for score driven dynamic correlation models | |
| C1026: L. Truquet, V. Patilea | |
| A semi-parametric locally stationary ARCH Model |
| Session CS95 | Room: B35 |
| Recent developments in seasonal adjustment II | Monday 16.12.2013 08:45 - 10:25 |
| Chair: Rosa Ruggeri-Cannata |
Organizer: Rosa Ruggeri-Cannata |
| C523: D. Osborn, I. Hindrayanto, J. Jacobs | |
| On trend-cycle-seasonal interactions | |
| C570: D. Ladiray | |
| Theoretical and empirical analysis of the reg-components approach for seasonal adjustment | |
| C583: T. Krivobokova, R. Francisco | |
| Nonparametric price transmission analysis | |
| C619: S. Grudkowska | |
| Seasonal adjustment in times of crisis using a dedicated algorithm for automatic model identification procedure |
| Parallel session P: | Monday 16.12.2013 | 10:55 - 13:00 |
| Session CS26 | Room: Bloomsbury |
| A time series approach to risk mannagement | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Christophe Chorro |
Organizer: Dominique Guegan |
| C398: J. Ortega, J. Henriques | |
| Construction, management, and performance of sparse Markowitz portfolios | |
| C522: H. Lalaharison, C. Chorro, D. Guegan, F. Ielpo | |
| Testing for leverage effect in non linear financial time series | |
| C826: M. Garcin, D. Guegan | |
| Wavelet shrinkage of noisy chaotic signals and risk measures | |
| C851: A. Badescu, R. Elliott, J. Ortega | |
| Derivative pricing with non-Gaussian GARCH models and their continuous time limits |
| Session CS99 | Room: Woburn |
| Advances in financial econometrics | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Richard Luger |
Organizer: CFE 2013 |
| C1084: S. Mittnik | |
| VaR-implied tail-correlation matrices | |
| C1037: H. Han, O. Linton, T. Oka, Y. Whang | |
| The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series | |
| C1043: J. Yu, R. Luger | |
| Simultaneous confidence intervals for dynamic default rates | |
| C204: H. Chuang | |
| Measure of downturn connectedness and systemic risk in financial institutions | |
| C1145: C. Lau | |
| A simple NIG-type approach to calculate value at risk based on realized moments |
| Session CS42 | Room: Bedford |
| Uncertainty and real-time turning points detection I | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C412: A. Jore, K. Aastveit, F. Ravazzolo | |
| Forecasting recessions in real time | |
| C482: S. Bianconcini, E. Bee Dagum | |
| Real time trend-cycle prediction via linear filters that minimize revisions and turning point detection | |
| C1216: C. Proano | |
| Detecting and predicting economic accelerations, recessions, and normal growth periods in real-time | |
| C503: K. Juselius | |
| Balance sheet recessions and time-varying coefficients in a Phillips curve relationship: An application to Finnish data | |
| C486: G. Mazzi, M. Billio, L. Ferrara | |
| A system for euro area and member states turning point detection |
| Session CS49 | Room: Gordon |
| Recent advances in forecasting financial time series | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Katerina Panopoulou |
Organizer: Katerina Panopoulou |
| C174: J. Balter, E. Dumitrescu, P. Hansen | |
| Forecasting exchange rate volatility: Multivariate Realized GARCH Framework | |
| C232: C. Argyropoulos, E. Panopoulou | |
| Measuring the market risk of freight rates: A forecast combination approach | |
| C572: S. Vrontos, L. Meligkotsidou, E. Panopoulou, I. Vrontos | |
| Out-of-sample equity premium prediction: A complete subset quantile regression approach | |
| C577: T. Pantelidis, N. Pittis | |
| Volatility forecasts and the MSE criterion | |
| C575: D. Banulescu, C. Hurlin, G. Colletaz, S. Tokpavi | |
| High frequency risk measures |
| Session CS115 | Room: G21A |
| Financial applications V | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Matthias Scherer |
Organizer: CFE 2013 |
| C1023: N. Kourogenis, P. Asimakopoulos, S. Asimakopoulos, E. Tsiritakis | |
| Dividend predictability in large markets: A mixed data sampling approach | |
| C1067: P. Sarlin | |
| Macroprudential oversight, risk communication and visualizations | |
| C1068: T. Cenesizoglu, J. Reeves | |
| CAPM, components of beta and the cross section of expected returns | |
| C1174: A. Dias | |
| Accounting for large losses in portfolio selection | |
| C1205: Y. Ota | |
| Mathematical models for inverse problems arising from financial markets | |
| C635: A. Kagkadis, P. Andreou, D. Philip | |
| The information content of forward skewness inferred from option portfolios |
| Session CS79 | Room: Montague |
| Topics in time series and panel data econometrics | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| C022: D. Wied, M. Wagner | |
| Monitoring stationarity and cointegrating relationships | |
| C1201: J. Urbain, J. Westerlund | |
| Cross-sectional averages versus principal components | |
| C127: D. Preinerstorfer, B. Poetscher | |
| On size and power of heteroscedasticity and autocorrelation robust tests | |
| C1002: M. Scholz, M. Wagner | |
| Large initial values and time series tests of the convergence hypothesis | |
| C026: M. Wagner | |
| Some extensions of regression based cointegration analysis |
| Session CS106 | Room: 349 |
| Time series econometrics III | Monday 16.12.2013 10:55 - 13:00 |
| Chair: Gareth Peters |
Organizer: CFE 2013 |
| C670: E. Bacchiocchi | |
| Identification in structural VAR models with different volatility regimes | |
| C744: V. Kvedaras, I. Ishida | |
| On the moving quantile effects in financial time series | |
| C1040: A. Schroder, P. Fryzlewicz | |
| Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery | |
| C1051: V. Candila, A. Amendola | |
| Evaluation of volatility predictions in a VaR framework | |
| C1062: A. Papana, C. Kyrtsou, D. Kugiumtzis, C. Diks | |
| Identifying causal relationships in case of non-stationary time series | |
| C1209: H. Karlsen | |
| Spatial GARCH(p,q) model |
| Parallel session Q: | Monday 16.12.2013 | 14:30 - 15:50 |
| Session CS11 | Room: Woburn |
| Bayesian methods in macroeconomics and finance | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Andreas Carriero |
Organizer: Andreas Carriero |
| C864: M. Jarocinski, B. Mackowiak | |
| Granger-causal-priority and choice of variables in vector autoregressions | |
| C1012: A. Paccagnini | |
| Bayesian factor augmented vector autoregressive models | |
| C936: D. Ahelegbey | |
| Bayesian graphical vector auto regression |
| Session CS43 | Room: Beveridge |
| Early warnings indicators and macro-prudential policy II | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Gianluigi Mazzi |
Organizer: Gianluigi Mazzi |
| C558: M. Juselius, M. Drehmann | |
| Evaluating early warning indicators of banking crises: Satisfying policy requirements | |
| C738: C. Hsiao, J. Chan, R. Fry-McKibbin | |
| A regime switching skew-normal model for measuring financial crisis and contagion |
| Session CS104 | Room: 349 |
| Contributions in Bayesian econometrics I | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Ghislaine Gayraud |
Organizer: CFE 2013 |
| C945: B. Marquier, K. Triantafyllopoulos, M. Juarez | |
| Bayesian cointegration of multivariate time series | |
| C1057: F. Yang, R. Leon-Gonzalez | |
| An application of bayesian VAR-copula to the effect of macroeconomic risk appetite on growth | |
| C1182: W. Chen, R. Gerlach | |
| Semi-parametric GARCH via Bayesian model averaging | |
| C1034: X. Liu, R. Luger | |
| Markov-switching quantile autoregressions: A Gibbs sampling approach |
| Session CS105 | Room: G21A |
| Econometric theory | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Stephen Pollock |
Organizer: CFE 2013 |
| C926: D. Li, L. Simar, V. Zelenyuk | |
| To smooth or not to smooth: The case of discrete variables in nonparametric regression | |
| C1096: M. Pleus | |
| On overidentifying restrictions tests and their incremental versions | |
| C1066: S. Broda, R. Kan | |
| On distributions of ratios | |
| C1131: A. Duplinskiy | |
| On the need of regularization: Wald-type test under nonregular condidtions |
| Session CS126 | Room: Senate |
| Finite sample and identification-robust methods | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Bertille Antoine |
Organizer: Lynda Khalaf |
| C1008: B. Antoine | |
| Inference with mixed frequency data | |
| C1064: R. Luger, J. Dufour | |
| Exact moment-based tests of linearity in Markov-switching models | |
| C1045: X. Liang, J. Dufour | |
| Necessary and sufficient conditions for nonlinear parametric function identification |
| Session CS24 | Room: Montague |
| Contributions to factor models and forecasting applications | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Rodney Strachan |
Organizer: CFE 2013 |
| C116: D. Leiva-Leon, M. Chauvet, W. Barnett | |
| Real-time nowcasting of nominal GDP | |
| C1138: A. Giovannelli | |
| Comparing linear and non-linear dynamic factor models for large macroeconomic datasets | |
| C1077: A. den Reijer, P. Otter, J. Jacobs | |
| A criterion for the number of factors in a data-rich environment | |
| C921: R. Strachan, J. Chan, R. Leon-Gonzalez | |
| Invariant inference and efficient computation in the static factor model |
| Session CS37 | Room: Bedford |
| Time-varying parameters in finance and economics I | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Jim Griffin |
Organizer: CFE 2013 |
| C951: T. Vatter, V. Chavez-Demoulin, H. Wu, B. Yu | |
| Non-parametric estimation of intraday spot volatility: Disentangling instantaneous trend and seasonality | |
| C997: D. Bala, T. Takimoto | |
| Stochastic volatility and Kalman filter in financial time series: Evidence from state space models | |
| C1005: J. Xu, T. Takimoto | |
| Assessing macroeconomic effects of nontraditional monetary policy in Japan with TVP-SVAR model | |
| C996: T. Strohsal | |
| Testing the preferred-habitat theory: The role of time-varying risk aversion |
| Session CS81 | Room: Gordon |
| Contributions in non-linear dynamic models | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Haroon Mumtaz |
Organizer: CFE 2013 |
| C1042: R. Hennani, M. Terraza | |
| European debt crisis: Contagion or interdependence of the main euro zone indices | |
| C1103: F. Karame | |
| A test for asymmetries in Markov-switching structural VAR models | |
| C1165: V. Mendes, D. Mendes | |
| Stability analysis of an implicitly-defined labor market model | |
| C1183: P. Exterkate | |
| Distribution forecasting in nonlinear models with stochastic volatility |
| Session CS120 | Room: Bloomsbury |
| Contributions on long memory in economic and financial time series | Monday 16.12.2013 14:30 - 15:50 |
| Chair: Tommaso Proietti |
Organizer: CFE 2013 |
| C1090: M. Limam, V. Terraza, M. Terraza | |
| Long memory and regime switching beta model for hedge fund dynamics | |
| C1115: K. Lee | |
| Horizon dependent portfolio allocation | |
| C930: H. Chuang | |
| How dynamic networking drives stock market volatility, and what it matters | |
| C1112: X. Li | |
| Moment and memory properties of exponential ARCH models |
| Parallel session R: | Monday 16.12.2013 | 16:20 - 17:40 |
| Session CS110 | Room: B36 |
| Contributions in Bayesian econometrics II | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Marek Jarocinski |
Organizer: CFE 2013 |
| C039: C. Mastromarco | |
| A new measure of the output gap for the EU countries: A state space approach to productivity and efficiency measurement | |
| C737: E. Djeutem | |
| Inference for nonlinear exchange rate dynamics | |
| C981: J. Galan, H. Veiga, M. Wiper | |
| Bayesian analysis of dynamic effects in inefficiency: Evidence from the Colombian banking sector | |
| C1088: R. Yatigammana, R. Gerlach | |
| Identification and estimation of structural breaks in duration data |
| Session CS122 | Room: G16 |
| Time-varying parameters in finance and economics II | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Cristina Amado |
Organizer: CFE 2013 |
| C142: M. Karanasos, A. Paraskevopoulos, S. Dafnos | |
| A unified theory for time-varying models: Foundations and applications in the presence of breaks and heteroskedasticity | |
| C1114: D. Faye | |
| The SVaR: Modeling state space of value at risk | |
| C1261: H. Zhang, R. Hudson, H. Metcalf | |
| Investigation of institutional changes in the UK housing market by structural break tests and time varying parameter models |
| Session CS125 | Room: B30 |
| Contributions to risk modeling and management II | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Rustam Ibragimov |
Organizer: CFE 2013 |
| C108: S. Ben Jabeur, R. Belhaj Hassine, F. Youssef | |
| The asymmetry of accounting information: Problems of missing data | |
| C672: S. Benoit, C. Hurlin, C. Perignon | |
| Implied risk exposures | |
| C856: G. Costanzo, M. Succurro, D. Silipo | |
| Using robust principal component analysis to define an early warning index of firm's over-indebtedness and insolvency | |
| C962: W. Snoussi, M. El-Aroui | |
| New models for financial emerging market risk |
| Session CS74 | Room: B33 |
| Modelling regime changes III | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C877: M. Charpe, S. Kuhn | |
| The effect of wage moderation on output and employment | |
| C947: E. Ernst, C. Viegelahn | |
| Forecasting labour markets using hiring uncertainty | |
| C954: H. Nyberg | |
| A qualitative response VAR model: Joint dynamics of U.S. interest rates and business cycle | |
| C1267: M. Kappler, F. Schleer | |
| How Many Factors and Shocks Cause Financial Stress |
| Session CS18 | Room: B18 |
| Financial modelling | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Giuseppe Storti |
Organizer: CFE 2013 |
| C076: A. Kabundi | |
| Kalman filtering and online learning algorithms for portfolio selection | |
| C120: J. Alonso, L. Berggrun | |
| A methodological note on the estimation of the ``smart money effect'' | |
| C434: T. Shibata, M. Nishihara | |
| Investment strategies and financing constraints | |
| C909: S. Mouabbi | |
| An arbitrage-free Nelson-Siegel term structure model for the determination of currency risk premia |
| Session CS123 | Room: B35 |
| Contributions in time series and panel data econometrics | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Mauro Costantini |
Organizer: CFE 2013 |
| C211: G. Becheri, R. van den Akker | |
| An asymptotically UMP test for unit roots in cross-sectionally dependent panels | |
| C824: C. Lupi, M. Costantini | |
| Identifying I(0) series in macro-panels: On the usefulness of sequential panel selection methods | |
| C825: R. Corradini, F. Oropallo | |
| Modeling regional disparities in the sectoral economic performance: An experimental analysis in Italy | |
| C916: P. Mazza, M. Petitjean | |
| Intraday liquidity, price dynamics and uncertainty in cap-based portfolios |
| Session CS117 | Room: G15 |
| Cointegration | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Paolo Paruolo |
Organizer: CFE 2013 |
| C818: D. Saraiva, J. Issler, O. Guillen, A. Hecq | |
| Forecasting multivariate time series under different short- and long-run co-movement restrictions | |
| C1065: J. Afonso-Rodriguez | |
| Estimation and testing for cointegration with threshold effects | |
| C230: N. Ferreira, R. Menezes, M. Oliveira | |
| Cointegration and structural breaks in the EU debt sovereign crisis | |
| C1208: J. Fernandez-Macho | |
| A wavelet approach to multiple cointegration testing |
| Session CS44 | Room: B34 |
| Copulas and its applications | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Jean-David Fermanian |
Organizer: CFE 2013 |
| C875: M. Ames, G. Bagnarosa, G. Peters | |
| Reinvestigating the UIP puzzle via analysis of multivariate tail dependence in currency carry trades | |
| C1036: B. Stoeve, G. Berentsen, D. Tjostheim, T. Nordbo | |
| Recognizing and visualizing copulas: An approach using local Gaussian approximation | |
| C1225: J. Fjodorovs, A. Matvejevs | |
| Revaluation of estimated option prices using GARCH processed with most preferable properties | |
| C197: F. Ziegelmann, P. Tofoli, O. Silva Filho | |
| Dynamic D-Vine copula model with applications to value-at-risk |
| Session CS30 | Room: B20 |
| Contributions in Bayesian methods in macroeconomics and finance | Monday 16.12.2013 16:20 - 17:40 |
| Chair: John M. Maheu |
Organizer: CFE 2013 |
| C911: B. Sakaria, J. Griffin | |
| Application of Bayesian methods to financial contagion modelling using factor models | |
| C955: K. Kalogeropoulos, J. Dureau, A. Beskos | |
| Bayesian inference for partially observed SDEs driven by fractional Brownian motion | |
| C1073: K. Petrova, A. Galvao, L. Giraitis, G. Kapetanios | |
| Local Bayesian likelihood methods for estimating time-varying parameter DSGE models |
| Session CS119 | Room: B29 |
| Contributions in changes in volatility and correlation dynamics | Monday 16.12.2013 16:20 - 17:40 |
| Chair: Denis Pelletier |
Organizer: CFE 2013 |
| C986: M. Stein, R. de Santis | |
| Sovereign markets' malfunctioning and observable indicators | |
| C1136: H. Zhang, J. Dufour | |
| Short and long run second-order causality: Theory, measures and inference | |
| C1137: T. Ochiai, J. Nacher | |
| On the application of volatility-constrained correlation to determine directionality between financial markets | |
| C1235: J. Chevallier, S. Aboura | |
| Cross-market spillovers with volatility surprise |