Keynote talk1 Saturday 14.12.2013 08:35 - 09:25 Room: Beveridge
Bootstrap methods for moment condition models
Speaker: R. Smith   Co-authors: Chair: Siem Jan Koopman
Keynote talk2 Sunday 15.12.2013 09:35 - 10:25 Room: Beveridge
Analyzing and forecasting US inflation
Speaker: H. van Dijk  Co-authors: N. Basturk, C. Cakmakli, P. Ceyhan Chair: John Galbraith
Keynote talk3 Monday 16.12.2013 17:50 - 18:40 Room: Beveridge
Signal detection in high dimension: Testing sphericity against spiked alternatives
Speaker: M. Hallin  Co-authors: M. Moreira, A. Onatski Chair: Alastair Young


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 , Svetlana Makarova
  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 , Christian Hafner
  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 , Silvia Figini
  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 , Svetlana Makarova
  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 , Walter Distaso
  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 , Patrick Saart
  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 , Silvia Figini
  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 , Serge Darolles
  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 , Emmanuelle Jay
  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 , Christophe Chorro
  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