MISURA PRIN Project CFE-ERCIM Keynote talk 1 Saturday 06.12.2014 09:10 - 10:00 Room: Auditorium
Dynamic sparsity modelling
Speaker: M. West  Co-authors: J. Nakajima Chair: Manfred Deistler
CFE Keynote talk 2 Saturday 06.12.2014 11:55 - 12:45 Room: Auditorium
Tests for explosive financial bubbles in the presence of non-stationary volatility
Speaker: R. Taylor  Co-authors: D. Harvey, S. Leybourne, R. Sollis Chair: Jean-Marie Dufour
CFE-ERCIM Keynote talk 3 Monday 08.12.2014 12:25 - 13:15 Room: Auditorium
Recent advances in estimation of conditional distributions, densities and quantiles
Speaker: I. Gijbels   Co-authors: Chair: Monica Pratesi
University of Salerno CFE-ERCIM Keynote talk 4 Monday 08.12.2014 18:25 - 19:15 Room: Auditorium
Cluster-robust inference and the wild cluster bootstrap
Speaker: J. MacKinnon   Co-authors: Chair: Helmut Luetkepohl


Parallel session C: Saturday 06.12.2014 10:30 - 11:45

Session CS10 Room: E2
Quantile regression applications in finance Saturday 06.12.2014    10:30 - 11:45
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  C044:   G. Bonaccolto, M. Caporin
  Modeling and forecasting the range bipower variation conditional quantiles
  C715:   L. Petrella, M. Bernardi, R. Casarin
  Dynamic model averaging for quantile regression
  C412:   M. Caporin, F. Ravazzolo, P. Santucci de Magistris
  Spillover effect to bailout expectation: an empirical study of Denmark
Session CS13 Room: A2
Bayesian econometrics Saturday 06.12.2014    10:30 - 11:45
Chair: Richard Gerlach Organizer: C.W.S. Chen
  C484:   T. Watanabe, M. Takahashi, Y. Omori
  Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
  C499:   Y. Omori, S. Shirota, H. Lopes, H. Piao
  Cholesky realized stochastic volatility model with leverage
  C865:   M. So
  Bayesian hierarchical spatial-temporal modeling
Session CS22 Room: Q2
Dynamic modeling of variance risk premia Saturday 06.12.2014    10:30 - 11:45
Chair: Matthias Fengler Organizer: Matthias Fengler
  C1281:   M. Grith
  A dynamic partial equilibrium model for asset pricing with volatility risk premium and reference dependent preferences
  C1005:   A. Cipollini, I. Lo Cascio, S. Muzzioli
  An index of financial connectedness applied to variance risk premia
  C1303:   M. Fengler
  Are variance risk premia affine functions in the underlying state variables?
Session CS34 Room: G2
Econometrics of art markets Saturday 06.12.2014    10:30 - 11:45
Chair: Douglas Hodgson Organizer: Douglas Hodgson
  C586:   D. Hodgson, J. Galbraith
  Innovation, experience and artists' age-valuation profiles: evidence from eighteenth-century rococo and neo-classical painters
  C752:   C. Hellmanzik
  Creative production and peer effects: evidence from the exodus of superstar painters from Paris
  C815:   G. David
  Is art really a safe haven? Evidence from the French art market during WWI
Session CS35 Room: O2
Analysis of extremes and dependence Saturday 06.12.2014    10:30 - 11:45
Chair: Artem Prokhorov Organizer: Rustam Ibragimov , Artem Prokhorov
  C307:   W. Richter
  Geometric measure representations and exact distributions of extremes
  C685:   M. Smith, S. Vahey
  Density forecasting of U.S. macroeconomic variables using a Gaussian copula model of cross-sectional and serial dependence
  C988:   A. Prokhorov, R. Ibragimov
  Fat tails and copulas: limits of diversification revisited
Session CS50 Room: P2
Monitoring macro-economic imbalances and risks Saturday 06.12.2014    10:30 - 11:45
Chair: Gianluigi Mazzi Organizer: Gianluigi Mazzi
  C175:   T. Strohsal, L. Winkelmann
  Assessing the anchoring of inflation expectations
  C370:   G. von Schweinitz, P. Sarlin
  Signaling twin crises: Estimating the nexus of banking and sovereign risk
  C724:   M. Kremer, K. Hubrich, P. Hartmann, R. Tetlow
  Melting down: systemic financial instability and the macroeconomy
Session CS68 Room: B2
Multivariate time Series Saturday 06.12.2014    10:30 - 11:45
Chair: Marco Reale Organizer: Marco Reale
  C905:   A. Naccarato, A. Pierini
  Resampling and asymptotic test statistic distributions for portfolio selection
  C908:   M. Fragetta, E. Gasteiger
  Fiscal foresight, limited information and the effects of government spending shocks
  C1197:   M. Reale, G. Tunnicliffe Wilson, J. Haywood
  VZAR: an extension of the VAR model
Session CS71 Room: I2
Nonparametric and semiparametric methods: Recent developments Saturday 06.12.2014    10:30 - 11:45
Chair: Patrick Saart Organizer: Patrick Saart
  C156:   C. Zhou, Y. Feng
  Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using Semi-FI-Log-ACD
  C598:   P. Saart
  Financial applications of nonparametric methods for functional linear regression analysis
  C601:   N. Kim
  Control function approach to weak instruments
Session CS83 Room: N2
Energy price and volatility modelling Saturday 06.12.2014    10:30 - 11:45
Chair: Helena Veiga Organizer: Helena Veiga , Sofia Ramos
  C147:   P. Guerin, C. Baumeister, L. Kilian
  Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
  C401:   I. Casas, S. Suardi
  Modelling crude oil price return volatility - level Nexus: a robust nonparametric approach
  C699:   A. Bastianin, M. Manera
  How does stock market volatility react to oil shocks?
Session CS88 Room: C2
Quantitive methods in credit risk management Saturday 06.12.2014    10:30 - 11:45
Chair: Jiri Witzany Organizer: Jiri Witzany
  C157:   J. Cerny, J. Witzany
  Wrong-way risk - correlation coefficient calibration
  C1105:   M. Kolman
  Comparison of copulas in CDO valuation
  C1030:   C. Castro, K. Garcia
  Default risk in agricultural lending, the effects of commodity price volatility and climate
Session CS90 Room: M2
Risk estimation and estimation risk Saturday 06.12.2014    10:30 - 11:45
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C381:   C. Francq, J. Zakoian
  Estimating the conditional VaR of a portfolio of multivariate GARCH returns
  C442:   F. Telmoudi, C. Francq, M. El Ghourabi
  Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
  C1113:   C. Hurlin
  Risk measure inference
Session CS61 Room: D2
Filters wavelets and signals I Saturday 06.12.2014    10:30 - 11:45
Chair: Stephen Pollock Organizer: Stephen Pollock
  C871:   M. Bujosa, A. Bujosa, A. Garcia-Ferrer
  Mathematical framework for pseudo-spectra of linear stochastic difference equations
  C560:   M. Scharnagl, M. Mandler
  The relationship of simple sum and Divisia monetary aggregates with real GDP and inflation: a wavelet analysis for the US
  C773:   M. Deistler, B. Anderson, A. Braumann, E. Felsenstein, L. Koelbl
  Generalized linear dynamic factor models
Parallel session E: Saturday 06.12.2014 14:35 - 16:15

Session CSI02 - Invited Room: Sala Convegni
Modeling and forecasting high dimensional time series Saturday 06.12.2014    14:35 - 16:15
Chair: Manfred Deistler Organizer: Manfred Deistler
  C286:   M. Lippi
  Dynamic factor models: I(1) variables and cointegration
  C1246:   J. Dufour, H. Zhang
  Short and long run second-order causality: theory, measures and inference
  C1256:   M. Deistler, B. Anderson, E. Felsenstein, B. Funovits, L. Koelbl, M. Zamani
  Multivariate AR systems and mixed frequency data: identifiability and estimation
Session CS01 Room: M2
Financial econometrics Saturday 06.12.2014    14:35 - 16:15
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  C113:   M. Lof
  Momentum, uncertainty, and exchange rate predictability
  C132:   H. Nyberg, M. Lanne
  Generalized forecast error variance decomposition for linear and nonlinear multivariate models
  C176:   P. Catani, N. Ahlgren
  The power of wild bootstrap tests of cointegration rank with unconditional and conditional heteroskedasticity
  C901:   S. Pynnonen, J. Kolari, A. Tunez
  Further evidence on long-run stock returns after corporate events
Session CS03 Room: C2
Advances in identification of structural vector autoregressive models Saturday 06.12.2014    14:35 - 16:15
Chair: Christiane Baumeister Organizer: Christiane Baumeister
  C168:   D. Caldara, C. Kamps
  The analytics of SVARs: A unified framework to measure fiscal multipliers
  C021:   C. Baumeister, J. Hamilton
  Sign restrictions, structural vector autoregressions, and useful prior information
  C050:   L. Fanelli, E. Bacchiocchi, E. Castelnuovo
  Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S.
  C030:   C. Foroni, M. Marcellino
  Mixed frequency structural VARs
Session CS17 Room: N2
Liquidity and contagion Saturday 06.12.2014    14:35 - 16:15
Chair: Serge Darolles Organizer: Serge Darolles , Gaelle Le Fol
  C411:   E. Theissen, O. Korn, P. Krischak
  Illiquidity transmission from spot to futures markets
  C424:   L. Deville, A. Calamia, F. Riva
  The determinants of ETF liquidity: theory and evidence from European markets
  C469:   G. Mero, S. Darolles, G. Le Fol
  Tracking illiquidities in daily and intradaily characteristics
  C873:   S. Darolles, M. Vaissie
  Non-synchronous market impact and hedge fund portfolio construction
Session CS32 Room: P2
Co-movements in macroeconomics and finance Saturday 06.12.2014    14:35 - 16:15
Chair: Alain Hecq Organizer: Alain Hecq
  C632:   G. Cubadda, E. Scambelloni
  Factor-augmented autoregressiove models: representation, estimation, and forecasting
  C646:   L. Lieb, A. Bicu
  Cross-border effects of coordinated fiscal policy in the Eurozone
  C680:   B. Guardabascio, G. Cubadda, A. Hecq
  A vector heterogeneous autoregressive index model for bi-power variation
  C823:   G. Chevillon
  Exuberance: an empirical investigation of sentiment driven buoyancy
Session CS42 Room: B2
Time-series econometrics Saturday 06.12.2014    14:35 - 16:15
Chair: Robert Kunst Organizer: Robert Kunst
  C057:   U. Gunter, I. Onder
  Forecasting tourism demand with Google trends: The case of Vienna
  C361:   M. Hauser, A. Gonzaga
  Estimation of generalized long-memory stochastic volatility: Whittle and wavelets
  C610:   H. Rachinger
  Multiple breaks in long memory time series
  C271:   R. Kunst
  Forecasting seasonal data and nonparametric unit-root tests
Session CS53 Room: O2
Advances in DSGE Modelling Saturday 06.12.2014    14:35 - 16:15
Chair: Alexander Meyer-Gohde Organizer: Alexander Meyer-Gohde
  C493:   T. Holden, M. Paetz
  Efficient simulation of DSGE models with occasionally binding constraints
  C547:   A. Meyer-Gohde, D. Neuhoff
  Generalized exogenous processes in DSGE: a Bayesian approach
  C1163:   A. Duplinskiy, F. Palm, J. Urbain
  Estimation of the DSGE models with multivariate detrending
  C691:   M. Evers
  Solving nonlinear rational expectations models by approximating the stochastic equilibrium system
Session CS58 Room: H2
Statistical modelling in banking and insurance regulations Saturday 06.12.2014    14:35 - 16:15
Chair: Gareth Peters Organizer: Gareth Peters
  C496:   R. Gerlach, C. Chen
  Bayesian daily tail-risk forecasting employing intra-day data
  C539:   T. Aste, A. Birch
  Onset of systemic fragility due to counterparty risk in a stylized banking system
  C599:   G. Bagnarosa, M. Ames, G. Peters
  Systemic crisis timeline using tails dependences
  C315:   G. Peters, R. Targino, P. Shevchenko
  Sequential Monte Carlo for capital allocation
Session CS62 Room: D2
Filters wavelets and signals II Saturday 06.12.2014    14:35 - 16:15
Chair: Stephen Pollock Organizer: Stephen Pollock
  C279:   K. Triantafyllopoulos, D. Kadir
  Bayesian inference of autoregressive models
  C555:   M. van Kampen, M. Wagner
  Convergence rates of sieve estimation in a univariate nonlinear cointegration model
  C419:   T. Cesaroni, R. De Santis
  Current account core periphery dualism in the EMU
  C781:   C. Rivero, J. del Hoyo, G. Llorente
  A testing procedure for parameter constancy in stochastic volatility models
Session CS64 Room: G2
Regime change modeling in economics and finance I Saturday 06.12.2014    14:35 - 16:15
Chair: Willi Semmler Organizer: Willi Semmler
  C1009:   K. Hubrich, P. Hartmann, M. Kremer, R. Tetlow
  Melting down: systemic financial instability and the macroeconomy
  C1101:   W. Semmler, F. Schleer
  Overleveraging in the banking sector: evidence from Europe
  C1045:   G. Ghiani, M. Gillman, M. Kejak
  Money, banking and interest rates: monetary policy regimes with Markov-switching VECM evidence
  C953:   G. Caggiano, E. Castelnuovo, G. Nodari
  Uncertainty and monetary policy in good and bad times
Session CS80 Room: E2
Financial Modelling Saturday 06.12.2014    14:35 - 16:15
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  C141:   T. Selland Kleppe, J. Yu, H. Skaug
  Maximum likelihood estimation of partially observed diffusion models
  C527:   G. Sucarrat, A. Escribano
  Unbiased QML estimation of log-GARCH models in the presence of zero returns
  C548:   S. Groenneberg, B. Holcblat, G. Sucarrat
  Consistency and asymptotic normality in log-GARCH-X models
  C172:   M. Wolf, O. Ledoit
  Nonlinear shrinkage for portfolio selection: Markowitz meets goldilocks
Parallel session G: Saturday 06.12.2014 16:45 - 18:50

Session CS02 Room: N2
Volatility and correlation modelling for financial markets Saturday 06.12.2014    16:45 - 18:50
Chair: Cristina Amado Organizer: Cristina Amado
  C059:   G. Fruet Dias
  Assessing risk premium over time: Inference on GARCH-in-mean models with time-varying coefficients
  C095:   T. Nakatani
  Handling conditional correlation GARCH models in R: The ccgarch2 package
  C349:   R. Halbleib, A. Zagidullina
  A latent factor model for panels of realized volatilities
  C190:   H. Vander Elst, N. Hansen, A. Lunde, K. Olesen
  Realizing commodity correlations and the market Beta
  C755:   P. Rodrigues, J. Nicolau
  Testing for tail breaks in bank equity index returns: international evidence
Session CS103 Room: F2
Contributions to applied econometrics I Saturday 06.12.2014    16:45 - 18:50
Chair: Hilde C. Bjornland Organizer: CFE 2014
  C544:   J. Yoon, T. Krivobokova, S. Klasen, A. Dreher
  Composite indices based on partial least squares
  C921:   C. Otrok, T. Helbling, R. Huidrom, A. Kose
  How do business cycles become global? Common shocks or spillovers?
  C1117:   L. Coroneo, V. Corradi, P. Santos Monteiro
  Testing for optimal monetary policy via moment inequalities
  C1171:   R. Hisano, T. Mizuno, T. Ohnishi, T. Watanabe
  Identification of network effect in the buyer-seller network
  C1250:   H. Bjornland, L. Brubakk, J. Maih
  Monetary policy, leaning and concern for financial stability
Session CS06 Room: B2
Non-stationary time series and the bootstrap Saturday 06.12.2014    16:45 - 18:50
Chair: Peter Boswijk Organizer: Peter Boswijk
  C042:   C. Trenkler, R. Brueggemann, C. Jentsch
  Inference in VARs with conditional heteroskedasticity of unknown form
  C066:   L. De Angelis, G. Cavaliere, A. Rahbek, R. Taylor
  Determining the co-integration rank in heteroskedastic VAR models of unknown order
  C187:   S. Smeekes, R. Taylor
  Bootstrap inference on deterministic trends in the presence of heteroskedastic and possibly integrated errors
  C266:   A. Rahbek, G. Cavaliere, P. Boswijk, R. Taylor
  Bootstrap-based inference on cointegration parameters in heteroscedastic vector autoregressions
  C280:   P. Boswijk, Y. Zu
  Adaptive testing for a unit root with nonstationary volatility
Session CS16 Room: E2
Modelling financial contagion Saturday 06.12.2014    16:45 - 18:50
Chair: Raffaella Calabrese Organizer: Raffaella Calabrese
  C1065:   C. Kok
  Using agent-based network models to assess financial contagion
  C1258:   S. Battiston
  Systemic risk in financial networks
  C1238:   S. Markose
  Global macro-nets: systemic risk from within country sectoral imbalances and cross border exposures of national banks
  C1044:   S. Giansante
  Early warning of global financial instability: a spectral systemic risk index
  C1003:   T. Squartini, I. van Lelyveld, D. Garlaschelli
  Early-warning signals of topological collapse in interbank networks
Session CS18 Room: O2
Statistical signal processing in asset management Saturday 06.12.2014    16:45 - 18:50
Chair: Serge Darolles Organizer: Serge Darolles , Rafael Molinero
  C743:   M. Mitri, E. Jay, S. Clemencon
  Mixture of experts for binary classification: application to the S$\&$P500 index prediction
  C851:   R. Molinero
  Practical uses of signal processing in asset management
  C888:   N. Baltas
  Trend-following meets Risk-Parity
  C1196:   M. Rosenbaum, W. Huang, C. Lehalle
  Simulating and analyzing order book data: the queue-reactive model
  C1294:   L. Liu
  On the joint dynamics of equity and bond - a no arbitrage dynamic asset pricing approach
Session CS21 Room: A2
Behavioural and emotional finance: Theory and evidence Saturday 06.12.2014    16:45 - 18:50
Chair: Richard John Fairchild Organizer: Richard John Fairchild
  C224:   J. Ashton, A. Gregoriou
  Determining the customer costs of using personal current accounts
  C578:   X. Chen, R. Fairchild, G. Muradoglu
  Between fear and hope: optimal portfolio choice in a model combining expected utility and safety first preferences
  C762:   S. Schraeder
  Information processing and non-Bayesian learning in financial markets
  C885:   E. Cervellati, P. Pattitoni, M. Savioli
  Entrepreneurial under-diversification: over optimism and overconfidence
  C1308:   B. Kluger, P. Chelley-Steeley, J. Steeley
  Victory desease, earnings and hindsight bias: An experimental study
Session CS47 Room: P2
Cyclical composit indicators Saturday 06.12.2014    16:45 - 18:50
Chair: Gianluigi Mazzi Organizer: Gianluigi Mazzi
  C090:   S. Pollock
  Econometric filters
  C334:   M. Ghil, A. Groth, L. Sella, G. Vivaldo
  Advanced spectral methods for macroeconomic indicators
  C354:   S. Schreiber
  Anticipating business-cycle turning points in real time using density forecasts from a VAR
  C435:   D. Leiva-Leon, P. Guerin
  Using state-level data as predictors of National recessions: a model-averaging approach
  C512:   G. Mazzi, M. Billio, J. Anas, L. Ferrara
  A unified framework for euro area and member countries real-time business cycle analysis
Session CS55 Room: G2
Volatility models and their applications Saturday 06.12.2014    16:45 - 18:50
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C251:   N. Kunitomo, H. Misaki
  The SIML estimation of integrated covariances and hedging coefficients under micro-market noise and random sampling
  C405:   T. Isogai
  Network clustering of Japanese stock returns with multivariate GARCH model
  C406:   K. Sugiura, T. Nakatsuma, K. McAlinn
  Predicting executions in high-frequency trading
  C623:   I. Ishida, V. Kvedaras
  Moment-based estimation of stochastic volatility models in the presence of intraday seasonality
Session CS57 Room: C2
Risk measures Saturday 06.12.2014    16:45 - 18:50
Chair: Katerina Panopoulou Organizer: Katerina Panopoulou
  C178:   E. Mitrodima, J. Griffin, J. Oberoi
  Decomposition of the asset return distribution by joint autoregressive quantile models
  C393:   J. Belles-Sampera, M. Guillen, M. Santolino
  A role for GlueVaR risk measures under the Solvency II framework
  C402:   C. Argyropoulos, E. Panopoulou
  Do realized measures improve VaR and ES forecasts
  C592:   E. Dumitrescu, J. Balter, P. Hansen
  Exchange rate volatility forecasting: a multivariate realized-GARCH approach
  C614:   D. Banulescu, P. Hansen, Z. Huang, M. Matei
  Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approach
Session CS60 Room: D2
Contributions on time series econometrics I Saturday 06.12.2014    16:45 - 18:50
Chair: Manabu Asai Organizer: CFE 2014
  C1189:   J. Lohmeyer, J. Urbain, F. Palm
  Are you sure that you took the right model? Estimating impulse responses under model uncertainty
  C1048:   J. Wang, C. Diks
  Can a stochastic cusp catastrophe model explain housing market crashes?
  C1066:   P. Grabarczyk, M. Wagner
  Integrated modified OLS estimation andfixed-b inference for one-nonlinear-variable cointegrating polynomial regressions
  C1173:   G. Dissanayake, S. Peiris, T. Proietti
  State space modeling of seasonal Gegenbauer processes with long memory
  C362:   J. Lee
  Testing for neglected nonlinearity in economic time series: radial basis function network model
Session CS100 Room: M2
Empirical applications in macroeconomics and time series analysis Saturday 06.12.2014    16:45 - 18:50
Chair: Barbara Rossi Organizer: Barbara Rossi
  C070:   M. Nedeljkovic
  Emerging markets diversification benefits and FX risks in a globalizing world
  C073:   D. Kaufmann, R. Scheufele
  Measuring output gaps in real time by use of business tendency surveys
  C102:   M. Owyang, T. Berge
  Forecasting FOMC target changes
  C123:   R. Lieli, Y. Hsu
  Inference for ROC curves based on estimated predictive indices: A note on testing AUC = 0.5
  C121:   T. Sekhposyan, B. Rossi
  Macroeconomic uncertainty indices
Session CS46 Room: I2
Macro and forecasting Saturday 06.12.2014    16:45 - 18:50
Chair: Fotis Papailias Organizer: Fotis Papailias
  C1145:   M. Martins, L. Aguiar-Conraria, S. Maria Joana
  The time-frequency foundations of the Taylor rule
  C1100:   D. Thomakos
  Smoothing macroeconomic and financial time series
  C1194:   F. Papailias, G. Kapetanios, M. Marcellino
  Improved financial conditions indexes
  C1269:   M. Karanasos, A. Paraskevopoulos, S. Dafnos
  The fundamental properties of time varying AR models with non stochastic coefficients
  C1008:   K. Petrova, G. Kapetanios, L. Giraitis, A. Galvao
  Local Bayesian estimation and forecasting with time-varying parameter DSGE models
Parallel session I: Sunday 07.12.2014 08:45 - 10:25

Session CS11 Room: A2
Bayesian nonlinear econometrics Sunday 07.12.2014    08:45 - 10:25
Chair: Roberto Casarin Organizer: Roberto Casarin
  C313:   F. Ravazzolo, F. Krueger, T. Clark
  Combining survey and Bayesian VAR forecasts of US macro variables: Evidence from entropic tilting
  C728:   A. Pierini, R. Casarin, A. Naccarato
  Multiple bi-dimensional SV models for volatility matrix estimation. The case of 5D-italian banks' return
  C729:   N. Basturk, L. Hoogerheide, P. de Knijf, H. van Dijk
  A Bayesian test for multimodality with applications to DNA and economic data
  C772:   A. Mira, E. Ghysels, R. Solgi
  A general Bayesian MIDAS regression approach with application to data frequency selection
Session CS14 Room: N2
Recent developments in volatility modelling Sunday 07.12.2014    08:45 - 10:25
Chair: Christian Conrad Organizer: Christian Conrad
  C426:   H. Herwartz, B. Beckers, M. Seidel
  Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
  C531:   M. Schienle, C. Conrad
  Misspecification testing in GARCH-MIDAS models
  C1291:   M. Bazzi, F. Blasques, A. Lucas, S. Koopman
  Transformed polynomials for modeling conditional volatility
  C872:   S. Yfanti, M. Karanasos
  Modelling returns and volatilities during financial crises: a time varying coefficient approach
Session CS20 Room: H2
Banks and the macroeconomy: Empirical models for stress testing Sunday 07.12.2014    08:45 - 10:25
Chair: Rochelle M. Edge Organizer: Rochelle M. Edge
  C369:   R. Edge, L. Guerrieri
  Individual-bank income and expense forecasts - How multi-response PLS methods compare
  C603:   J. Chiu
  Vector autoregressive models for scenario design: a horse-race comparison
  C620:   R. Bidder, R. Giacomini
  Stress testing and interest rate risk
  C801:   J. Henry, B. Marta, D. Giannone, M. Lenza, M. Modugno
  Stress-test scenarios for the euro area: a large Bayesian VAR methodology
Session CS30 Room: I2
Mixture models for financial and macroeconomic time series Sunday 07.12.2014    08:45 - 10:25
Chair: Markus Haas Organizer: Markus Haas
  C491:   T. Chuffart, E. Flachaire, A. Peguin-Feissolle
  Testing for misspecification in GARCH-type models
  C573:   M. Gambacciani, M. Paolella
  Asset returns density forecasting with MCD algorithms
  C276:   M. Haas
  Modeling stock market returns with mixtures of skew-normal distributions
Session CS48 Room: P2
Nowcasting and forecasting macro-economic trends Sunday 07.12.2014    08:45 - 10:25
Chair: Gianluigi Mazzi Organizer: Gianluigi Mazzi
  C163:   D. de Antonio Liedo, J. Palate
  A nowcasting library in JDemetra+ for reading and visualizing news
  C179:   E. Knotek, S. Zaman
  Nowcasting U.S. headline and core inflation
  C581:   I. Pirschel, M. Wolters
  Forecasting German key macroeconomic variables using large dataset methods
  C686:   A. Paccagnini, R. Cardani, S. Villa
  Forecasting in a DSGE model with banking intermediation: evidence from the US
Session CS73 Room: G2
Regime switching, filtering, and portfolio optimization Sunday 07.12.2014    08:45 - 10:25
Chair: Joern Sass Organizer: Joern Sass
  C884:   J. Sass, V. Krishnamurthy, E. Leoff
  Regime switching in continuous time and filter-based volatility
  C875:   J. Reynolds
  Commonality in liquidity dimensions: a generalized dynamic factor model approach
  C879:   S. Desmettre, J. de Kock, F. Seifried
  Generalized Pareto processes and liquidity
  C894:   R. Wunderlich
  Expert opinions and optimal portfolio strategies under partial information
Session CS76 Room: M2
Topics in financial econometrics Sunday 07.12.2014    08:45 - 10:25
Chair: Leopold Soegner Organizer: Leopold Soegner
  C247:   K. Poetzelberger
  Adaptive control variables for estimating functionals of diffusion processes
  C255:   L. Vana, B. Gruen, P. Hofmarcher, K. Hornik
  A predictive Bayesian model averaging approach on firm default probabilities
  C811:   F. Macaluso, A. Mira, P. Schneider
  How to sample from a distribution when only the characteristic function is known
  C857:   J. Pelenis
  Evaluation of expected shortfall forecasts
Session CS82 Room: B2
Bootstrapping time series and panel data Sunday 07.12.2014    08:45 - 10:25
Chair: Jean-Pierre Urbain Organizer: Jean-Pierre Urbain
  C915:   A. Cornea-Madeira, O. Boldea, A. Hall
  Bootstrap-based tests for multiple structural changes in linear models with endogenous regressors
  C1082:   S. Fachin, F. Di Iorio
  Estimating unobservable common trends in small samples using panel cointegration methods
  C1121:   M. Friedrich, S. Smeekes
  Bootstrap simultaneous confidence bands for time-varying coefficient models
  C1181:   C. Jentsch, E. Paparoditis, D. Politis
  Block bootstrap theory for multivariate integrated and cointegrated processes
Session CS96 Room: E2
Econometric models for mixed frequency data Sunday 07.12.2014    08:45 - 10:25
Chair: Joerg Breitung Organizer: Eric Ghysels
  C029:   T. Goetz, A. Hecq
  Large Bayesian mixed-frequency vector autoregressions
  C031:   J. Breitung, N. Soldatenkova
  Estimating vector autoregressions with mixed frequency data
  C034:   C. Schumacher
  MIDAS regressions with time-varying parameters
  C040:   K. Aastveit, C. Foroni, F. Ravazzolo
  Density forecasts with MIDAS models
Session CP01 Room: First floor Hall
Poster session Sunday 07.12.2014    08:45 - 10:25
Chair: Francisco de Asis Torres-Ruiz Organizer: CFE 2014
  C327:   P. Chirico
  State space models for hourly electricity prices
  C391:   A. Czapkiewicz, P. Jamer
  The study of multi-regimes switching copula models
  C1106:   F. Cech, J. Barunik
  On the modelling and forecasting multivariate realized volatility: generalized heterogeneousautoregressive (GHAR) model
  C1056:   J. Rodriguez-Avi, M. Olmo-Jimenez, A. Conde-Sanchez, A. Saez-Castillo, A. Martinez-Rodriguez
  Using regression models to classify national football teams according to the number of goals
  C1176:   Y. Kawasaki, Y. Aoki
  Change in trading rules and its impact on the distributional properties of commodity futures
  C1193:   H. Nishino
  GARCH model for income time series data with income inequality
  C1261:   A. Wolny-Dominiak, T. Zadlo, W. Gamrot
  Quantile absolute prediction error measure in claim frequency mixed model
Parallel session J: Sunday 07.12.2014 10:55 - 13:00

Session CSI03 - Invited Room: Sala Convegni
VAR modeling, cointegration and uncertainty Sunday 07.12.2014    10:55 - 13:00
Chair: Peter Winker Organizer: Peter Winker
  C126:   H. Luetkepohl, A. Netsunajev
  Structural vector autoregressions with smooth transition in variances - the interaction between U.S. monetary policy and the stock market
  C561:   P. Winker, A. Staszewska-Bystrova, H. Lutkepohl
  Confidence bands for impulse responses: Bonferroni versus Wald
  C790:   M. Wagner
  Some extensions of regression based cointegration analysis
Session CS54 Room: N2
Contributions on volatility models and estimation Sunday 07.12.2014    10:55 - 13:00
Chair: Helmut Herwartz Organizer: CFE 2014
  C688:   S. Khovansky, O. Zhylyevskyy
  On the link between new stock listings and delistings and average cross-sectional idiosyncratic stock volatility
  C964:   C. Kesamoon, J. del Castillo
  Volatility forecasting with exogenous variables and latent information
  C1059:   A. Scognamillo, A. Amendola, V. Candila
  Does U.S. monetary policy affect crude oil future price volatility? An empirical investigation
  C898:   A. Palandri
  Apophenia: Data under-mining the volatility leverage-effect
  C998:   Y. Koike
  Quadratic variation estimation of an irregularly observed semimartingale with jumps and noise
Session CS12 Room: P2
Modelling uncertainty in macroeconomics Sunday 07.12.2014    10:55 - 13:00
Chair: Wojtek Charemza Organizer: Wojtek Charemza , Svetlana Makarova
  C173:   P. Siklos
  What's the outlook: Combining narrative, numerical forecasts, and policy uncertainty
  C191:   A. Cesa-Bianchi, H. Pesaran, A. Rebucci
  Uncertainty and economic activity: A global perspective
  C220:   H. Kowalczyk, E. Stanislawska
  Fan charts vs. survey forecasts. How similar are they in Poland?
  C237:   X. Sheng, E. Ozturk
  Measuring global and country-specific macroeconomic uncertainty
  C492:   S. Makarova, W. Charemza, C. Diaz
  Ex-post inflation forecast uncertainty and skew normal distribution: `Back from the future' approach
Session CS23 Room: Q2
A novel perspective in predictive modelling for risk analysis Sunday 07.12.2014    10:55 - 13:00
Chair: Chiara Gigliarano Organizer: Silvia Figini , Chiara Gigliarano
  C171:   P. Zuccolotto, M. Manisera
  Nonlinear CUB models
  C734:   J. Ansell
  Non-parametric and functional approaches to analysing SME performance
  C799:   G. Andreeva, A. Matuszyk
  Gender differences in consumer credit risk
  C127:   J. Witzany, S. Privara, M. Kolman
  Recovery rates in consumer lending: Empirical evidence and the model comparison
  C1237:   J. Crook, M. Leow
  Parameterised intensity models with macroeconomic variables for credit cards
Session CS26 Room: Q2
Statistical Inference on risk measures Sunday 07.12.2014    10:55 - 13:00
Chair: Ghislaine Gayraud Organizer: Ghislaine Gayraud
  C195:   S. Bouzebda
  On the strong approximation of bootstrapped empirical copula processes with applications
  C376:   G. Stupfler, L. Gardes
  Estimating extreme quantiles under random truncation
  C414:   G. Gayraud, M. Bernardi, L. Petrella
  Posterior rates of Bayesian VaR and CoVaR
  C465:   P. Regnault, G. D'Amico
  Confidence intervals for dynamic Theil entropy of economic systems modeled by Birth-Death processes
  C488:   M. Chaouch, S. Khardani
  Randomly censored quantile regression estimation using functional stationary ergodic data
Session CS27 Room: B2
Inference for financial times series Sunday 07.12.2014    10:55 - 13:00
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  C457:   R. Weigand
  State space modeling of fractional cointegration subspaces
  C819:   G. Calzolari, R. Halbleib
  Estimating multivariate symmetric stable distributions with independent components by means of indirect inference
  C830:   G. Storti, A. Preminger
  Least squares estimation for GARCH (1,1) model with heavy tailed errors
  C663:   A. Preminger, C. Hafner
  On asymptotic theory for ARCH(infinite) models
  C1154:   G. Cesale, G. Storti
  A flexible approach to volatility prediction in high-dimensional GARCH models
Session CS63 Room: E2
Forecasting Sunday 07.12.2014    10:55 - 13:00
Chair: Pilar Poncela Organizer: Pilar Poncela
  C268:   A. Espasa, G. Carlomagno
  The pairwise approach to model and forecast a large set of disaggregates with common trends
  C746:   E. Senra, P. Poncela
  Medium term inflation forecasts
  C789:   L. Sierra, P. Poncela, E. Senra
  The predictive content of co-movement in non-energy commodity price changes
  C896:   P. Poncela, A. Fuertes
  Forecasting volatility measures through dynamic factor models of realized measures
Session CS74 Room: G2
Regime change modeling in economics and finance II Sunday 07.12.2014    10:55 - 13:00
Chair: Willi Semmler Organizer: Willi Semmler
  C919:   B. Kay, T. Daula
  International employment and the business cycle: new stylized facts with an application to the great moderation
  C925:   W. Maldonado, O. Tourinho, J. de Abreu
  Cointegrated periodically collapsing bubbles in the exchange rate of BRICS countries
  C951:   J. Kukacka, J. Barunik
  Non-parametric simulated ML estimation of the heterogeneous agent models
  C1023:   E. Mayer, S. Debes, J. Gareis, S. Rueth
  Towards a consumer sentiment channel of monetary policy
  C1069:   E. Ernst, F. Saliba
  Are house price dynamics responsible for unemployment persistence?
Session CS92 Room: O2
Real-time modelling with data subject to different complications Sunday 07.12.2014    10:55 - 13:00
Chair: Peter Zadrozny Organizer: Peter Zadrozny
  C365:   P. Zadrozny, B. Chen
  Weighted-covariance factor decomposition of VARMA models for forecasting
  C378:   K. Wohlrabe, G. Strasser
  Micro information dynamics: Decomposing the forecasting power of aggregate indicators
  C639:   K. Drechsel, S. Giesen, A. Lindner
  Outperforming IMF forecasts by the use of leading indicators
  C701:   M. Banbura, D. Giannone, M. Lenza
  Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
  C814:   H. Mikosch, Y. Zhang
  Forecasting Chinese GDP growth with mixed frequency data: which indicators to look at?
Session CS94 Room: I2
Macroeconometrics Sunday 07.12.2014    10:55 - 13:00
Chair: Herman van Dijk Organizer: Domenico Giannone
  C071:   R. Ouysse
  Forecasting in a data rich environment: Bayesian model averaging and principal components regression
  C470:   G. Callegari, G. Ricco, J. Cimadomo
  Signals from the Government: policy uncertainty and the transmission of fiscal shocks
  C675:   H. van Dijk, R. Casarin, S. Grassi, F. Ravazzolo
  Dynamic predictive density combinations for large datasets
  C890:   M. Jarocinski, M. Lenza
  Output gap and inflation forecasts in a Bayesian dynamic factor model of the euro area
  C1093:   S. Fahr, C. Altavilla
  Regime switching money market dynamics and its macroeconomic implications
Session CS97 Room: C2
Risk modeling and applications Sunday 07.12.2014    10:55 - 13:00
Chair: Mario Maggi Organizer: Mario Maggi
  C399:   L. Grossi, F. Nan
  Robust smooth transition threshold autoregressive models for electricity prices
  C453:   M. Bottone, M. Bernardi, L. Petrella
  Bayesian robust quantiles for risk management
  C754:   R. Calabrese, G. Andreeva, J. Ansell
  Spatial regression models for UK SMEs
  C347:   A. Escribano, P. Abad, A. Diaz, M. Robles
  Credit rating announcements and bond liquidity
  C878:   M. Maggi, C. Lucarelli, P. Uberti
  Risk measurements in decision making with emotional arousal
Session CS98 Room: A2
Bayesian econometrics in finance Sunday 07.12.2014    10:55 - 13:00
Chair: Davide Pettenuzzo Organizer: Davide Pettenuzzo
  C218:   G. Tsiotas
  On loss functions in Value-at-Risk estimation
  C296:   C. Carvalho
  On the long run variance of stocks
  C433:   J. Maheu, X. Jin
  Bayesian semiparametric modeling of realized covariance matrices
  C767:   S. Peluso, A. Mira, P. Muliere
  Reinforced urn processes for credit risk models
  C310:   D. Pettenuzzo, F. Ravazzolo
  Optimal portfolio choice under decision-based model combinations
Session CS110 Room: F2
Contributions to applied econometrics II Sunday 07.12.2014    10:55 - 13:00
Chair: Michael Smith Organizer: CFE 2014
  C1025:   M. Scholz, R. Hill
  Incorporating geospatial data in house price indexes: a hedonic imputation approach with splines
  C1167:   M. El-Shagi, P. Amri
  Separating the twins
  C277:   E. Zanetti Chini, B. Annicchiarico, A. Bennato
  150 years of Italian $CO_{2}$ emissions and economic growth
  C254:   D. Raggi, F. Pancotto, G. Pignataro
  Higher order beliefs and the dynamics of exchange rates
  C1081:   C. Gilbert
  The dynamics of the world cocoa price
Session CS78 Room: D2
Contributions on time series econometrics II Sunday 07.12.2014    10:55 - 13:00
Chair: Dietmar Bauer Organizer: CFE 2014
  C1204:   C. Breto
  Semi-parametric particle filters
  C1097:   M. Akinyemi, G. Boshnakov
  Density forecasts and the mixture autoregressive model
  C1079:   B. Funovits
  Implications of stochastic singularity in linear multivariate rational expectations models
  C1015:   J. Hambuckers, C. Heuchenne
  Identifying the best technical trading rules: a .632 bootstrap approach
  C996:   T. Magdalinos
  Conditional heteroskedasticity in stochastic regression
Parallel session K: Sunday 07.12.2014 14:45 - 16:25

Session CS05 Room: Q2
Measuring systemic risk Sunday 07.12.2014    14:45 - 16:25
Chair: Massimiliano Caporin Organizer: Monica Billio
  C418:   R. Panzica, M. Billio, M. Caporin, L. Pelizzon
  Systemic and systematic risk
  C521:   B. Schwaab
  Modeling financial sector joint tail risk, with an application to the euro area
  C559:   H. Schmidbauer, A. Roesch
  Information flow and entropy in networks of financial markets
  C1267:   T. Peltonen, F. Betz, N. Hautsch, M. Schienle
  Systemic risk spillovers in the European banking and sovereign network
Session CS15 Room: B2
Multivariate modelling of economic and financial time series Sunday 07.12.2014    14:45 - 16:25
Chair: Gianluca Cubadda Organizer: Gianluca Cubadda
  C233:   A. Hecq, T. Gotz
  Non-causal MIDAS models for nowcasting GDP
  C437:   T. del Barrio Castro, G. Cubadda, D. Osborn
  Cointegration between processes integrated at different frequencies
  C552:   M. Centoni, G. Bruno, C. Lupi
  Forecasting private consumption by consumer surveys and canonical correlations
  C658:   S. Ahn, H. Hong, S. Cho
  Analysis of cointegrated models with measurement errors
Session CS19 Room: H2
Banks, interest rates and profitability after the financial crisis Sunday 07.12.2014    14:45 - 16:25
Chair: Paul Mizen Organizer: Paul Mizen
  C1007:   A. Banerjee, P. Mizen, V. Bystrov
  A factor model of interest rate pass through for four large Euro area countries
  C718:   A. Raknerud, B. Vatne
  Funding costs, retail rates and the relative demand for bank loans
  C1021:   B. Hofmann, C. Borio, L. Gambacorta
  Bank profitability and monetary policy
  C982:   P. Mizen, M. Lombardi, A. Illes
  Did European banks set interest rates too high after the global financial crisis?
Session CS31 Room: O2
Dynamic conditional score models Sunday 07.12.2014    14:45 - 16:25
Chair: Andrew Harvey Organizer: Andrew Harvey
  C585:   A. Harvey, R. Lange
  Modeling the interactions between volatility and returns
  C710:   D. Delle Monache, C. Brownlees, I. Petrella
  Shrinkage for large time-varying parameter models: a penalized score driven approach
  C954:   S. Thiele
  High dimensional dependence modelling with heavy tailed, asymmetric factor models
  C659:   A. Luati
  The distribution of the error term in dynamic conditional score models
Session CS45 Room: F2
Dependence modeling and copulas Sunday 07.12.2014    14:45 - 16:25
Chair: Hans Manner Organizer: Hans Manner
  C158:   O. Okhrin, A. Ristig, N. Hautsch
  Efficient iterative maximum likelihood estimation of high-parameterized time series models
  C508:   O. Grothe, M. Hofert
  Construction and sampling of Archimedean and nested Archimedean Levy copulas
  C197:   A. Ristig, O. Okhrin, J. Sheen, S. Trueck
  Investigating financial contagion with copulae
  C238:   H. Manner, D. Blatt, B. Candelon
  Detecting financial contagion in a multivariate system
Session CS67 Room: P2
Financial and macroeconomic forecasting Sunday 07.12.2014    14:45 - 16:25
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  C357:   F. Krueger, S. Lerch, T. Thorarinsdottir, T. Gneiting
  Probabilistic forecasting based on MCMC output
  C624:   R. Casarin, F. Ravazzolo, T. Gneiting
  Bayesian nonparametric calibration and combination of predictive distributions
  C509:   M. De Pooter
  Modeling, decomposing, and forecasting interest rate movements in Brazil and Mexico
  C683:   G. Nicoletti, C. Altavilla, M. Darraq
  Credit conditions and external source of financing
Session CS77 Room: N2
Modelling university outcomes through survival analysis Sunday 07.12.2014    14:45 - 16:25
Chair: Mark Steel Organizer: Mark Steel
  C204:   C. Vallejos, M. Steel
  Bayesian survival modelling of university outcomes
  C281:   A. Giraldo, S. Meggiolaro, R. Clerici
  A multilevel competing risks model for analysis of university students' careers: evidence from Italy
  C407:   C. Dehon, E. Arias
  Predictors of dropout and degree completion in the Belgian French community's higher education system
  C822:   G. Migali, S. Bradley
  The effect of a tuition fee reform on the timing of drop out from Higher Education in the UK
Session CS79 Room: I2
Modelling and computation in macro-econometrics Sunday 07.12.2014    14:45 - 16:25
Chair: Rodney Strachan Organizer: Rodney Strachan
  C026:   R. Strachan, E. Eisenstat
  Modelling inflation volatility
  C774:   R. Leon
  Efficient Bayesian inference in inverted Wishart stochastic volatility models
  C474:   J. Chan
  The stochastic volatility in mean model with time-varying parameters: an application to inflation modeling
  C1148:   C. Thamotheram, A. Garratt, L. Thorsrud, S. Vahey
  Comparing computational methods for predictive scores
Session CS87 Room: E2
Statistical analysis of financial returns Sunday 07.12.2014    14:45 - 16:25
Chair: Toshi Watanabe Organizer: Toshi Watanabe
  C408:   T. Yoshiba
  Modeling and estimation of stock returns with skew t-copula
  C464:   T. Takada
  Robust early warning signals of abrupt switches in stock markets
  C498:   K. Oya, R. Kinoshita
  Measurement of causality change between returns of financial assets
  C571:   N. Wang, C. Huang, Y. Hsu
  Open-end fund characteristics and the effects on financial stability by Investors' herding redemption in Taiwan
Session CS93 Room: A2
Time series analysis in economics Sunday 07.12.2014    14:45 - 16:25
Chair: Raffaella Giacomini Organizer: Barbara Rossi
  C035:   B. Rossi, T. Sekhposyan
  Optimality tests in presence of instabilities
  C043:   M. Modugno, C. Altavilla, D. Giannone
  Bond market and macroeconomic news
  C069:   M. Lenza, D. Giannone, G. Amisano
  Forecasting with large time-varying parameters vars
  C078:   R. Giacomini, T. Kitagawa
  Robust Bayes inference for non-identified SVARs
Session CS44 Room: M2
Contributions in financial econometrics I Sunday 07.12.2014    14:45 - 16:25
Chair: Henri Nyberg Organizer: CFE 2014
  C1076:   J. Stapf, M. Scharnagl
  Inflation, deflation, and uncertainty: what drives euro area option-implied inflation expectations?
  C1174:   I. Figuerola-Ferretti, T. Tang, I. Paraskevopoulos
  Pairs trading and relative liquidity in the European stock market
  C105:   M. Bonelli, D. Mantilla-Garcia
  Predictive systems under economic constraints
  C609:   M. Anokhina, H. Penikas
  Research of the determinants of the systemic importance of global banks
Parallel session L: Sunday 07.12.2014 16:55 - 18:35

Session CSI01 - Invited Room: Sala Convegni
Volatility Modelling Sunday 07.12.2014    16:55 - 18:35
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  C504:   S. Laurent, K. Boudt, R. Quaedvlieg
  Roughing it up some more: Jumps and co-jumps in vast-dimensional price processes
  C860:   G. Gallo, F. Calvori, F. Cipollini
  Modeling eigen-dynamics of realized covariances
  C1000:   C. Diks, V. Panchenko, O. Sokolinskiy, D. van Dijk
  Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Session CS24 Room: A2
Nonstationary time series and financial bubbles Sunday 07.12.2014    16:55 - 18:35
Chair: Christian Francq Organizer: Christian Francq
  C201:   H. Raissi, J. Hirukawa
  Investigating long run linear relationships between non constant variances of economic variables
  C672:   L. Truquet
  Statistical inference in semiparametric locally stationary ARCH models
  C678:   J. Zakoian
  Explosive bubble modelling by noncausal process
  C1152:   R. McCrorie, C. Gilbert, I. Figuerola-Ferretti
  Understanding commodity futures prices: fundamentals, financialization and bubble characteristics
Session CS28 Room: M2
Financial econometrics Sunday 07.12.2014    16:55 - 18:35
Chair: Christophe Chorro Organizer: Dominique Guegan , Christophe Chorro
  C320:   B. Hassani
  Stress testing engineering: the real risk measurement?
  C439:   C. Chorro, F. Ielpo, T. Nguyen thi
  From historical to risk neutral volatility: a GARCH approach
  C546:   H. Gatfaoui, P. de Peretti, L. Frattarolo
  Measuring the time-varying dependence across financial markets: a contamination analysis of equity and sovereign CDS markets
  C698:   J. Ortega, A. Badescu, M. Couch
  Lattice based techniques for GARCH option hedging
Session CS37 Room: I2
Common features in finance and macroeconomics Sunday 07.12.2014    16:55 - 18:35
Chair: Joao Victor Issler Organizer: Joao Victor Issler
  C151:   J. Pitarakis, J. Gonzalo
  Inferring the predictability induced by a persistent regressor in a predictive threshold model
  C567:   A. Galvao, M. Clements
  Measuring macroeconomic uncertainty: output growth and inflation
  C606:   O. Guillen, J. Issler, A. Arinos de Mello Franco-Neto
  Do monetary and productivity shocks explain aggregate fluctuations?
  C720:   J. Issler, W. Gaglianone
  Microfounded forecasting
Session CS49 Room: P2
Development on season adjustment and seasonal modelling Sunday 07.12.2014    16:55 - 18:35
Chair: Gianluigi Mazzi Organizer: Gianluigi Mazzi
  C196:   S. Grudkowska
  An application of ramp effect to modelling of a crisis
  C328:   D. Ladiray, F. Guggemos
  Calendar effects in time series analysis
  C545:   E. Infante, G. Mazzi
  Seasonal adjustment of short time-series: a comparative study
  C668:   B. Abeln, J. Jacobs
  Seasonal adjustment in real-time: a comparison of X-13ARIMA-SEATS and CAMPLET
Session CS56 Room: D2
Modeling multivariate financial time series Sunday 07.12.2014    16:55 - 18:35
Chair: Edoardo Otranto Organizer: Edoardo Otranto
  C223:   D. Frison, C. Brownlees
  How interdependent are systemic risk indicators? A network analysis
  C525:   C. Amado, A. Silvennoinen, T. Terasvirta
  Conditional correlation models with nonstationary variances and correlations
  C647:   F. Corsi, F. Lillo, D. Pirino
  Contagion through common exposure and systemic risk
  C085:   C. Hafner, O. Linton
  A new approach to high-dimensional volatility modelling
Session CS84 Room: Q2
Tail risks Sunday 07.12.2014    16:55 - 18:35
Chair: Marco Geraci Organizer: David Veredas
  C064:   M. Geraci, D. Veredas, T. Garbaravicius
  Short selling in the tails
  C068:   D. Massacci
  Tail risk dynamics in stock returns: Observation-driven approach and links to the business cycle
  C129:   F. Nucera, B. Schwaab, A. Lucas, S. Koopman
  Ranking the stars
  C260:   X. Zhang, D. Veredas
  Score driven time varying tail risk
Session CS85 Room: E2
Funds performance measurement Sunday 07.12.2014    16:55 - 18:35
Chair: Spyridon Vrontos Organizer: Spyridon Vrontos
  C299:   E. Panopoulou, S. Vrontos
  Density forecasting of hedge fund returns
  C309:   T. Pantelidis, E. Panopoulou, S. Vrontos
  Hedge fund predictability and optimal asset allocation
  C629:   M. Wagner, D. Margaritis
  Late trading in mutual fund shares - the sequel
  C690:   S. Vrontos
  Performance evaluation of funds
Session CS89 Room: B2
Analysing complex time series Sunday 07.12.2014    16:55 - 18:35
Chair: Matteo Barigozzi Organizer: Qiwei Yao
  C022:   M. Barigozzi, M. Lippi, M. Luciani
  Dynamic factor models, cointegration, and error correction mechanisms
  C122:   D. Li, R. Li
  Local composite quantile regression smoothing for Harris recurrent Markov processes
  C576:   M. Parrella, F. Giordano, M. La Rocca
  Classifying complex time series databases by periodic components
  C826:   Z. Lu
  A review on nonlinear regression analysis of irregularly located spatial time-series data
Session CS91 Room: N2
Estimation of macroeconomic models with time varying volatility Sunday 07.12.2014    16:55 - 18:35
Chair: Marco Del Negro Organizer: Serena Ng
  C088:   W. McCausland
  Large dynamic panels with stochastic volatility
  C101:   M. Del Negro, D. Greenwald
  Large VARs with time varying volatility
  C107:   C. Montes-Galdon
  Volatility shocks and business cycles
  C300:   P. Guerron
  Estimating dynamic equilibrium models with stochastic volatility
Session CS99 Room: O2
Statistical methods for modelling spatio-temporal random fields Sunday 07.12.2014    16:55 - 18:35
Chair: Simone Padoan Organizer: Simone Padoan
  C360:   P. Naveau, G. Marcon, S. Padoan, P. Muliere
  Nonparametric simulation of the multivariate max-stable random vectors
  C479:   Y. Sun, M. Fuentes
  Fused Lasso for spatial and temporal quantile function estimation
  C644:   R. Huser, M. Genton
  Non-stationary dependence structures for spatial extremes
  C695:   M. Genton, S. Castruccio, R. Huser
  High-order composite likelihood inference for multivariate or spatial extremes
Session CS107 Room: F2
Energy economics Sunday 07.12.2014    16:55 - 18:35
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  C1041:   V. Larsen, H. Bjornland
  Oil and the great moderation in a regime switching framework
  C1067:   L. Thorsrud, H. Bjornland
  Commodity prices, fiscal policy design and economic activity
  C1092:   M. Lorusso, C. Nolan
  Oil price shocks and the UK economy, 1990-2005
  C1201:   M. Seneca, A. Ferrero
  Monetary policy in a simple new Keynesian model of a small open oil-exporting economy
Parallel session N: Monday 08.12.2014 08:45 - 10:05

Session CS09 Room: N2
Volatility measuring, modeling and applications Monday 08.12.2014    08:45 - 10:05
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  C450:   M. Billio, M. Caporin, L. Frattarolo, L. Pelizzon
  Network banks exposures and variance spillovers in the Euro area
  C511:   M. Cavicchioli, M. Billio
  Markov switching models for volatility: filtering, approximation and duality
  C077:   D. Erdemlioglu, N. Gradojevic
  Heterogeneous investment horizons and jump risk in financial markets
Session CS29 Room: O2
Solution and estimation of non-linear general equilibrium models Monday 08.12.2014    08:45 - 10:05
Chair: Luca Guerrieri Organizer: Luca Guerrieri
  C108:   M. Jahan-Parvar, A. Gallant, H. Liu
  Measuring ambiguity aversion
  C497:   N. Traum, H. Bi
  Sovereign risk and spillovers: Untangling the web in Europe
  C924:   L. Guerrieri
  Collateral constraints and macroeconomic asymmetries
Session CS41 Room: E2
Applied economic issues Monday 08.12.2014    08:45 - 10:05
Chair: Lynda Khalaf Organizer: Maral Kichian
  C394:   F. Rumler, A. Reiff
  Within- and cross-country price dispersion in the Euro area
  C1264:   L. Khalaf, J. Bernard, B. Chu, M. Voia
  Non-standard confidence limits for ratios and tipping points, with applications to dynamic regressions and panel data
  C1305:   D. Koursaros
  Banks, lending and the transmission of monetary shocks
Session CS69 Room: B2
Risk premia time series Monday 08.12.2014    08:45 - 10:05
Chair: Jeroen V.K Rombouts Organizer: Jeroen V.K Rombouts
  C574:   F. Violante, J. Rombouts, L. Stentoft
  On the estimation of variance risk premia
  C833:   C. Dorion, H. Bhamra, A. Jeanneret
  The dynamics of the equity risk premium
  C1222:   J. Rombouts
  Sparse change-point model
Session CS75 Room: C2
Quantitative risk management Monday 08.12.2014    08:45 - 10:05
Chair: Mike K.P. So Organizer: Mike K.P. So
  C054:   M. Asai, M. McAleer
  Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
  C517:   J. Chen, M. Kashiwagi
  The Japanese Taylor rule estimated using quantile regressions
  C804:   K. Chan, M. So
  Bayesian analysis of max-stable models via hybrid sampling methods
Session CS102 Room: M2
Contributions in financial econometrics II Monday 08.12.2014    08:45 - 10:05
Chair: Marco Lippi Organizer: CFE 2014
  C261:   Y. Liu, P. Boswijk
  Correlation aggregation in high frequency financial data
  C1153:   C. Roth, F. Audrino, L. Camponovo
  A conservative test for the lag structure of assets’ realized volatility dynamics
  C1180:   G. Arbia, M. Di Marcantonio
  Forecasting interest rates using geostatistical techniques
  C1191:   V. Gunnella
  The expectation hypothesis of the repo rates: new evidence from multiple hypotheses and heteroskedasticity control
Session CS104 Room: A2
Contributions to Bayesian econometrics I Monday 08.12.2014    08:45 - 10:05
Chair: Roberto Leon Organizer: CFE 2014
  C1279:   R. Yatigammana, R. Gerlach
  Modelling conditional duration via flexible error distributions
  C1063:   P. Reusens, C. Croux
  Detecting time variation in the `price puzzle': an improved prior choice for the time varying parameter VAR model
  C227:   D. Ahelegbey, M. Billio, R. Casarin
  Sparse high-dimension multivariate autoregressive models
  C081:   D. Nur, G. Livingston Jr, I. Hudson
  Fully Bayesian inference for smooth threshold autoregressive (STAR)(k)-GARCH(s,q) models
Session CS106 Room: F2
Computational econometrics I Monday 08.12.2014    08:45 - 10:05
Chair: Christopher M. Otrok Organizer: CFE 2014
  C1202:   S. Hadjiantoni, E. Kontoghiorghes
  Estimating the time-varying parameters model: an alternative approach
  C1212:   M. Smid
  A dynamic model of limit order market with possibly rational traders
  C1282:   F. Vanni, G. Bottazzi, U. Gragnolati
  A numerical estimation method for discrete choice models with non-linear externalities
  C1230:   L. Grigoryeva, L. Bauwens, J. Ortega
  Reduction and composite likelihood estimation of non-scalar multivariate volatility models
Session CS65 Room: G2
Regime change modeling in economics and finance III Monday 08.12.2014    08:45 - 10:05
Chair: Willi Semmler Organizer: Willi Semmler
  C929:   A. Tarassow
  Financial investment constraints. A panel threshold application to German firm level data
  C948:   J. Kotlowski
  Do central bank forecasts matter for professional forecasters?
  C949:   A. Halka, G. Szafranski
  What common factors are driving inflation in CEE countries?
  C917:   F. Karame
  A likelihood-based approach to estimate Markov-switching stochastic volatility models
Parallel session P: Monday 08.12.2014 10:35 - 12:15

Session CS112 Room: E2
Financial applications I Monday 08.12.2014    10:35 - 12:15
Chair: Demetris Koursaros Organizer: CFE 2014
  C256:   Q. Gan
  Does the probability of informed trading model fit empirical data?
  C587:   H. Basse Mama
  Dynamics of firm learning from stock prices: Evidence from Europe
  C984:   L. Sun, Y. Huang
  Measuring the instability of China's financial system
  C1188:   Y. Ota
  On method finding arbitrage opportunities from different markets
  C868:   S. Agarwal
  Investor's demographics and portfolio objectives: an empirical study using factor analysis
Session CS95 Room: M2
Contributions on panel data Monday 08.12.2014    10:35 - 12:15
Chair: Martin Wagner Organizer: CFE 2014
  C1068:   Y. Karavias, E. Tzavalis
  Local power of panel unit root tests allowing for structural breaks
  C1115:   P. Keblowski
  Dimensionality and long-run homogeneity effects in panel vector error correction model
  C1235:   S. Papadopoulos
  A formula for predicting loan loss reserves under adverse GDP scenarios for EU15 banks
  C1251:   S. Reese, J. Westerlund, P. Narayan
  A factor analytical approach to price discovery
  C215:   R. van den Akker, I. Becheri
  Asymptotically UMP tests for unit roots in cross-sectionally dependent panels
Session CS101 Room: B2
Contributions on time series econometrics III Monday 08.12.2014    10:35 - 12:15
Chair: Sung Keuk Ahn Organizer: CFE 2014
  C046:   M. Al Sadoon
  A general theory of rank testing
  C041:   A. Dechert
  Fractional cointegration analysis of industrial metal prices
  C1120:   F. Severino, F. Ortu, A. Tamoni, C. Tebaldi
  A persistence-based Wold-type decomposition for stationary time series
  C1142:   J. Afonso-Rodriguez
  A CUSUM of squares test for cointegration based on OLS residuals with a model free limiting null distribution
  C1166:   D. Rosadi, S. Peiris
  Second-order least-squares estimation for regression models with ARMA errors: simulation results
Session CS04 Room: N2
Contributions on volatility and correlation modelling Monday 08.12.2014    10:35 - 12:15
Chair: Manfred Gilli Organizer: CFE 2014
  C902:   Y. Sun, J. Loveland, I. Blackhurst
  Conditional heteroskedasticity of return range processes
  C1013:   M. Grishko, A. Dyusembaev, P. Andras
  Securities portfolio risk estimation and forecasting by the use of Bayesian self-organizing maps
  C1122:   V. Skintzi, C. Markopoulou, A. Refenes
  Realized hedge ratio: predictability and hedging performance
  C1164:   L. Vacha, J. Barunik
  Realized wavelet-based estimation of integrated covariance and co-jumps in the presence of noise
  C1187:   G. Figa-Talamanca
  A statistical test for the Heston model
Session CS66 Room: H2
Contributions on banking and financial markets Monday 08.12.2014    10:35 - 12:15
Chair: Jozef Barunik Organizer: CFE 2014
  C106:   M. Grothe, S. Autrup
  Economic surprises and inflation expectations
  C749:   F. Carvalho, M. Castro, S. Costa
  Macroprudential policy transmission in a small open economy with traditional and matter-of-fact financial frictions
  C1049:   G. Livan, M. Bardoscia, M. Marsili, T. Aste
  Pricing in a complex financial market: instability from local measures and model uncertainty
  C1157:   T. Ochiai, J. Nacher
  Anomalous price dynamics at resistance line in stock and forex markets
  C1221:   T. Krehlik, J. Barunik
  Measuring long- and short-run connectedness of financial markets
Session CS40 Room: A2
Contributions to forecasting Monday 08.12.2014    10:35 - 12:15
Chair: Alessandra Amendola Organizer: CFE 2014
  C170:   A. Naghi
  A forecast rationality test that allows for loss function asymmetries
  C970:   D. Buncic, C. Moretto
  Forecasting copper prices with dynamic averaging and selection models
  C997:   L. Pauwels, F. Chan
  Why do simple average forecast combinations perform so well?
  C1252:   T. Murata, N. Du
  Income replacement ratio for various households in national pension program in Japan
  C1245:   C. Fajardo Toro, J. Alonso Cifuentes
  Forecasting Colombian inflation rate: estimation using statistical and artificial intelligence approaches
Session CS43 Room: O2
Contributions on quantile regression, non/semi-parametric methods Monday 08.12.2014    10:35 - 12:15
Chair: Isabel Casas Organizer: CFE 2014
  C160:   Y. Tian
  Exploring investors' expectation through quantile regression methods
  C1020:   K. Avdulaj, J. Barunik
  Semiparametric nonlinear quantile model for financial returns
  C250:   X. Xiao, C. Zhou
  Option implied risk measures: a generalized empirical likelihood approach
  C589:   A. Dumitru
  A nonparametric viewpoint on time-indexed point processes. Testing for stationarity
  C1095:   J. Schnurbus, H. Haupt
  Nonparametric estimation and forecasting of time series with deterministic trend and season and traffic fatalities in Germany
Session CS39 Room: F2
Contributions to dependence modeling and copulas Monday 08.12.2014    10:35 - 12:15
Chair: Ivan Kojadinovic Organizer: CFE 2014
  C1042:   M. Kurz, F. Spanhel
  Testing the simplifying assumption in vine copulas
  C1184:   M. Ames, G. Peters, G. Bagnarosa
  Extreme dependence in commodity trading strategies
  C1253:   J. Fjodorovs, A. Matvejevs
  Modeling VIX index based on semi parametric Markov models with Frank copula
  C093:   R. Latocha
  The GARCH-copula model as a hedge ratio of corporate bonds portfolio
  C1199:   G. Rivieccio, G. De Luca
  A copula-VAR approach for the analysis of serial dependence in stock returns
Session CS109 Room: P2
Contributions to the macroeconomy and asset prices Monday 08.12.2014    10:35 - 12:15
Chair: Baoline Chen Organizer: CFE 2014
  C657:   L. Tiozzo Pezzoli, A. Siegel, F. Pegoraro
  International yield curves and principal components selection techniques: an empirical assessment
  C808:   M. Agarwal
  Earnings vs Cash flows: the valuation perspective
  C305:   Y. Okhrin
  Empirical similarity and Taylor rule: case-based decision making in the Federal Reserve Bank
  C1039:   B. Li, Q. Liu
  Identifying monetary policy behavior in China: a Bayesian DSGE approach
  C1239:   K. Filipova
  Valuing macroeconomic uncertainty in bond risk premia
Session CS81 Room: Q2
Contributions to quantitative risk management Monday 08.12.2014    10:35 - 12:15
Chair: Marco Bee Organizer: CFE 2014
  C942:   R. Belhachemi, P. Rostan
  Option pricing using the continuous hidden threshold mixed skew-symmetric distribution
  C1182:   H. Tsukahara
  On backtesting risk measurement models
  C1107:   M. Bee
  Density approximations and VaR computation for compound Poisson-lognormal distributions
  C974:   P. Meier, A. Ivanovas
  Estimating risk-neutral density tails: a comparison
  C1011:   P. Pei
  Backtesting portfolio Value-at-Risk with estimated portfolio weights
Session CS36 Room: I2
Contributions to macro and forecasting Monday 08.12.2014    10:35 - 12:15
Chair: Anindya Banerjee Organizer: CFE 2014
  C980:   T. Weigt
  Reduction of forecast errors
  C1047:   B. Siliverstovs
  Short-term forecasting with mixed-frequency data: a MIDASSO approach
  C1165:   E. Granziera, T. Sekhposyan
  The conditional predictive ability of economic variables
  C094:   A. Habibnia
  Forecasting using many predictors with neural network factor models
  C771:   H. Lee, C. Cheong, P. Mool
  Forecasting with a parsimonious subset VAR model
Parallel session R: Monday 08.12.2014 14:50 - 16:30

Session CS33 Room: D2
Statistical analysis of climate time series Monday 08.12.2014    14:50 - 16:30
Chair: Tommaso Proietti Organizer: Eric Hillebrand , Tommaso Proietti
  C1192:   J. Urbain, M. Friedrich, S. Smeekes
  Bootstrap inference on non-linear trends in climate time series data
  C1209:   T. Proietti, E. Hillebrand
  Seasonal and cyclic changes in temperature data
  C1032:   U. Triacca
  Measuring the distance between global temperatures time series
  C1089:   E. Hillebrand
  Data revisions and the statistical relation of sea-level and temperature
Session CS114 Room: M2
Contributions in financial econometrics III Monday 08.12.2014    14:50 - 16:30
Chair: Christos Savva Organizer: CFE 2014
  C038:   E. Ossola, P. Gagliardini, O. Scaillet
  Time-varying risk premium in large cross-sectional equity datasets
  C048:   E. Aldrich, I. Heckenback, G. Laughlin
  A compound multifractal model for high-frequency asset returns
  C1225:   J. Barunik, E. Kocenda, L. Vacha
  Asymmetric connectedness of stocks: how does bad and good volatility spill over the U.S. stock market?
  C1306:   F. Lamperti
  On the similarity of time series dynamics: a criterion for model validation
Session CS38 Room: N2
Macroeconometrics Monday 08.12.2014    14:50 - 16:30
Chair: Marek Jarocinski Organizer: Marek Jarocinski
  C169:   F. Huber
  Density forecasting using Bayesian global vector autoregressions with common stochastic volatility
  C386:   J. Suda, A. Zervou
  International great inflation and common monetary policy
  C817:   T. Wozniak, R. Hajargasht
  Variational Bayes inference for large vector autoregressions
  C374:   P. Alessandri, H. Mumtaz
  Financial regimes and uncertainty shocks
Session CS52 Room: P2
Temporal disaggregation and benchmarking techniques Monday 08.12.2014    14:50 - 16:30
Chair: Gianluigi Mazzi Organizer: Gianluigi Mazzi
  C036:   B. Chen, T. Di Fonzo, M. Marini
  The statistical reconciliation of time series of accounts after a benchmark revision
  C248:   N. Mushkudiani, J. Daalmans, R. Bikker
  Data reconciliation at Statistics Netherlands
  C510:   J. Daalmans, N. Mushkudiani, R. Bikker, T. Di Fonzo
  Is growth-rate preservation really the best benchmarking method?
  C550:   C. Sax
  Evaluation of temporal disaggregation methods
Session CS70 Room: F2
MIDAS models: applications in economics and finance Monday 08.12.2014    14:50 - 16:30
Chair: Eduardo Rossi Organizer: Eduardo Rossi
  C649:   E. Rossi, A. Ghalanos
  Nonlinear volatility dynamics: a smooth transition HAR approach
  C727:   E. Bacchiocchi, A. Bastianin, A. Missale, E. Rossi
  Capital flows and interest rates: a mixed frequency approach
  C1002:   P. Giudici, P. Cerchiello
  MIDAS systemic risk models
  C1278:   C. Marsilli, L. Ferrara, M. Marcellino
  A mixed-frequency model with stochastic volatility
Session CS72 Room: O2
Econometric and quantitative methods applied to finance Monday 08.12.2014    14:50 - 16:30
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C110:   M. Kiermeier
  Wavelet analysis and the credit spread puzzle
  C373:   J. Akahori, N. Liu, M. Mancino, Y. Yasuda
  Fourier estimation method with positive semi-definite estimators
  C385:   I. Curato, S. Sanfelici
  Measuring the leverage effect in a high frequency framework
  C1149:   A. Koukorinis, G. Peters, G. Germano
  Hybrid generative-discriminative (HMM-SVM) machine-learning models for the forecasting of multivariate financial time series
Session CS86 Room: B2
Topics in time series and panel data econometrics Monday 08.12.2014    14:50 - 16:30
Chair: Martin Wagner Organizer: Martin Wagner
  C481:   D. Wied, M. Wagner
  Monitoring a change from spurious regression to a cointegrating relationship
  C810:   L. Soegner, M. Wagner
  Fully modified OLS estimation of spatially correlated cointegrated systems
  C1064:   O. Stypka, M. Wagner
  Testing for smooth transition cointegration with integrated or trending transition variable
  C975:   D. Bauer
  Consistent estimation of seasonally cointegrated VARMA systems in state space representation
Parallel session S: Monday 08.12.2014 16:55 - 18:15

Session CS111 Room: A2
Contributions to Bayesian econometrics II Monday 08.12.2014    16:55 - 18:15
Chair: Joshua Chan Organizer: CFE 2014
  C978:   J. Nakajima, T. Kimura
  Bayesian latent threshold dynamic models: identifying conventional and unconventional monetary policy shocks
  C1037:   G. Kobayashi, K. Kakamu
  Approximate Bayesian computation for Lorenz curves from grouped data
  C1099:   H. Nagashima, T. Nakatsuma
  Bayesian tempo-spatial estimation of the Japanese prefectural business cycle indicators
  C1116:   C. Mastromarco, U. Woitek
  Estimating an education production function for Switzerland, 1871-1911
Session CS113 Room: O2
Computational econometrics II Monday 08.12.2014    16:55 - 18:15
Chair: William J. Mccausland Organizer: CFE 2014
  C684:   V. Ajevskis
  Semi-global solutions to DSGE models: perturbation around a deterministic path
  C783:   A. Monteiro, A. Santos, R. Pascoal
  Portfolio choice with parameter uncertainty: Bayesian analysis and robust optimisation comparison
  C914:   V. Lepetyuk, A. Jirnyi
  A reinforcement learning approach to solving incomplete market models with aggregate uncertainty
  C989:   M. Richiardi, J. Grazzini
  Non-ergodicity as partial identification
Session CS59 Room: N2
Contributions on stochastic volatility Monday 08.12.2014    16:55 - 18:15
Chair: Fulvio Corsi Organizer: CFE 2014
  C1016:   W. Wei, A. Brix, A. Lund
  A generalized Schwartz model for energy spot prices - estimation using a particle MCMC method
  C1071:   T. Krisztin, F. Huber, P. Piribauer
  Forecasting global equity indices using large Bayesian VARs
  C1108:   S. Morozov
  Returns or differences? Methods for risk functional form selection
  C1298:   M. Ficura
  Estimation of stochastic volatility and jumps using high-frequency data and Bayesian inference methods
Session CS07 Room: B2
Contributions on non-linear time-series models Monday 08.12.2014    16:55 - 18:15
Chair: Alain Hecq Organizer: CFE 2014
  C960:   B. Koo
  Nonparametric detection of discontinuity-points in varying coefficient regression models
  C1119:   F. Venditti, D. Delle Monache, I. Petrella
  A score driven approach for state-space models with time-varying parameters
  C1161:   M. Dziubinski
  Extremum estimators in practice: are approximate gradients ever useful and what can we do about it?
  C756:   W. Orzeszko
  Nonparametric testing for serial independence using the NRL statistic
Session CS108 Room: P2
Contributions to applications in macroeconomics and time series Monday 08.12.2014    16:55 - 18:15
Chair: Luis F. Aguiar-Conraria Organizer: CFE 2014
  C431:   P. Salamaliki, I. Venetis
  Interpreting economic policy uncertainty - real economic activity causality: the role of infrequent structural shifts and omitted variables
  C966:   A. Gomez-Loscos, M. Gadea, E. Bandres
  Regional business cycles across Europe
  C1103:   T. Mizuno, T. Ohnishi, T. Watanabe
  Financial bubble detection using cross-sectional dispersion of price earnings ratios
  C1141:   L. Aguiar-Conraria, R. Sousa, M. Soares
  CO2 price dynamics in the carbon market of California
Session CS105 Room: E2
Financial applications II Monday 08.12.2014    16:55 - 18:15
Chair: Andreas Savvides Organizer: CFE 2014
  C1156:   K. Gisler, M. Fengler
  A variance spillover analysis without covariances: what do we miss?
  C1050:   K. Szafranek
  Financialization of the commodity markets. Conclusions from the restricted VARX ADCC MVT GARCH
  C918:   R. Ianole, E. Druica
  A computational model of hidden costs in saving decisions
  C1160:   H. Dakhli
  IPO timing: an option to expand
Session CS51 Room: M2
Contributions in financial econometrics IV Monday 08.12.2014    16:55 - 18:15
Chair: Roy Cerqueti Organizer: CFE 2014
  C1186:   S. Khrapov
  Option pricing via risk-neutral density forecasting
  C1219:   C. Savva
  Relation between risk and return in international stock markets revisited
  C1292:   C. Tudor, A. Anghel, M. Tudor
  Portfolio optimization with down side risk: an application on the Romanian stock market
  C923:   N. Ferreira, M. Oliveira
  Portfolio technical efficiency assessment with DEA: the case of the PSI-20 enterprises