Keynote 2 Friday, 09 December 2016 10:05 - 10:55 Room: Auditorium
Exogeneity tests, weak identification, incomplete models and instrumental variables: Identification-robust inference
Speaker: J.-M. Dufour   Chair: Richard Luger
Keynote 3 Saturday, 10 December 2016 18:25 - 19:15 Room: Auditorium
Structural vector autoregressions with heteroskedasticity: A review of different volatility models
Speaker: H. Luetkepohl  Co-authors: A. Netsunajev Chair: Helmut Herwartz
Keynote 5 Sunday, 11 December 2016 18:10 - 19:00 Room: Auditorium
Statistics for high-frequency observations of a stochastic process
Speaker: J. Jacod   Chair: Bent Nielsen


Parallel session D: CFE Friday, 09 December 2016 11:25 - 13:05

Session CO299 Room: 008
Quantile regression methods in economics and finance Friday, 09 December 2016   11:25 - 13:05
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  CO0516:  G. Bonaccolto, M. Caporin, S. Paterlini
  Conditional quantile-dependent autoregressive value-at-risk
  CO0620:  M. Caporin, M. Costola, S. Hammoudeh, A. Khalifa
  Systemic risk measurement for GCC financial institutions and its role for oil
  CC1470:  K. Kuck, R. Maderitsch
  Intra-day dynamics of US-dollar exchange-rates: Evidence from quantile autoregressions
  CC1572:  F. Cech, J. Barunik
  Measurement of common risk factors: A panel quantile regression models for returns and volatility
Session CO307 Room: 101
Big data in economics and finance Friday, 09 December 2016   11:25 - 13:05
Chair: Veronika Czellar Organizer: Veronika Czellar
  CO0581:  J. Walden
  Information networks, profits, and pricing in financial markets
  CO1492:  V. Czellar, F. Le Grand, R. Garcia
  Limited participation in the joint behavior of asset prices and individual consumptions
  CO1744:  F. Poli, M. Caporin
  News measures, volatility and jumps
  CO0526:  A. Martin Utrera, V. DeMiguel, F.J. Nogales, R. Uppal
  Firm characteristics and the cross section of stock returns: A portfolio perspective
Session CO309 Room: S22
Quantitative asset management Friday, 09 December 2016   11:25 - 13:05
Chair: Serge Darolles Organizer: Serge Darolles
  CO0573:  A. Becam
  Currency carry trade and the cross section of hedge fund returns
  CO0593:  J.-M. Zakoian, C. Francq
  Joint inference on market and estimation risks in dynamic portfolios
  CO0619:  G. Mero
  Measuring hedge fund performance: A Markov regime-switching with false discoveries approach
  CO1168:  G. Monarcha
  About the risks of alternative risk premia
Session CO311 Room: S23
Bayesian econometrics Friday, 09 December 2016   11:25 - 13:05
Chair: Roberto Leon-Gonzalez Organizer: Deborah Gefang
  CO0408:  R. Leon-Gonzalez, J. Chan, R. Strachan
  Parsimonious inverted Wishart processes for multivariate stochastic volatility
  CO0906:  F. Yang, R. Leon-Gonzalez
  An application of a Bayesian VAR copula model to the effect of macroeconomic risk appetite on the GDP growth
  CC1523:  C. Legnazzi, G. Barone-Adesi, A. Mira
  A Bayesian estimate of the pricing kernel
Session CO353 Room: 003
Incomplete data and measurement error Friday, 09 December 2016   11:25 - 13:05
Chair: Laura Spierdijk Organizer: Laura Spierdijk
  CO0165:  L. Spierdijk, E. Meijer, T. Wansbeek, R. Moon
  A semiparametric test for measurement error in panel data
  CO0311:  N. Mittag, P. Celhay, B.D. Meyer
  Measurement errors: Evidence from reports of program participation from multiple surveys
  CO0338:  P. van Santen, A. Kalwij, R. Alessie
  Binary response models with misclassified dependent variables applied to annuity ownership
Session CO385 Room: 217
Financial time series modelling and forecasting Friday, 09 December 2016   11:25 - 13:05
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  CO0424:  A. Palandri
  A simple Markovian process with hyperbolic rates of convergence.
  CO0685:  V. Candila, A. Amendola
  Forecasting volatility with the asymmetric GARCH-MIDAS model
  CO1305:  A. Portela Santos, G. Valle Moura, J. Frois Caldeira
  Combination of conditional quantile forecasts: An application to value at risk modeling
  CO0840:  F. Violante, J. Rombouts, L. Stentoft
  Risk evaluation and pricing: Risk differential and return predictability patterns across markets and countries
Session CO401 Room: 103
Macro and financial econometrics Friday, 09 December 2016   11:25 - 13:05
Chair: Menelaos Karanasos Organizer: Menelaos Karanasos
  CO0653:  Y. Karavias, S. Asimakopoulos, F. Fernandes
  Trade credit and firm performance
  CC1555:  S. Roszkowska
  Labor market dynamics and labor market institutions: The cointegrated VAR approach
  CC1739:  D. Kyriakopoulou
  Asymptotic normality of the QML estimator of the EGARCH(1,1) model
  CO1309:  Y. Xu, M. Karanasos
  Nonnegativity constraints for $N$-dimensional asymmetric power heavy/MEM/GARCH Models and a new mixture hormulation
Session CO599 Room: 112
Macroeconomic spillovers and monetary policy Friday, 09 December 2016   11:25 - 13:05
Chair: Hilde Bjornland Organizer: Hilde Bjornland
  CO1342:  E. Prieto, S. Eickmeier, A. Abbate
  Financial shocks and inflation dynamics
  CO1334:  G. Caggiano
  Economic policy uncertainty spillovers in booms and busts
  CO1337:  V. Larsen
  Components of Uncertainty
  CO0482:  S. Zahiri, H. Bjornland, L.A. Thorsrud
  On central banks response to developments in the global economy
Session CO710 Room: 216
Credit risk, liquidity and bond pricing Friday, 09 December 2016   11:25 - 13:05
Chair: Ana Escribano Organizer: Ana Escribano
  CO0815:  Y. Wang
  On the effect of bond liquidity on financial contracts
  CO1053:  A. Escribano, M.D. Robles, P. Abad, A. Diaz
  Liquidity and the size of trades around credit event news
  CO1137:  R. Jelic, D. Maringer, X. Chen, W. Aussenegg
  Time varying illiquidity of European corporate bonds
  CO0858:  D. Robles, P. Abad, R. Ferreras
  Credit rating news and stock return synchronicity: Informational effects of regulation reforms
Session CG270 Room: 109
Contributions in portfolio optimization and performance evaluation Friday, 09 December 2016   11:25 - 13:05
Chair: Ralf Wunderlich Organizer: CFE
  CC0404:  I. Meilijson
  The reopening of Dubins and Savage casino in the era of diversification
  CC1545:  A. Stephan, M. Sahamkhadam, R. Ostermark
  Portfolio optimization based on GARCH-EVT-copula CVaR and mean-variance models
  CC1433:  A. Palczewski
  Black-Litterman model for continuous distributions and general risk measures
  CC1372:  W. Pohlmeier, E. Kazak
  Testing out-of-sample portfolio performance
Parallel session E: CFE Friday, 09 December 2016 14:35 - 16:15

Session CI685 (Special Invited Session) Room: Graduation hall
Efficiency results in high dimension Friday, 09 December 2016   14:35 - 16:15
Chair: Marc Hallin Organizer: Marc Hallin
  CI0162:  D. Paindaveine, T. Verdebout
  Efficiency in the high-dimensional one-sample location problem
  CI0990:  A. Onatski
  Local asymptotic normality of the spectrum of high-dimensional spiked $F$-ratios
  CI1306:  N. El Karoui
  On high-dimensional robust regression and the bootstrap
Session CO315 Room: 110
Econometrics of art markets Friday, 09 December 2016   14:35 - 16:15
Chair: Douglas Hodgson Organizer: Douglas Hodgson
  CO0488:  D. Hodgson, J. Galbraith
  Statistical prediction of art prices at auction
  CO0493:  J. Prieto-Rodriguez
  A finite mixture model to capture unobserved heterogeneity in art prices: Evidences from surrealism
  CO0947:  A. Duivenvoorden, M. Gertsberg, R. Pownall
  Cultural and creative industries in peripheral areas: A study of the Euregion Maas Rhein area
  CO0948:  M. Gertsberg, R. Pownall, D. De Silva
  Market evolution, bidding strategies, and survival of art dealers
Session CO319 Room: 106
Common features in economics and finance Friday, 09 December 2016   14:35 - 16:15
Chair: Joao Victor Issler Organizer: Joao Victor Issler
  CO1274:  A. Hecq, T. del Barrio Castro
  Testing for deterministic seasonality in mixed-frequency VARs
  CO1291:  J.V. Issler
  Inattention in individual expectations
  CO1326:  J.D. Barbosa
  Asymptotically unbiased estimation of large dynamic panel models
  CO1539:  S. Telg, A. Hecq, J.V. Issler
  Mixed causal-noncausal autoregressions with strictly exogenous regressors for structural expectations equations
Session CO325 Room: 005
Recent advances in high dimension econometrics Friday, 09 December 2016   14:35 - 16:15
Chair: Weining Wang Organizer: Weining Wang, Degui Li
  CO0419:  C. Breunig
  Inference in high-dimensional instrumental variable models
  CO1079:  W. Wang
  Network quantile autoregression
  CO1561:  M. Chen
  Estimation of nonlinear panel models with multiple unobserved effects
  CO0251:  Y. Okhrin
  Vine based modeling of multivariate realized volatility
Session CO333 Room: 003
Advances in financial forecasting Friday, 09 December 2016   14:35 - 16:15
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  CO0249:   , J. Griffin
  Bayesian inference and prediction for high-frequency data using particle filtering
  CO0321:  G. Mitrodima, J. Griffin
  A Bayesian dynamic quantile model for forecasting asset return distributions
  CO0351:  C. Argyropoulos, E. Panopoulou
  Evaluating the performance of risk models: A quantile score approach
  CO0332:  T. Pantelidis, M. Koutsigka
  The combined effect of aggregation and the log transformation on forecasting
Session CO383 Room: 108
Recent advances on financial time series modelling Friday, 09 December 2016   14:35 - 16:15
Chair: Cristina Amado Organizer: Cristina Amado
  CO0744:  E. Zanetti Chini, M. Costola
  The Stukel Copula
  CO1450:  K. Lasak, H. Jelsma
  Forecasting volatility using long memory dynamics: How effective is the use of a realised measure
  CC1710:  C. Amado, T. Terasvirta
  A smooth transition approach to modelling diurnal variation in models of autoregressive conditional duration
  CC1577:  J. Barunik, T. Kley
  Quantile cross-spectral measures of dependence between economic variables
Session CO411 Room: 008
Volatility models and their applications Friday, 09 December 2016   14:35 - 16:15
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  CO0473:  Y. Yamauchi, Y. Omori
  Multivariate stochastic volatility models with realized volatility and pairwise realized correlation
  CO1016:  S. Trojan
  Stochastic volatility with regimes, skew, fat tails, and leverage using returns and realized volatility for inference
  CO1370:  K. Irie, M. West
  Bayesian emulation for optimization: Multi-step portfolio decision analysis
  CC1520:  T. Nakatsuma, T. Toyabe
  Hierarchical Bayes modeling of autocorrelation and intraday seasonality in financial durations
Session CO429 Room: 112
New developments in time-varying parameter models Friday, 09 December 2016   14:35 - 16:15
Chair: Francisco Blasques Organizer: Francisco Blasques
  CO0331:  L. Catania, T. Proietti
  Adaptive combination schemes for point and density forecasts
  CO0367:  D. Delle Monache, F. Venditti, I. Petrella
  Adaptive state space models with applications to the business cycle and financial stress
  CO0758:  R. Ito, A. Harvey, R. Ito
  Dynamic models with too many zeroes
Session CO447 Room: 111
Inflation expectations in low inflation environment Friday, 09 December 2016   14:35 - 16:15
Chair: Maritta Paloviita Organizer: Tomasz Lyziak, Maritta Paloviita
  CO0268:  P. Hubert
  Monetary shocks, central bank projections and policy and macro signals
  CO0323:  G. Kenny, J. Dovern
  The long-term distribution of expected inflation in the euro area: What has changed since the great recession
  CO0409:  T. Lyziak, M. Paloviita
  Drivers of experts' inflation expectations in the euro area
  CO0478:  F. Rumler, M.T. Valderrama
  Financial literacy and inflation expectations
Session CO485 Room: 107
Nowcasting and forecasting macroeconomic trends I Friday, 09 December 2016   14:35 - 16:15
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0217:  R. Basselier, D. de Antonio Liedo, G. Langenus
  Nowcasting real economic activity in the euro area: Assessing the impact of qualitative surveys
  CO0446:  T. Chernis, R. Sekkel
  A dynamic factor model for nowcasting Canadian GDP growth
  CO0907:  P. Hauber, C. Schumacher
  Going global: The role of international data in nowcasting German GDP
  CO0845:  A. Pestova, M. Mamonov
  On the economic effect of Western sanctions on Russia
Session CO539 Room: Board meeting room II
Recent developments in nonparametric and robust inference Friday, 09 December 2016   14:35 - 16:15
Chair: Jana Jureckova Organizer: Jana Jureckova
  CO0451:  R. Navratil
  Behavior of rank tests and estimates in measurement error models
  CO0532:  J. Picek, M. Schindler
  Generalization of L-moments in the linear regression model
  CO0496:  K. Konecna, I. Horova
  Maximum likelihood method for bandwidth detection of kernel conditional density estimation
  CO0498:  J. Jureckova
  Regression quantile and averaged regression quantile processes
Session CO545 Room: Board meeting room I
Sparse Bayesian factor analysis Friday, 09 December 2016   14:35 - 16:15
Chair: Sylvia Fruehwirth-Schnatter Organizer: Sylvia Fruhwirth-Schnatter
  CO0317:  G. Kastner
  Sparse Bayesian time-varying covariance estimation in many dimensions
  CO1685:  E. George, V. Rockova
  Fast Bayesian factor analysis via automatic rotations to sparsity
  CO1727:  S. Fruehwirth-Schnatter
  Recent advances in sparse Bayesian factor analysis
  CO1747:  S. Kaufmann, M. Pape
  Unique representations of sparse factor models
Session CO632 Room: 002
Empirical macroeconomics Friday, 09 December 2016   14:35 - 16:15
Chair: Kirstin Hubrich Organizer: Kirstin Hubrich
  CO0392:  B. Rossi
  Understanding the sources of macroeconomic uncertainty
  CO1201:  P. Andrade, E. Ghysels, J. Idier
  Tails of inflation forecasts and tales of monetary policy
  CO1218:  K. Hubrich, F. Holm-Hadulla
  Macroeconomic implications of oil price fluctuations: A regime-switching framework for the Euro area
  CO1698:  E. Granziera
  Monetary policy, private debt and financial stability risks
Parallel session F: CFE Friday, 09 December 2016 16:45 - 18:50

Session CO277 Room: 107
Seasonality Friday, 09 December 2016   16:45 - 18:50
Chair: Gian Luigi Mazzi Organizer: Tucker McElroy, Gian Luigi Mazzi
  CO0827:  D. de Antonio Liedo
  Forecasting evaluation in JDemetra+
  CO0916:  G.L. Mazzi, T. Proietti, M. Marczak
  A class of periodic trend models for economic time series
  CO0764:  J. Palate
  Model-based seasonal adjustment in case of seasonal heteroskedasticity
  CO0968:  D. Ladiray
  A X11-based seasonal adjustment method for series with multiple periodicities
  CO0385:  D. Ollech
  Seasonal and calendar adjustment of daily time series
Session CO317 Room: 002
Majorization theory in economics and finance (dedicated to the memory of Prof. Ingram Olkin) Friday, 09 December 2016   16:45 - 18:50
Chair: Rustam Ibragimov Organizer: Rustam Ibragimov, Artem Prokhorov
  CO0439:  F. Roosta, G. Szekely
  Schur properties of convolutions of gamma random variables with applications
  CO0669:  E. Jorswieck
  Schur-convexity of outage capacity for fading wireless channels
  CO0886:  M. Xu, M. Xu
  Cybersecurity risk: A majorization approach
  CO0314:  P. Kattuman, J. Ma
  Dispersion inference in small samples
  CO1031:  R. Ibragimov, A. Prokhorov, J. Walden
  Majorization theory, heavy-tailedness and robustness in economics, finance, econometrics and engineering
Session CO345 Room: 008
Regime change modeling in economics and finance I Friday, 09 December 2016   16:45 - 18:50
Chair: Willi Semmler Organizer: Willi Semmler
  CO1691:  M. Gross, W. Semmler
  Mind the output gap: The disconnect of growth and inflation during recessions \& convex Phillips curves in the Euro area
  CO1679:  W. Semmler, M. Gross
  Inflation targeting, credit flows and financial stability in a regime change model
  CO1583:  E. Gerba, M. Kremer
  CISS in a time-varying environment: How frequent are systemic distress?
  CO1453:  J. Vazquez, S.P. Cassou
  Real-time vs ex-post monetary policy evaluation under opportunistic policy
  CO1416:  M.E. Virgillito, G. Dosi, A. Roventini, M. Pereira
  The effects of labour market reforms upon unemployment and income inequalities: an Agent Based Model
Session CO349 Room: 111
Topics in financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Leopold Soegner Organizer: Joern Sass, Leopold Soegner
  CO0369:  J. Sass, E. Leoff, V. Krishnamurthy, E. Leoff
  Continuous-time regime switching models with jumps and filter-based volatility
  CO0904:  I. Fortin, J. Hlouskova, J. Crespo Cuaresma
  Exchange rate forecasting and the performance of currency portfolios
  CO0765:  K. Poetzelberger
  Properties of estimators of the quantization dimension of distributions
  CO1263:  S. Gur, K. Poetzelberger
  Pricing Parisian option with adaptive Monte Carlo method
  CC0926:  R. Hirk, L. Vana, K. Hornik
  Cross-sectional multivariate ordinal regression models with an application in credit risk
Session CO375 Room: 112
Bayesian copula and time series models Friday, 09 December 2016   16:45 - 18:50
Chair: Rodney Strachan Organizer: Rodney Strachan
  CO0308:  E. Eisenstat, L. Benati, J. Chan, G. Koop
  A new approach to identify noise shocks
  CO0357:  J. Chan
  Large Bayesian VARs: A flexible Kronecker error covariance structure
  CO0366:  R. Strachan, E. Eisenstat, F. Carmignani, R. Tourky
  Computation of continuous, piecewise linear reaction functions
  CO1331:  R. Loaiza-Maya, M. Smith, W.O. Maneesoonthorn
  Time series copulas for heteroskedastic data
  CO1332:  W.O. Maneesoonthorn, M. Smith
  Inversion copulas from nonlinear state space models
Session CO395 Room: 005
Dependence modelling in financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Jean-David Fermanian Organizer: Jean-David Fermanian
  CO0160:  J.-D. Fermanian, A. Derumigny
  Some tests of the simplified assumption for conditional copulae models
  CO0354:  B. Beare, J. Seo
  Randomization tests of copula symmetry
  CO0553:  B.N. Remillard
  Testing hypotheses for the copula of dynamic models
  CO0887:  E. Acar, C. Czado
  Dynamic vine copula models for multivariate time series data
  CO1729:  U. Cherubini
  Marking to market credit derivatives on simultaneous credit events
Session CO399 Room: 205
Advances in Bayesian regression modeling Friday, 09 December 2016   16:45 - 18:50
Chair: Richard Hahn Organizer: Richard Hahn
  CO0436:  C. Hans
  Dependence priors for Bayesian regularized regression
  CO0442:  R. Hahn, C. Carvalho
  A bivariate treed linear model for causal inference from observational studies
  CO0447:  C. Carvalho, R. Hahn, R. McCulloch
  Variable selection in non-linear regression models: A parsimony-utility approach
  CO0476:  D. Rossell, O. Papaspiliopoulos
  Exact Bayesian variable selection and averaging for block-diagonal designs
  CO0632:  V. Rockova
  Particle EM for variable selection
Session CO533 Room: 110
Financial econometrics under uncertainty Friday, 09 December 2016   16:45 - 18:50
Chair: Yan Sun Organizer: Yan Sun, Zudi Lu
  CO0305:  H. Shiraishi, Z. Lu
  Nonparametric estimation for optimal dividend barrier with insurance portfolio
  CO0399:  H. Xie
  Traders structure and the process for speculative assets price
  CO0564:  Q. Zhang
  An information lag component in spread decomposed model
  CO0601:  Y. Sun, G. Lian, Z. Lu, J. Loveland, I. Blackhurst
  Conditional heteroskedasticity of return range processes
  CO1689:  X. Li
  Fuzzy multiplication and its applications in multi-period portfolio selection
Session CO644 Room: 106
Empirical asset pricing and high-frequency financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Roberto Reno Organizer: Cesare Robotti
  CO1106:  F. Penaranda, E. Sentana, E. Manresa
  Empirical evaluation of overspecified asset pricing models
  CO1059:  V. Raponi
  Estimating risk premia using large cross-sections
  CO1282:  D. Pirino, R. Reno, F. Bandi
  Systematic flatness
  CO1310:  R. Reno, A. Kolokolov, M. Caporin
  Systemic cojumps
  CO1344:  N. Zambon, M. Caporin, W. Distaso
  Jump risk and pricing implications
Session CO695 Room: 003
Bayesian methods in macroeconomics and finance Friday, 09 December 2016   16:45 - 18:50
Chair: Nalan Basturk Organizer: Nalan Basturk
  CO0315:  Y. Shapovalova
  Advances in Bayesian computations with application to stochastic volatility models
  CO0343:  A. Pollastri, P. Rodrigues, N.J. Seeger, C. Schlag
  A jumping index of jumping stocks
  CO0347:  S. Grassi, F. Ferroni, S. Grassi, M. Leon Ledesma
  Fundamental shock selection in DSGE models
  CO1069:  A. Bitto
  Extensions in time varying parameter shrinkage models
  CC1558:  A. Borowska, L. Hoogerheide, S.J. Koopman
  Bayesian risk evaluation for long horizons
Session CG390 Room: 108
Contributions in risk analysis and banking Friday, 09 December 2016   16:45 - 18:50
Chair: Rochelle Edge Organizer: CFE
  CC1600:  G. Bormetti, F. Corsi, A.A. Majewski
  Term structure of variance risk premium and returns' predictability
  CC1667:  S. Caton, P. Prakash Pore, O. Creaner
  Changes to banking behaviour in response to regulatory stress testing
  CC1578:  S.H.M. Deininger, D. Maringer
  Channels of sovereign risk spillovers and investment in the manufacturing sector
  CC1483:  R. Edge, J. Berrospide
  The effects of bank capital requirements on bank lending: What can we learn from the post-crisis regulatory reforms
  CC1541:  H. Dakhli
  Towards a new taxonomy of systemic risk measures
Session CG412 Room: S21
Contributions in volatility models and their applications Friday, 09 December 2016   16:45 - 18:50
Chair: Christian Conrad Organizer: CFE
  CC1414:  L. Barbaglia, C. Croux, I. Wilms
  Estimating volatility spillovers: A large t-Vector AutoRegressive approach
  CC1681:  M. Ficura, J. Witzany
  Modeling VIX Index dynamics with Bayesian methods and intraday data
  CC1004:  K. Brzozowska-Rup, A.L. Dawidowicz
  Fitting a Heston's stochastic volatility model to the option quotes on the Warsaw stock exchange
  CC1542:  L. Vacha, J. Barunik, E. Kocenda
  Asymmetric volatility connectedness on forex markets
Parallel session G: CFE Saturday, 10 December 2016 08:40 - 10:20

Session CI681 (Special Invited Session) Room: Graduation hall
Noncausal time series models Saturday, 10 December 2016   08:40 - 10:20
Chair: Alain Hecq Organizer: Alain Hecq
  CI1280:  G. Cubadda, A. Hecq, L. Lieb, S. Telg
  Detecting co-movements in asymmetric cycles: A noncausal time series approach
  CI1287:  M. Lanne, J. Luoto
  A new time-varying parameter autoregressive model for U.S. inflation expectations
  CI1403:  C. Gourieroux, J. Jasiak
  Semi-parametric estimation of noncausal vector autoregression
Session CO287 Room: 102
Bayesian methods in econometrics Saturday, 10 December 2016   08:40 - 10:20
Chair: Enrique ter Horst Organizer: Jonathan Stroud
  CO0557:  J. Maheu, J. Griffin, J. Liu
  Bayesian nonparametric estimation of ex-post variance
  CO0753:  M. Kalli, J. Griffin
  Bayesian nonparametric time varying vector autoregressive models
  CO1468:  E. ter Horst, R. Casarin, G. Molina
  A Bayesian time-varying approach to risk neutral density estimation
Session CO327 Room: 112
Recent advances in nonlinear and nonstationary time series Saturday, 10 December 2016   08:40 - 10:20
Chair: Weining Wang Organizer: Weining Wang, Degui Li
  CO0181:  T. Cheng
  Functional coefficient time series models with trending regressors
  CO0188:  D. Wied, K. Pape, P. Galeano
  Monitoring multivariate variance changes
  CO0802:  J. Sun, W. Cui, H. Cheng
  RKHS-based approach to SCAD-penalized regression in high-dimensional partially linear models
Session CO331 Room: 103
Regional macroeconomics Saturday, 10 December 2016   08:40 - 10:20
Chair: Michael Owyang Organizer: Michael Owyang
  CO0202:  W. Dupor, B. Dupor
  Local and aggregate fiscal policy multipliers
  CO0203:  A. Guisinger, M. Owyang
  A state-level analysis of Okun's law
  CO0209:  L. Jackson Young, K. Kliesen, M. Owyang
  Assessing state and national labor market conditions
  CO1001:  M. Owyang, H. Shell
  Regional beveridge curves
Session CO341 Room: 105
Forecasting I Saturday, 10 December 2016   08:40 - 10:20
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  CO0237:  J. Vespignani
  A new monthly indicator of global real economic activity
  CO1100:  C. Frey
  Using analysts' forecasts for stock predictions: An entropic tilting approach
  CO1490:  A. Ahrens
  Spatio-temporal diffusion of US house prices with unknown spatial weights
  CC0259:  E. Pavlidis, A. Yusupova
  Forecasting UK house prices during turbulent periods
Session CO369 Room: 104
Inference in time series volatility models Saturday, 10 December 2016   08:40 - 10:20
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  CO0587:  E. Gourier, M. Leippold, C. Bardgett
  Inferring volatility dynamics and risk premia from the S\& P 500 and VIX markets
  CO1210:  S. Darolles, S. Laurent, C. Francq
  Cholesky-GARCH, theory and application to conditional beta
  CO1175:  C. Francq, J.-M. Zakoian, O. Wintenberger
  Goodness-of-fit tests for log and exponential GARCH models
  CO1447:  S. Fries, J.-M. Zakoian
  Noncausal heavy-tailed AR($p$) processes
Session CO387 Room: 111
Persistence and asymmetries in financial time series Saturday, 10 December 2016   08:40 - 10:20
Chair: Josu Arteche Organizer: Josu Arteche
  CO0786:  A. Perez Espartero, A. Carnero
  Outliers and misleading leverage effects in asymmetric GARCH-type models
  CO0610:  M. Will, M. Demetrescu, P. Sibbertsen
  A robust LM test for long memory
  CO0615:  P. Grau
  Assessment of Value-at-Risk estimation of long and short-memory GARCH-class using filtered historical simulation methods
  CO0456:  J. Arteche, J. Garcia
  Estimation of the volatility in SV models using singular spectrum analysis
Session CO487 Room: 107
Business cycle analysis and forecasting Saturday, 10 December 2016   08:40 - 10:20
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0422:  A. Gomez-Loscos, L. Gadea, D. Leiva-Leon
  The evolution of regional economic interlinkages in Europe
  CO0469:  S. Pollock
  Stochastic processes in discrete and continuous time
  CO0931:  A. Banerjee, M. Marcellino, I. Masten
  Structural analysis using factor augmented VARs and three-pass regression filters
  CO1105:  R. Ruggeri Cannata, G.L. Mazzi, M. Billio
  A multivariate system of turning points detection for all Euro area countries
Session CO565 Room: Board meeting room I
Jumps and volatility Saturday, 10 December 2016   08:40 - 10:20
Chair: Eduardo Rossi Organizer: Eduardo Rossi
  CO0572:  E. Rossi, P. Santucci de Magistris
  Models for jumps in trading volume
  CO0578:  P. Santucci de Magistris, E. Rossi
  A model for jumps in volatility and volume
  CO0980:  X. Yao, M. Izzeldin
  A model-free option-implied volatility for forecasting returns and realized volatility
  CO1335:  A. Rossi, C. Planas, E. Rossi
  Regimes in stochastic volatility
Session CO567 Room: Board meeting room II
Persistence change and structural breaks Saturday, 10 December 2016   08:40 - 10:20
Chair: Paulo Rodrigues Organizer: Paulo Rodrigues
  CO0393:  N. Salish
  Testing shock induced asymmetries under unknown form of conditional heteroskedastisity
  CO0612:  J. Nicolau
  A structural change test in duration of bull and bear markets
  CO0697:  L.F. Martins, P. Rodrigues
  Tests for segmented cointegration
  CO1189:  P. Rodrigues, U. Hassler, M. Hosseinkouchack, A. Rubia
  CUSUM based ratio tests for parameter constancy: With application to variance stability
Session CO636 Room: 106
Continuous-time and high frequency econometrics Saturday, 10 December 2016   08:40 - 10:20
Chair: Ruijun Bu Organizer: Ruijun Bu
  CO0673:  A. Taamouti
  Term structure of forward moments and equity premium predictability
  CO0346:  F. Jawadi, L. Wael, Z. Ftiti
  Modelling the relationship between future energy intraday volatility and trading volume with wavelet
  CO0735:  M. Kim
  Forecasting low-frequency return density using high-frequency information: MC simulation and FAR
  CO0326:  J. Cheng, R. Bu
  Analysing market volatility dynamics: Evidence from a latent factor-based regime-switching continuous-time model
Session CC735 Room: 109
Contributions in macroeconometrics and time series I Saturday, 10 December 2016   08:40 - 10:20
Chair: Thanasis Stengos Organizer: CFE
  CC1457:  M. Ellington, C. Milas
  Evolving macroeconomic dynamics: A time-varying structural approach
  CC1642:  L. Hanus, L. Vacha
  Frequency response analysis of monetary policy transmission
  CC1517:  M.V. Geraci, J.-Y. Gnabo
  Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
  CC0401:  B. Kwak, Y. Chang
  Endogenous monetary-fiscal regime change in the United States
Parallel session H: CFE Saturday, 10 December 2016 10:50 - 12:55

Session CO279 Room: 101
Empirical processes Saturday, 10 December 2016   10:50 - 12:55
Chair: Bent Nielsen Organizer: Bent Nielsen
  CO0421:  B. Nielsen
  Tightness of M-estimators for multiple linear regression in time series
  CO0427:  W. Stute
  The bivariate Kakutani division process
  CO0444:  H. Koul
  Residual empirical processes
  CO0500:  V. Berenguer Rico, B. Nielsen
  Statistical functionals of residuals
  CO0838:  M.A. Delgado
  Testing constancy of structural parameters in the direction of random alternatives
Session CO329 Room: 103
Uncertainty: Measurement and inference Saturday, 10 December 2016   10:50 - 12:55
Chair: Wojciech Charemza Organizer: Wojciech Charemza, Svetlana Makarova
  CO0837:  C. Melo Fernandes, G. Kenny
  Understanding the role of uncertainty in the Euro area business cycle
  CO0616:  V. Lopez-Perez
  On the effect of uncertainty on non-response to the European central bank survey of professional forecasters
  CO0853:  S. Makarova, W. Charemza, C. Diaz
  Quasi ex-ante inflation forecast uncertainty
  CO0855:  R. Golinelli, I. Mammi
  Uncertainty, parameters' heterogeneity and cross-sectional dependence in fiscal reaction functions estimation
  CO0755:  C. Diaz
  A measure of ex-ante inflation uncertainty based on density forecast revisions
Session CO363 Room: 102
Recent developments in cointegration analysis Saturday, 10 December 2016   10:50 - 12:55
Chair: Martin Wagner Organizer: Martin Wagner
  CO1043:  L. Soegner, M. Wagner
  Residual based consistent bubble detection
  CO0856:  O. Stypka, M. Wagner
  Linear fully modified OLS estimation of cointegrating polynomial regressions
  CO1385:  M. Franchi
  Some results on the structure theory of cointegrated state space systems
  CO0779:  M. Wagner, O. Stypka
  Cointegrating multivariate polynomial regressions: Fully modified OLS estimation and inference
  CO0531:  K. Neusser
  A topological view on the identification of structural vector autoregressions
Session CO365 Room: 109
Macroeconometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  CO1077:  G. Amisano, D. Giannone, M. Lenza
  Large time varying parameter VARs for macroeconomic forecasting
  CO0850:  P. Guerron
  Macroeconomic forecasting in times of crises
  CO1032:  T. Kano
  Trend inflation and exchange rate dynamics: A new Keynesian approach
  CO0966:  M. Lenza, C. Altavilla, G. Carboni
  Money market interest rate uncertainty and macroeconomic implications
  CO1574:  J. Nakajima, A. Filardo
  Cross-country evidence on the effectiveness of monetary policy: A time-varying parameter VAR approach
Session CO373 Room: 112
Computational approaches in econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Sandra Paterlini Organizer: Sandra Paterlini, Dietmar Maringer, Peter Winker
  CO1065:  W. Li, S. Ben, U. Hommel, S. Paterlini, J. Yu
  Default contagion \& systemic risk in the intercorporate loan guarantee network
  CC0477:  M. Rizzo, F. Battaglia
  Statistical and computational tradeoff in econometric models building by genetic algorithms
  CO0960:  P.J. Kremer, S. Paterlini, M. Bogdan, S. Lee
  Sorting out your investments: Sparse portfolio construction via the ordered L1-norm
  CO0752:  M. Giuzio, S. Paterlini, B. Craig
  EU Sovereign-Bank Network: Effects of Diversification and Capital Buffers on Sovereign Debt
  CC0170:  S. Paterlini, C. Klueppelberg, O. Key
  Modelling multidimensional extremal dependance for operational risk
Session CO389 Room: 104
Measuring systemic risk Saturday, 10 December 2016   10:50 - 12:55
Chair: Fulvio Corsi Organizer: Monica Billio
  CO0295:  F. Nucera, A. Lucas, J. Schaumburg, B. Schwaab
  Systemic risk contribution and bank business models
  CO0750:  L. Frattarolo, R. Casarin, M. Billio, M. Costola
  Time to consensus in financial causality networks: A Von Neumman entropy approach to contagion
  CO1073:  F. Corsi, G. Buccheri, S. Peluso
  Hidden leaders: Identifying latent lead-lag structures in multivariate ultra-high-frequency returns
  CO0946:  F. Parpinel, C. Pizzi, L. Frattarolo
  Systemic risk measures relevance: A permutation test approach to European banks
  CO1553:  G. Torri, R. Giacometti, S. Paterlini
  Capturing systemic risk by robust and sparse network estimation
Session CO403 Room: 106
Advances in complex spatial and spatio-temporal econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Maria Kyriacou Organizer: Zudi Lu, Maria Kyriacou
  CO0365:  M. Muhammad, Z. Lu
  Improving the UK index flood estimation by catchment characteristics with additive and spatial regression analyses
  CO1003:  A. Bhattacharjee, L. Cai, R. Calantone, T. Maiti
  Variable selection with spatially autoregressive errors: A generalized moments LASSO estimator
  CO1187:  M. Kyriacou, P.C. Phillips, F. Rossi
  Continuously updated indirect inference in SAR models with unobserved heterogeneity
  CO0959:  J. Lee
  Testing misspecification in spatial autoregressive models
  CO1021:  Z. Lu
  Some recent progress on nonlinear spatial modelling: A review
Session CO415 Room: 105
Topics in modelling dependence and sample selection Saturday, 10 December 2016   10:50 - 12:55
Chair: Artem Prokhorov Organizer: Artem Prokhorov
  CO0262:  C. Muris
  Efficient GMM estimation with incomplete observations
  CO1104:  V. Patilea
  Conditional moment restriction models with missing data
  CO0186:  M. Hirukawa, A. Prokhorov
  Consistent estimation of linear regression models using matched data
  CO0637:  M. Burda, A. Prokhorov
  Bayesian adaptive sparse copula
  CO0986:  Y. Zhu, A. Prokhorov, E. Anderson
  Copula by triangulation
Session CO419 Room: Graduation hall
Recent advances in large panel data analysis Saturday, 10 December 2016   10:50 - 12:55
Chair: Herman van Dijk Organizer: Jean-Pierre Urbain
  CO0929:  M. Norkute, J. Westerlund
  Local-to-unity asymptotics for the factor analytical approach
  CO0759:  A. Juodis, J. Westerlund
  Point optimal panel unit root testing with covariates
  CO1696:  H. Karabiyik, J.-P. Urbain, S. Smeekes, J. Westerlund
  Cross-section average-based confidence intervals for diffusion index forecasts
  CO1317:  S. Reese
  A Hausman test for cross-section dependence in linear panel regression models
Session CO489 Room: 107
Indicators for risk monitoring and imbalancing detection Saturday, 10 December 2016   10:50 - 12:55
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0241:  T. Duprey, B. Klaus
  How to predict financial stress: An assessment of Markov switching versus logit models
  CO0435:  A. Kornprobst
  Financial crisis indicators based on implied correlations computed from option prices
  CO1204:  M. Kratz
  Risk measure estimates in quiet and turbulent times: An empirical study
  CO0913:  C. Menden, C. Proano
  Dissecting the financial cycle with dynamic factor models
  CO1068:  E. Tolo, M. Viren, T. Virtanen, K. Taipalus
  Use of unit root methods in early warning of financial crises
Session CO525 Room: 111
Time-varying dependencies Saturday, 10 December 2016   10:50 - 12:55
Chair: Dominik Wied Organizer: Dominik Wied
  CO0158:  K. Pape, P. Galeano, D. Wied
  Sequential detection of parameter changes in dynamic conditional correlation models
  CO0192:  B. Gribisch, J. Bekierman
  A mixed frequency stochastic volatility model for intraday stock market returns
  CO0200:  L. Hersing, O. Grothe
  Add the beef and combine: Dynamic density combinations from point forecasts
  CO0302:  A. Anundsen
  Econometric methods for detecting imbalances in house prices
  CO0503:  R. Loeser, D. Wied, D. Ziggel
  New backtests for unconditional coverage of the expected shortfall
Session CO591 Room: S23
Advances in option pricing and hedging using stochastic volatility models Saturday, 10 December 2016   10:50 - 12:55
Chair: Juan-Pablo Ortega Organizer: Juan-Pablo Ortega
  CO1036:  A. Badescu, Z. Cui, J.-P. Ortega
  Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits
  CO1235:  C. Chorro, F. Rahantamialisoa
  Option valuation with IG-GARCH model and an U-shaped pricing kernel
  CO0569:  A. Melnikov, M. Fengler
  GARCH option pricing models with Meixner innovations
  CO0324:  L. Stentoft
  On different pricing approaches for options under GARCH with non-normal innovations
  CO1155:  L. Grigoryeva, A. Badescu, J.-P. Ortega
  Pricing and hedging of non-affine ARSV options using volatility dependent kernels
Session CO628 Room: S22
Advances in macroeconometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Luca Fanelli Organizer: Luca Fanelli
  CO0168:  S. Morris
  DSGE Pileups
  CO0360:  A. Tryphonides
  Robust inference for dynamic economies with frictions
  CO0833:  G. Angelini
  Expectations correction and DSGE model selection
  CO0676:  S. Soccorsi
  Measuring nonfundamentalness for structural VARs
  CO0502:  M.M. Sorge
  On the fundamentalness of nonfundamentalness in DSGE models
Session CO705 Room: S24
Investment strategies Saturday, 10 December 2016   10:50 - 12:55
Chair: Alan Hanna Organizer: Fotis Papailias
  CO0579:  J. Liu, F. Papailias, D. Thomakos
  Returns signal momentum
  CO1128:  T. Alexopoulos, D. Thomakos, R. Yahlomi
  Investment strategies for energy assets
  CO1115:  A. Hanna
  A top-down approach to identifying bull and bear market states
  CO1312:  A. Atak, Y. Zhang
  Testing common time-varying coefficients in semiparametric panel data models with fixed effects
  CC0474:  T. Raffinot
  Nowcasting economic turning points with a simple machine-learning algorithm
Session CO721 Room: Board meeting room I
Regime change modeling in economics and finance II Saturday, 10 December 2016   10:50 - 12:55
Chair: Willi Semmler Organizer: Willi Semmler
  CO1478:  S. Orlov, E. Rovenskaya, J. Puaschunder, W. Semmler
  A three-phase model of climate change mitigation
  CO1704:  T. Faulwasser, L. Gruene, C.M. Kellett, S. Weller
  Application of receding horizon optimal control to DICE integrated assessment models
  CO0219:  J. Kotlowski, M. Brzoza-Brzezina
  The nonlinear nature of country risk
  CO1647:  S. Nicar
  On the way out of a recession
  CO1664:  R. Joosten
  Stochastic games with endogenous transitions
Session CG282 Room: 108
Contributions in bootstrap in econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Peter Boswijk Organizer: CFE
  CC0491:  Y. Yamamoto
  Bootstrap inference for impulse response functions in factor-augmented vector autoregressions
  CC1591:  U. Hounyo, K. Christensen, M. Podolskij
  Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach
  CC1615:  E. Hwang, D.W. Shin
  Stationary bootstrapping for realized covolatility with high frequency noisy and asynchronous observations.
  CC1477:  J. Krampe, J.-P. Kreiss, E. Paparoditis
  Estimated Wold representation and spectral density driven bootstrap for time series
  CC0178:  A. Skrobotov, G. Cavaliere, R. Taylor
  Wild bootstrap seasonal unit root tests for time series with periodic non-stationary volatility
Session CG324 Room: Board meeting room II
Contributions in time-series econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Stanislav Anatolyev Organizer: CFE
  CC0452:  L. Kristoufek
  Fractal methods for fractional cointegration
  CC0629:  C. Guollo Taufemback
  Asymptotic behavior of temporal aggregation in mixed-frequency datasets
  CC0981:  N. Aka, R. Tschernig
  Specifying autoregressive processes: A horse race of frequentist model selection methods
  CC1494:  S. Anatolyev
  Volatility filtering in estimation of kurtosis (and variance)
Parallel session I: CFE Saturday, 10 December 2016 14:25 - 16:05

Session CO271 Room: 112
Big data and econometrics Saturday, 10 December 2016   14:25 - 16:05
Chair: Matthew Harding Organizer: Matthew Harding
  CO0712:  J. Hersh, D. Newhouse, R. Engstrom
  Poverty from Space: Using High Resolution Satellite Imagery for Estimating Economic Well-being and Geographic Targeting
  CO1076:  G. Brandi
  Tensor autoregression in economics and finance
  CO1029:  M. Harding, C. Lamarche
  A panel quantile approach to attrition bias in big data: Evidence from a randomized experiment
  CO1548:  J. Marcucci, F. D Amuri
  The predictive power of Google searches in forecasting US unemployment
Session CO291 Room: 105
One-step-ahead in dynamic factor models Saturday, 10 December 2016   14:25 - 16:05
Chair: Esther Ruiz Organizer: Esther Ruiz
  CO0384:  J. Breitung, M. Demetrescu
  Identification and estimation of dynamic factor models
  CO0826:  G. Perez Quiros, M. Camacho, P. Poncela
  Markov-switching dynamic factor models in real time
  CO0976:  M. Hallin
  Dynamic functional principal components
  CO1056:  E. Ruiz, I. Albarran, J. de Vicente
  Measuring the uncertainty of principal components in dynamic factor models
Session CO295 Room: 109
Econometrics of bond prices Saturday, 10 December 2016   14:25 - 16:05
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  CO0671:  L. Kalliovirta, R. Hanninen
  Finnish wood purchasing cartel: Damage estimates on pulpwood based on the VECM approach
  CO1120:  J. Lyhagen, L. Forsberg
  A probabilistic approach to unit root testing in the presence of structural breaks
  CO0884:  J. Kanniainen, Y. Yue, K. Christensen
  Dynamics of VIX term structure and macroeconomic news arrivals
  CO0667:  N. Ahlgren, P. Catani
  Pricing of risk in the long run with strong persistence in volatility
Session CO321 Room: 103
Empirical macroeconomics Saturday, 10 December 2016   14:25 - 16:05
Chair: Daniel Kaufmann Organizer: Daniel Kaufmann
  CO1138:  A. Rathke, S. Sarferaz
  Large Bayesian VAR forecasting in a national accounting environment
  CO0773:  S. Beyeler, S. Kaufmann
  FAVAR revisited: A sparse dynamic factor approach
  CO1102:  R. Indergand
  Seasonal adjustment and data inefficiency: Evidence from simulation and real-world data
  CO0233:  D. Kaufmann
  On the cost of deflation: Evidence from noisy historical data
Session CO351 Room: 102
Regime switching, filtering, and portfolio optimization Saturday, 10 December 2016   14:25 - 16:05
Chair: Joern Sass Organizer: Joern Sass, Leopold Soegner
  CO0330:  R. Wunderlich
  Expert opinions and utility maximization in a market with partially observable Gaussian drift
  CO0443:  J. Reynolds, L. Soegner, M. Wagner, D. Wied
  Analyzing and testing arbitrage parities
  CO1091:  L. Vana, R. Hirk, K. Hornik
  A joint model of firm failure and credit ratings
  CO0949:  C. Damian, Z. Eksi-Altay, R. Frey
  Filter-based discrete-time EM algorithm with diffusion and point process observation
Session CO421 Room: 106
Network analysis and high dimensional time series models Saturday, 10 December 2016   14:25 - 16:05
Chair: Christian Brownlees Organizer: Christian Brownlees
  CO0497:  M. Barigozzi, H. Cho, P. Fryzlewicz
  Simultaneous change-point and factor analysis for high-dimensional time series
  CO0705:  L. Pelizzon, M. Caporin, R. Panzica, M. Billio
  The impact of network connectivity on factorexposures, asset pricing and portfolio diversication
  CO1232:  G. Mesters, C. Brownlees
  Detecting granular time series in large panels
  CO0917:  A. Kock
  Inference in partially identified models with many moment inequalities using lasso
Session CO425 Room: 216
Nonparametric methods for nonstationary time series Saturday, 10 December 2016   14:25 - 16:05
Chair: Christopher Walsh Organizer: Michael Vogt
  CO0270:  M. Meyer, C. Jentsch, A. Leucht, C. Beering
  Empirical characteristic function-based inference for locally stationary processes
  CO1241:  L. Truquet
  Partially linear time series models with time-varying coefficients
  CO1092:  C. Walsh, N. Hautsch
  Analysing dynamic interactions in limit order book markets using nonparametric methods
  CO1762:  M. Schienle, C. Liang
  Determination of vector error correction models in higher dimensions
Session CO471 Room: 107
Sparse Bayesian modelling Saturday, 10 December 2016   14:25 - 16:05
Chair: Helga Wagner Organizer: Helga Wagner
  CO0458:  M. Papathomas, S. Richardson
  Using variable selection within Bayesian clustering to explore dependence between categorical variables
  CO1314:  D. Pauger, H. Wagner
  Bayesian effect fusion with spike and slab prior
  CO0713:  G. Malsiner-Walli, H. Wagner, D. Pauger, B. Gruen
  Effect fusion using sparse finite mixtures
  CO1083:  A. White, J. Wyse, T.B. Murphy
  Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
Session CO473 Room: 101
Alpha-stable processes with applications in financial econometrics Saturday, 10 December 2016   14:25 - 16:05
Chair: Nourddine Azzaoui Organizer: Nourddine Azzaoui, Gareth Peters
  CO0319:  M. Egan, N. Azzaoui, G. Peters
  Simulation of a general class of $\alpha$-stable processes
  CO0363:  M. Paolella
  Stable-GARCH models for financial returns: Fast estimation and tests for stability
  CO1329:  N. Azzaoui, G. Peters
  Spatial and temporal interpolation based on impulsive alpha stable processes.
  CO1327:  G. Peters
  New results in non-independent increment stable process specifications and characterizations
Session CO622 Room: 110
Cyclical properties of financial and economic data Saturday, 10 December 2016   14:25 - 16:05
Chair: Jozef Barunik Organizer: Jozef Barunik
  CO0479:  Y. Schueler
  Financial cycle facts across G-7 countries and detrending: Spuriously robust!
  CO0648:  C. Proano, T. Strohsal, J. Wolters
  Assessing the cross-country interaction of financial cycles: Evidence from the US and the UK
  CO0745:  T. Krehlik, J. Barunik
  Quantile vector-autoregressions
Session CO654 Room: 104
Forecasting and volatility: R\&M University of Messina project Saturday, 10 December 2016   14:25 - 16:05
Chair: Edoardo Otranto Organizer: Edoardo Otranto
  CO0263:  L. Bauwens, M. Braione, G. Storti
  A multiplicative dynamic model for realized covariance matrices
  CO0487:  C. Hafner, O. Linton, H. Tang
  Estimation of a multiplicative covariance structure
  CO1019:  W. Distaso, L. Giraitis, K. Abadir
  Estimating the frequency of a time series
  CO1245:  G. Gallo, E. Otranto, F. Cipollini
  More than just errors: Accounting for state dependent mean reversion in volatility forecasting
Session CO729 Room: 111
Forecasting II Saturday, 10 December 2016   14:25 - 16:05
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  CO0734:  J. Hallgren, T. Koski
  Modeling networks of currency tick-data as continuous time graphical models
  CO0743:  B. Mazur
  Density forecasts of inflation and interest rates using Bayesian DCS models with dynamic conditional skewness
  CO0902:  S. Ben Taieb, J. Taylor, R. Hyndman
  Probabilistic forecasting of hierarchical time series data
  CO0847:  P. Schmidt
  Optimal Value-at-Risk reports: Reducing capital requirement with state dependent forecasting
Session CP001 Room: Hall
Poster Session Saturday, 10 December 2016   14:25 - 16:05
Chair: Stella Hadjiantoni Organizer: CFE
  CP1405:  D. Kurisu, N. Kunitomo
  Simultaneous event multivariate point process models with application to causality analysis of financial markets
  CP1519:  H. Uri
  Dynamic bayesian models for panel data with dynamic skewness
  CP1599:  A. Czapkiewicz, A.L. Dawidowicz
  Model selection tests in the Markov switching models
  CP1588:  L. Kraicova, J. Barunik
  Common cycles in risk
  CC1516:  L. Grassetti, R. Bellio
  Consistent estimation for true fixed effects stochastic frontier models
  CC1485:  U. Triacca, F. Di Iorio
  Spatial variability of the relationship between carbon dioxide and temperature
  CP1754:  M. Gorajski
  Robust vs risk-sensitive monetary policy in a linear model of the Polish economy
  CP1768:  P. Pederzoli
  The market price of skewness and limits to arbitrage
Parallel session J: CFE Saturday, 10 December 2016 16:35 - 18:15

Session CI343 (Special Invited Session) Room: Graduation hall
Financial time series forecasting Saturday, 10 December 2016   16:35 - 18:15
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  CI0489:  A. Dufays, J. Rombouts
  Sparse change-point and Markov-switching HAR models for realized volatility
  CI0932:  R. Crevits, C. Croux
  Robust time series forecasting with exponential smoothing methods
  CI0193:  J. Rombouts, F. Violante, L. Stentoft
  Dynamics of variance risk premia, inverstors' sentiment and international return predictability
Session CO269 Room: 101
Portfolio optimization and performance evaluation Saturday, 10 December 2016   16:35 - 18:15
Chair: Chulwoo Han Organizer: Chulwoo Han
  CO1054:  C. Han
  Improving the naive portfolio strategy
  CO1126:  S. Kim, C. Han
  Portfolio optimization with analyst forecasts
  CO1158:  J. Li, C. Han
  ETFs and market coverage
  CC0227:  J. Laborda, R. Laborda
  Tactical asset allocation with binary regression trees andforests
Session CO273 Room: 104
Real-time data analysis Saturday, 10 December 2016   16:35 - 18:15
Chair: Dean Croushore Organizer: Jan Jacobs
  CO0216:  J. de Winter
  Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries
  CO0350:  A. Elbourne, K. Grabska, H. Kranendonk, J. Rhuggenaath
  The effects of CBS revisions on CPB forecasts
  CO0373:  S. Sarferaz, J. Jacobs, J.-E. Sturm, S. van Norden
  Improving GDP measurement further: Data revisions with news-noise measurement errors
  CO1697:  D. Croushore
  Fiscal forecasts at the FOMC: Evidence from the Greenbooks
Session CO297 Room: 112
Macroeconometrics and time series Saturday, 10 December 2016   16:35 - 18:15
Chair: Matteo Barigozzi Organizer: Matteo Barigozzi, Matteo Luciani
  CO0301:  J. Gonzalo, J.J. Dolado, L. Chen
  Quantile factor models
  CO0646:  P. Paruolo, M. Franchi
  A general inversion theorem with applications to integrated processes
  CO0655:  C. Brownlees, R. Barnichon
  Impulse response estimation by smooth local projections
  CO1261:  A. Conti, M. Barigozzi, F. Venditti
  Sentiments in the times of crisis
Session CO347 Room: 106
Time series modelling of challenging economic phenomena Saturday, 10 December 2016   16:35 - 18:15
Chair: Jeanne Diesteldorf Organizer: Pierre Siklos
  CO0374:  M. Lombardi, F. Zhu
  Global impact of US and euro area unconventional monetary policies: A comparison
  CO0379:  J. Diesteldorf, M.T. Bohl
  The impact of speculators on agricultural commodity futures prices
  CO0382:  C. Wellenreuther, M.T. Bohl, P. Siklos
  The speculative component in Chinese agricultural commodity futures
  CO1466:  C. Wese, M. Prokopczuk
  What makes the market jump
Session CO357 Room: 103
Advances in financial volatility modelling Saturday, 10 December 2016   16:35 - 18:15
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  CO0854:  N. Metiu, G. Motta
  The short-run and long-run components of financial market volatility
  CC1506:  A. Marchenko, P. Gagliardini, I. Horenko
  Towards a computationally-tractable maximum entropy principle for non-stationary financial time series
  CO1150:  D. Kreiberg, S. Groenneberg, G. Sucarrat
  On the unbiasedness of financial volatility proxies
  CO1061:  G. Sucarrat, S. Groenneberg
  Models of financial return with time-varying zero probability
Session CO359 Room: Board meeting room II
Funds performance measurement Saturday, 10 December 2016   16:35 - 18:15
Chair: Spyridon Vrontos Organizer: Spyridon Vrontos
  CO1471:  B. Chizzolini, L. Gori, S. Gatti
  Features and determinants of risk in investment choices by private equity funds
  CO1443:  S. Vrontos
  Robust funds performance evaluation
  CC1254:  A. Savvides, D. Nguyen, G. Salah Uddin
  The dynamics of equity capital flows by global investment funds to emerging economies
Session CO393 Room: Board meeting room I
Animal spirits, communication and regime shifts Saturday, 10 December 2016   16:35 - 18:15
Chair: Ekkehard Ernst Organizer: Ekkehard Ernst
  CO1431:  G. Ciminelli
  Central bank signaling matters: Evidence from the sensitivity of financial variables to macroeconomic news
  CO1530:  C. Macchiarelli, P. De Grauwe
  Financial frictions and housing collateral contraints in a macro model with heuristics
  CO1456:  R. Merola, E. Ernst
  Central Bank communication: A comparative assessment.
  CC1622:  E. Ernst
  Endogenous fiscal multipliers
  CO1700:  J.J. Perez, G. Perez Quiros
  Fiscal targets: A guide to forecasters
Session CO405 Room: 102
Quantiles, predictability, and heavy-tailed distributions Saturday, 10 December 2016   16:35 - 18:15
Chair: Richard Luger Organizer: Richard Luger
  CO0702:  K. Salehzadeh Nobari, A. Taamouti, J.-M. Dufour
  Point-optimal sign-based tests for stock return predictability
  CO0778:  E. Flachaire, A. Charpentier
  Quantiles and inequality indices estimation from heavy-tailed distribution
  CO0969:  S. Gungor, R. Luger
  Exact inference in predictive quantile regressions
  CO0973:  R. Luger
  Exact and heavy-tail robust inference in GARCH models
Session CO501 Room: 105
Managing liquidity risk Saturday, 10 December 2016   16:35 - 18:15
Chair: Gaelle Le Fol Organizer: Gaelle Le Fol
  CO0258:  F. Riva, L. Deville, J. Raposo
  Event-studies and (endogenous) zero returns
  CO0604:  R. Sun
  A self-exciting model of mutual fund flows
  CO1446:  G. Le Fol
  Financial market liquidity: Who is acting strategically
  CO1576:  M. Rambaldi, E. Bacry, F. Lillo
  Multivariate Hawkes processes: A microscope for high-frequency order book dynamics
Session CO634 Room: 111
Nonstationarity in time series Saturday, 10 December 2016   16:35 - 18:15
Chair: Lionel Truquet Organizer: Lionel Truquet
  CO1023:  J.M. Bardet
  Moment bounds and central limit theorems for non stationary Gaussian subordinated arrays
  CO1259:  T. Magdalinos, P.C. Phillips
  Robust econometric inference in systems of cointegrating and predictive regressions
  CO1045:  W. Wu, Z. Zhou
  Gradient-based structural change detection for non-stationary time series M-estimation
  CO1651:  W.B. Wu
  Asymptotic theory for time-varying regression models
Session CO731 Room: 107
Nowcasting and forecasting macroeconomic trends II Saturday, 10 December 2016   16:35 - 18:15
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO1111:  D. Rieser, G.L. Mazzi, J. Mitchell
  Use of panel VAR models for nowcasting GDP
  CO0945:  B. Siliverstovs
  Nowcasting US GDP in real time: A Bayesian mixed-frequency latent-threshold model with stochastic volatility
  CO0201:  K. Petrova
  A quasi-Bayesian nonparametric approach to time varying parameter VAR models
  CO0721:  T. Renault, C. Bortoli, S. Combes
  Nowcasting payroll employment with traditional media content
Session CG322 Room: 109
Contributions on business cycles Saturday, 10 December 2016   16:35 - 18:15
Chair: Simon van Norden Organizer: CFE
  CC0218:  A. Silva Lopes, G. Florin Zsurkis
  Revisiting non-linearities in business cycles around the world
  CC0967:  K. Shibayama
  Trend dominance in macroeconomic fluctuations
  CC0733:  G. Livieri, M. Donadelli, A. Paradiso
  Financial cyclical factors and growth: Insights from an augmented stochastic Solow growth model
  CC1436:  M. Doan
  Anchoring countercyclical capital buffers: The role of market liquidity
Parallel session L: CFE Sunday, 11 December 2016 08:40 - 10:20

Session CI683 (Special Invited Session) Room: Graduation hall
Combining forecasts Sunday, 11 December 2016   08:40 - 10:20
Chair: Ekaterini Panopoulou Organizer: Christos Savva
  CI0296:  F. Ravazzolo, R. Casarin, S. Grassi, H. van Dijk
  Density combinations for large data sets in economics and finance
  CI0328:  E. Panopoulou, L. Meligkotsidou, I. Vrontos, S. Vrontos
  Quantile forecast combinations
  CO0582:  A. Amendola, V. Candila, G. Storti
  Combining multiple frequencies in multivariate volatility forecasting
Session CO197 Room: 111
Advances in financial econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Ostap Okhrin Organizer: Ostap Okhrin
  CO0345:  R. Quaedvlieg, T. Bollerslev, A.J. Patton
  Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
  CO0535:  A. Tetereva, O. Okhrin
  Clustering estimator of the HAC for high-frequency data
  CO0742:  R. Halbleib, G. Calzolari, A. Zagidullina
  Estimating long memory in volatility by means of factor models
  CO0761:  I. Okhrin, S. Zikovic
  On LASSO-GARCH approach
Session CO293 Room: 110
SVAR analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Gregor von Schweinitz Organizer: Gregor von Schweinitz
  CO0213:  F. Sarah, M. Bolboaca
  News shocks: Different effects in boom and recession
  CO0495:  G. von Schweinitz, M. Buchholz, L. Tonzer
  On the the Swiss exchange rate shock
  CO0559:  M. El-Shagi, L. Kelly
  An analysis of monetary policy during the great moderation
  CO0576:  H. Herwartz
  Structural VAR modelling with independent shocks
Session CO323 Room: 105
Time-series econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Robert Kunst Organizer: Robert Kunst
  CO0290:  U. Gunter, I. Onder, A. Scharl
  Forecasting tourist arrivals with the help of web sentiment: A mixed-frequency modeling approach for big data
  CO0707:  R. Kunst
  Distance measures implied by forecast evaluation criteria
  CO1132:  M. Hauser, A. Gschwandtner
  Using profit persistence to predict stock returns: An alternative model
  CO1009:  H. Rachinger
  Linear trends, fractional trends and initial conditions
Session CO355 Room: 102
Volatility modelling Sunday, 11 December 2016   08:40 - 10:20
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  CC1637:  C. Diks, M. Wolski
  Nonlinear conditional Value-at-Risk Granger causality
  CO1269:  S. Laurent, S. Shi
  On the random walk assumption in high frequency stock market prices
  CO1356:  M. Marchese, L. Trapani
  Forecasting oil price volatilities with multivariate fractionally integrated asymmetric DCC models
  CO1371:  G. Storti, R. Gerlach, A. Naimoli
  Flexible realized GARCH models
Session CO407 Room: 112
Non-parametric econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Isabel Casas Organizer: Isabel Casas, Helena Veiga
  CO0811:  Y. Yang
  Recursive estimation in large panel data models: Theory and practice
  CO0989:  S. Orbe, E. Ferreira, I. Casas
  Tv-SURE or not Tv-SURE, that is the question: Time-varying coeffcient estimation in SUR models
  CO1062:  J. Schnurbus, H. Haupt
  Nonparametric estimation and forecasting of structural time series models
  CO0998:  S. Van Bellegem
  High dimensional portfolio optimization by wavelet thresholding
Session CO409 Room: 106
Long run co-movement Sunday, 11 December 2016   08:40 - 10:20
Chair: J Isaac Miller Organizer: J Isaac Miller
  CO0246:  T. Yigit, B. Eroglu, J.I. Miller
  Time varying cointegration and Kalman filter
  CO0327:  J. Kim, J. Park
  Unit root and mean reversion in financial time series generated from diffusion models
  CO0666:  G. Chevillon, S. Mavroeidis, Z. Zhan
  Robust inference in structural VARs with long-run restrictions
  CO0232:  J.I. Miller
  Decomposing climate sensitivity: A statistical approach for a spatially heterogeneous planet
Session CO491 Room: 107
Modelling and forecasting inflation and inflation expectations Sunday, 11 December 2016   08:40 - 10:20
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0205:  J. Sim, I. Cairo
  The demise of the treaty of Detroit and (dis)inflation dynamics
  CO0390:  T. Strohsal, D. Nautz, A. Netsunajev
  The anchoring of inflation expectations in the short and in the long run
  CO0624:  M. Miccoli, M. Casiraghi
  Risk-adjusted expectations of inflation
  CO0767:  J. Mitchell, M. Weale
  Censoring and Fat Tails on the Monetary Policy Committee
Session CO499 Room: 104
Macroeconometric forecasting Sunday, 11 December 2016   08:40 - 10:20
Chair: Shaun Vahey Organizer: Shaun Vahey
  CO0204:  S. Price, G. Kapetanios, K. Theodoridis
  Multistep prediction error decomposition in DSGE models: Estimation and forecast performance
  CO0683:  S. van Norden, J. Galbraith
  Asymmetries and unemployment rate forecasts
  CO1037:  S. Vahey
  Cognitive dissonance and forecaster overconfidence in a model of inflation expectations with distributional inaccuracies
  CO0951:  R. Sekkel
  The real-time properties of the Bank of Canada's staff output gap estimates
Session CO531 Room: Board meeting room I
New developments in DSGE modelling and estimation Sunday, 11 December 2016   08:40 - 10:20
Chair: Timo Baas Organizer: Timo Baas
  CO0762:  J. Velauthapillai, T. Baas, H. Wagner
  Limitations of macroprudential policy and implications for monetary policy
  CO1074:  T. Baas, M. Aikimbaeva
  Migration dynamics and the enlarged European labor market
  CO1020:  J. Hart, M. Clemens
  A search and matching approach to business-cycle migration in the Euro area
  CO1348:  F. Shamsfakhr, T. Baas
  Health shock and gender labor market outcome: An estimated DSGE model of the impact of Spanish flu on Swedish economy
Session CO573 Room: Board meeting room II
Statistical methods for financial and energy markets Sunday, 11 December 2016   08:40 - 10:20
Chair: Gernot Mueller Organizer: Gernot Mueller
  CO0844:  C. Pigorsch
  Identification of core-periphery networks in the interbank market
  CO0974:  A. Seibert, G. Mueller, A. Sirchenko
  Central bank interest rate policy: Bayesian analysis using a cross nested AOP model
  CO0534:  J. Woerner, D. Kobe
  Oscillating Ornstein-Uhlenbeck processes in electricity markets: Modelling and statistical inference
  CO0975:  G. Mueller, B. Buchmann, R. Maller
  Modelling electricity prices using processes with time-varying parameters
Session CO597 Room: 101
Big data, high-frequency trading and market structure Sunday, 11 December 2016   08:40 - 10:20
Chair: Michael Stein Organizer: Michael Stein
  CO0545:  D. Yuferova, M. Bellia, J. Uno, L. Pelizzon, M. Subrahmanyam
  Low-latency trading and price discovery: Evidence from the Tokyo stock exchange in the pre-opening and opening periods
  CO0828:  S. Sagade, A. Bernales, I. Riarte, M. Valenzuela, C. Westheide
  The effects of artificial fragmentation of trading in equity markets
  CC1624:  A. Ntakaris, M. Magris, J. Kanniainen, A. Iosifidis, M. Gabbouj
  Analysis of high-frequency order flow dynamics with machine learning techniques
  CO1247:  L. Wendt
  Limit-order-book models and high-frequency-trading
Session CO642 Room: 103
Advances in financial data modeling Sunday, 11 December 2016   08:40 - 10:20
Chair: Matthias Hartmann Organizer: Claudio Morana
  CO0239:  M. Hartmann
  Forecast performance, disagreement, and heterogeneous signal-to-noise ratios
  CO0380:  C. Conrad
  Testing for an omitted long-term component in multiplicative GARCH models
  CO0410:  M. Karanasos, S. Yfanti
  Stylized facts for extended HEAVY models: The importance of asymmetries, power transformations and long memory
  CO0236:  C. Morana
  Semiparametric estimation of multivariate GARCH models
Session CG706 Room: 109
Contributions in algorithms and software for financial econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Georgi Boshnakov Organizer: CFE
  CC1621:  S. Berger, N. Graham, A. Zeileis
  Various versatile variances: An object-oriented implementation of clustered covariances in R
  CC1512:  M. Bee, M.M. Dickson, F. Santi
  Estimating the variance-gamma distribution: A comparison of algorithms and of estimated option prices
  CC0775:  A. Santos
  Real-time analysis of the intraday financial volatility: Big data, simulations and stochastic volatility using R
Parallel session M: CFE Sunday, 11 December 2016 10:50 - 12:05

Session CO301 Room: 107
Bayesian econometrics Sunday, 11 December 2016   10:50 - 12:05
Chair: Luca Rossini Organizer: Roberto Casarin
  CO0243:  L. Rossini, M. Billio, R. Casarin
  Bayesian nonparametric aparse seemingly unrelated regression model (SUR)
  CO1283:  H. van Dijk, N. Basturk, L. Hoogerheide
  Likelihood shape and regularization priors for econometric models with reduced rank
  CO0686:  M. Iacopini, R. Casarin, M. Billio
  Bayesian matrix regression
Session CO335 Room: 110
Oil price dynamics Sunday, 11 December 2016   10:50 - 12:05
Chair: Ivan Paya Organizer: Ivan Paya
  CO0561:  I. Paya, E. Pavlidis, D. Peel
  On speculative bubbles in oil markets: An analysis based on market expectations
  CO1316:  M. Lorusso, C. Nolan
  Oil price shocks and the UK fiscal regime: 1990-2005
  CO1460:  I. Figuerola-Ferretti, R. McCrorie, I. Paraskevopoulos
  Mild explosivity in recent crude oil prices
  CC1767:  S. Beidas-Strom
  Potential output of net oil exporters after the boom
Session CO417 Room: 111
Econometric analysis of commodity and energy markets Sunday, 11 December 2016   10:50 - 12:05
Chair: Helena Veiga Organizer: Sofia Ramos, Helena Veiga
  CO0189:  M. Joets
  On the volatility of commodity prices and the macroeconomic uncertainty
  CO0738:  J. Luebbers, P.N. Posch
  Commodities common factor: An empirical assessment of the markets drivers
  CO1072:  S. Ramos, H. Veiga
  Energy industry's market value and oil price
Session CO423 Room: 106
Inference on non-causal or non-invertible time series Sunday, 11 December 2016   10:50 - 12:05
Chair: Carlos Velasco Organizer: Carlos Velasco
  CO0293:  H. Nyberg, M. Lof
  Noncausality and the commodity currency hypothesis
  CO0361:  C. Velasco, I. Lobato
  Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
  CC1007:  J. Nyholm, B. Funovits
  Multivariate all-pass time series models: Modelling and estimation strategies
Session CO445 Room: 104
Large-scale multivariate modeling of asset returns and portfolio allocation Sunday, 11 December 2016   10:50 - 12:05
Chair: Marc Paolella Organizer: Marc Paolella
  CO0318:  M. Gambacciani, M. Paolella
  Robust normal mixtures for financial portfolio allocation
  CO0515:  P. Walker, M. Paolella, P. Polak
  A flexible regime-switching model for asset returns
  CO1299:  P. Polak, M. Paolella
  Portfolio selection with active risk monitoring
Session CO449 Room: 105
Data analytics for financial and insurance risk management Sunday, 11 December 2016   10:50 - 12:05
Chair: Gareth Peters Organizer: Andrea Macrina, Gareth Peters
  CO1391:  A. Macrina, H. Dam, O. Mahomed, D. Skovmand
  Multi-curve interest rate modelling and inflation-linked pricing
  CO1708:  G. Bagnarosa, G. Peters, M. Ames, P. Shevchenko, T. Matsui
  On risk factors which drive oil futures price curves: Speculation and hedging in the short-term and long-term
  CO1749:  D.G. Skovmand, H. Dam, D.S. Pedersen
  A rational model for inflation
Session CO579 Room: 101
Nowcasting and forecasting at central banks Sunday, 11 December 2016   10:50 - 12:05
Chair: Knut Are Aastveit Organizer: Knut Are Aastveit
  CO0584:  J.-O. Menz, T. Goetz
  Disaggregated model-based inflation forecasts: A univariate approach
  CO0760:  A. Halka
  How the central banks reaction function in small open economies evolved during the crisis
  CO1093:  K.A. Aastveit, H. van Dijk, F. Ravazzolo
  Exchange rate predictability and model incompleteness
Session CO581 Room: Board meeting room I
Financial networks Sunday, 11 December 2016   10:50 - 12:05
Chair: Marco Petracco Organizer: Marco Petracco
  CO0588:  T. Peltonen, M. Derrico, S. Battiston, M. Scheicher
  Risk and the credit default swap market
  CO0818:  M. Costola, R. Casarin, E. Yenerdag
  Identifying the systemically important financial communities through the weighted stochastic block model
Session CO583 Room: 102
The econometrics of intergenerational mobility Sunday, 11 December 2016   10:50 - 12:05
Chair: Emma Tominey Organizer: Andros Kourtellos
  CO0749:  T. Kitagawa, J. Stuhler, M. Nybom
  Measurement error and rank correlation
  CO0822:  M. Soytas, G.-L. Gayle, L. Golan
  Estimation of dynastic life-cycle discrete choice models
  CO0977:  E. Tominey, P. Carneiro, K. Salvanes
  Family income shocks and adolescent human capital
Session CO585 Room: 112
Commodity prices: Forecasting and policy design Sunday, 11 December 2016   10:50 - 12:05
Chair: Hilde Bjornland Organizer: Anthony Garratt
  CO0389:  H. Bjornland, L.A. Thorsrud
  Commodity prices and fiscal policy design: Procyclical despite a rule
  CO0432:  I. Petrella
  Risk premia and seasonality in commodity futures
Session CO587 Room: Board meeting room II
High frequency empirical finance Sunday, 11 December 2016   10:50 - 12:05
Chair: Wenying Yao Organizer: Vitali Alexeev
  CO0558:  W. Yao, V. Alexeev, G. Urga
  Asymmetric jump beta estimation with implications for portfolio risk management
  CO1410:  L. Winkelmann
  Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
  CC1501:  H. Yu, Q. Lin
  Co-jumps asymmetry
Session CG532 Room: 109
Contributions in DSGE modelling and estimation Sunday, 11 December 2016   10:50 - 12:05
Chair: Stephen Pollock Organizer: CFE
  CC1420:  C.D. Kim
  Housing markets - A DSGE analysis of the German case
  CC1014:  B. Funovits
  The dimension of the set of causal solutions of linear multivariate rational expectations models
Parallel session O: CFE Sunday, 11 December 2016 14:30 - 15:50

Session CC672 Room: 105
Contributions to computational and empirical econometrics Sunday, 11 December 2016   14:30 - 15:50
Chair: Lorenzo Mercuri Organizer: CFE
  CC0279:  E. Krasheninnikova, R. Maestre
  Pricing strategy optimization considering customer sensitivity with Monte Carlo simulations
  CC0622:  T. Goetz, T. Knetsch
  Google data in bridge equation models for GDP
  CC0594:  T. Lehnert
  Feedback trading and index option prices
  CC1695:  A. Morozova, W. Pohlmeier
  Estimation of the CAPM with measurement error
Session CG294 Room: 110
Contributions in monetary policy Sunday, 11 December 2016   14:30 - 15:50
Chair: William Dupor Organizer: CFE
  CC1663:  P. Wlodarczyk
  Monetary policy transmission during the global economic crisis: A case of small open economies
  CC1362:  G. Bauer
  International house price cycles, monetary policy and risk premiums
  CC1499:  A. Paccagnini, V. Colombo
  Uncertainty shocks and monetary policies
  CC0944:  V. Ajevskis
  A term structure of interest rates model with zero lower bound and non-standard monetary policy measures
Session CG296 Room: 106
Contributions in econometrics of bond prices Sunday, 11 December 2016   14:30 - 15:50
Chair: Ranko Jelic Organizer: CFE
  CC0459:  L. Liu, S. Cho
  Correcting estimation bias in regime switching dynamic term structure models
  CC1633:  L. Coroneo
  TIPS liquidity premium and quantitative easing
  CC1654:  A. Audzeyeva, R. Bladen-Hovell, S. Jayathilaka
  Forecasting the yield curve dynamics: A just-identified no-arbitrage FAVAR approach with tractable economic factors
  CC1657:  S. Razmpa, F. Ielpo
  How many bonds to efficiently diversify credit risk?
Session CG298 Room: 101
Contributions in macroeconometrics and time series II Sunday, 11 December 2016   14:30 - 15:50
Chair: Guillaume Chevillon Organizer: CFE
  CC0225:  M. Al Sadoon
  The linear systems approach to linear rational expectations models
  CC0961:  M. Thornton
  Mixed time aggregation of dynamic multivariate linear processes
  CC1343:  T. Stengos, S.S. Ozturk
  Output gap dispersion persistence and convergence: A stochastic volatility approach
  CC1566:  Y. Walle, H. Herwartz
  Heteroskedasticity-robust unit root testing for panels with linear trends
Session CG306 Room: 104
Contributions in co-movements in economic and financial time series Sunday, 11 December 2016   14:30 - 15:50
Chair: Gianluca Cubadda Organizer: CFE
  CC1315:  J. Ascorbebeitia, S. Orbe, E. Ferreira
  The joint distribution of domestic indexes: An approach using conditional copulas
  CC1655:  F. Ielpo, L.-N. Boon
  Standard and alternative risk premiums in a world of lower nominal growth
  CC1682:  M.C. Badics
  Cross-correlation analysis of international foreign exchange markets: An EEMD-based approach
  CC1461:  K. Martin-Bujack, M.T. Corzo, I. Figuerola-Ferretti
  Credit Default Swaps: does the traded volume influence research interest?
Session CG342 Room: 007
Contributions in forecasting and time variation Sunday, 11 December 2016   14:30 - 15:50
Chair: Helmut Luetkepohl Organizer: CFE
  CC0938:  C. Funk
  Forecasting the real price of oil: Time-variation and forecast uncertainty
  CC1629:  H. Nishino
  GARCH model for income time series data and forecasting income inequality
  CC1684:  M. Mansur
  Forecasting during the recent financial crisis: Automatic versus adaptive exponential smoothing methods
  CO1434:  A. Giovannelli, M. Lippi, U. Triacca, A. Pasini, A. Attanasio
  Forecasting global temperature with time-series methods
Session CG364 Room: 006
Contributions in cointegration analysis Sunday, 11 December 2016   14:30 - 15:50
Chair: Alain Hecq Organizer: CFE
  CC1595:  P. Boswijk
  Identification of long-run effects in near-integrated systems
  CC1721:  J.L. Carrion-i-Silvestre
  Structural breaks and instabilities at the end of sample
  CC1489:  J. Witzany, J. Baran
  Analysing cross-currency basis spreads
  CC1185:  A. Burda
  Investigating nonlinear purchasing power parity for EUR/PLN within Bayesian STVECM framework
Session CG430 Room: 002
Contributions in time-varying parameter models Sunday, 11 December 2016   14:30 - 15:50
Chair: Simona Sanfelici Organizer: CFE
  CC1745:  Y.J. Lee, D. Kristensen
  Nonparametric estimation of time-varying parameters in nonlinear models
  CC1593:  S. Neuwirth
  Time-varying mixed frequency forecasting: A real-time experiment
  CC1257:  B. Marquier
  Dynamic Bayesian estimation of time-varying cointegration parameters
  CC1379:  S. Sanfelici, C. Guardasoni
  Semi-analytical method for pricing barrier options with time-dependent parameters
Session CG486 Room: 112
Contributions in nowcasting and forecasting macroeconomic trends Sunday, 11 December 2016   14:30 - 15:50
Chair: Jasper de Winter Organizer: CFE
  CC1441:  D. Gutknecht, J. Fosten
  Testing nowcast monotonicity
  CC1604:  M. Gonzalez-Astudillo
  GDP trend-cycle decompositions using state-level data
  CC1707:  H. Demircan, C. Cakmakli
  Measuring economic and financial conditions using a unified framework
  CC1594:  J. Trinh
  Temporal disaggregation of short time series with structural breaks: Estimating quarterly data for emerging economies
Session CG566 Room: 111
Contributions in jumps and volatility Sunday, 11 December 2016   14:30 - 15:50
Chair: Hans Manner Organizer: CFE
  CC1565:  A. Kolokolov
  Estimating jump activity using multipower variation
  CC1567:  A. Zarraga, A. Ciarreta, P. Muniain
  Modelling and forecasting realised volatility in German-Austrian continuous intraday electricity prices
  CC1649:  G. Schwenkler, F. Guay
  Efficient parameter estimation for multivariate jump-diffusions
  CC0228:  H. Manner, J. Bekierman
  Improved forecasting of realized variance measures
Session CG568 Room: 109
Contributions in oil price analysis Sunday, 11 December 2016   14:30 - 15:50
Chair: Aleksander Welfe Organizer: CFE
  CC1515:  N. Rubino
  Oil volatility pass-through and and real exchange rate misalignment in commodity exporting countries
  CC0179:  A. Zubarev, A. Polbin, A. Skrobotov
  The importance of external and internal shocks for real exchange rate and industrial production in Russia: SVAR approach
  CC1734:  T. Kanamura
  A financialization model of crude oil markets
  CC1509:  P. Keblowski, A. Welfe, K. Leszkiewicz-Kedzior
  Real exchange rates, US dollar and crude oil price in the tripolar model
Session CG633 Room: 107
Contributions in empirical macroeconomics Sunday, 11 December 2016   14:30 - 15:50
Chair: Daniel Kaufmann Organizer: CFE
  CC1401:  E. Shioji
  Extracting fiscal policy expectations from daily stock returns
  CC1540:  V. Potashnikov, A. Zubarev, O. Lugovoy
  Determinants of economic development: SEM approach
  CC1636:  V. Vassilatos, T. Kollintzas, D. Papageorgiou, M. Tsionas
  Market and political power interactions in Greece: An empirical investigation
  CC1658:  L. Melosi, F. Bianchi
  Escaping the great recession
Session CG711 Room: 103
Contributions in credit risk Sunday, 11 December 2016   14:30 - 15:50
Chair: Christophe Croux Organizer: CFE
  CC1425:  T. Yoshiba, T. Adachi, T. Sueshige
  Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
  CC1638:  P. Reusens, C. Croux
  Sovereign credit rating determinants: The impact of the European debt crisis
  CC1580:  M. Jahan-Parvar, S. Aramonte, S. Rosen, J. Schindler
  Extracting risk neutral distributions using option prices and CDS spreads
Parallel session P: CFE Sunday, 11 December 2016 16:20 - 18:00

Session CC666 Room: 101
Contributions in Bayesian econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Roberto Leon-Gonzalez Organizer: CFE
  CC0499:  B. van Roye, R. Gomez-Salvador
  Investment dynamics in advanced economies: Evidence from a Bayesian panel VAR
  CC1560:  M. Asai
  Bayesian analysis of alternative long memory stochastic volatility models using realized volatility
  CO0865:  M. Ban
  Consumer clustering model based on the time of new product adoption using ID-POS data
  CO0937:  S. Hasegawa, S. Nakano, S.-G. Lee
  An analysis of TV viewing behavior using a direct utility model
  CC0238:  D. Kulikov, A. Netsunajev
  Identifying shocks in structural VAR models via heteroskedasticity: A Bayesian approach
Session CC669 Room: 105
Contributions in time series Sunday, 11 December 2016   16:20 - 18:00
Chair: Joshua Chan Organizer: CFE
  CC0872:  A. Schnuecker
  Restrictions search for panel VARs
  CC1579:  C. Saunders
  Space-time autoregressive models
  CC0431:  B. Abeln
  Seasonal adjustment without revisions
Session CC671 Room: 111
Contributions in applied econometrics and finance Sunday, 11 December 2016   16:20 - 18:00
Chair: Christopher Baum Organizer: CFE
  CC0208:  C. Baum, H. Loof, P. Nabavi, A. Stephan
  The effects of minimum wages on immigrants' employment: Evidence from the Swedish economy
  CC0196:  M. Bruns, T. Poghosyan
  Leading indicators of fiscal distress: Evidence from the extreme bound analysis
  CC1528:  M.S. Miescu
  Connectedness and spillovers in recession and boom
  CC0298:  F. Ramsauer, M. Lingauer
  FAVAR models for mixed-frequency data
  CC1556:  J.C. Alonso, J.D. Martin, B. Gallo
  Day-of-the-Week effect in MILA stock markets: A relative distribution approach
Session CG198 Room: 110
Contributions in financial econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Walter Distaso Organizer: CFE
  CC0169:  S. Tsiaplias, C.L. Chua
  A generalised model of typical and atypical news transmission
  CC1581:  N. Loperfido
  A new kurtosis matrix, with statistical applications
  CC1597:  H. Fang, C. Diks
  Detecting Granger causality with a nonparametric information-based statistic
  CC0184:  E. Sinelnikova-Muryleva, A. Skrobotov
  Likelihood ratio tests for explosive financial bubble with application of ruble/dollar exchange rate
  CC0895:  M.-J. Keay
  Partial copula methods for models with multiple discrete endogenous explanatory variables and sample selection
Session CG276 Room: 107
Contributions in factor model analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Pierre Guerin Organizer: CFE
  CC1614:  J. Oberoi, H. Doshi
  The ETF-index volatility spread
  CC1643:  R. Ouysse
  Efficient estimation of large approximate factor models using constrained principal components regression
  CC1377:  P. Guerin, M. Marcellino, D. Leiva-Leon
  Markov-switching three-pass regression filter
  CC1635:  E. De Meo, G. Tizzanini, L. Prosperi, L. Zicchino
  Exploring effects of conventional and unconventional monetary policies: An infinite VAR in data-rich environment
  CC1715:  M. Messmer, F. Audrino
  The (adaptive) Lasso in the Zoo - Firm characteristic selection in the cross-section of expected returns
Session CG304 Room: 102
Contributions on network analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Carsten Jentsch Organizer: CFE
  CC0257:  Y. Liao, A. Clements
  News and network structures in equity market volatility
  CC1589:  R. Hisano
  A new approach to building the interindustry input-output table using block estimation techniques
  CC1532:  R. Hipp, C. Jentsch
  Statistical inference for financial connectedness
  CC1502:  T. Isogai
  Dynamic correlation network analysis of Japanese stock returns
  CC1773:  X. Xu
  Dynamic default intensities in a network topology
Session CG334 Room: 104
Contributions in forecasting Sunday, 11 December 2016   16:20 - 18:00
Chair: Justinas Pelenis Organizer: CFE
  CC1107:  D. Grabowski
  Comparing and combining neural networks for stock market direction prediction
  CC1166:  J. Pelenis
  Forecast elicitation with weighted scoring rules
  CC0521:  V. Troster, J. Penalva, A. Taamouti
  Equilibrium error and expected industry portfolio returns
  CC1551:  Y. Iwasaki
  Measuring underlying inflation using dynamic model averaging
  CC1525:  P. Exterkate
  Density forecasting in nonlinear models with stochastic volatility
Session CG362 Room: 106
Contributions in panel data econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Jan Kiviet Organizer: CFE
  CC1373:  J. Kiviet, J. Pindado, I. Requijo
  Specification of dynamic panel data models: An empirical application to corporate capital structure
  CC1678:  M. Fritsch, A.A.Y. Pua, J. Schnurbus
  Estimating linear dynamic panel data models using nonlinear moment conditions
  CC1374:  Y. Lu
  Flexible panel regression model for bivariate count/continuous data with insurance applications
  CC0922:  A. Nocera
  EM estimation of dynamic panels with heteroskedastic random coefficients
  CC1764:  P. Chodnicka - Jaworska
  A panel ordered response model for banks credit ratings estimation
Session CG380 Room: 112
Contributions on estimation of econometric models Sunday, 11 December 2016   16:20 - 18:00
Chair: Antonio Montanes Organizer: CFE
  CC1462:  J. Bruha
  A note on estimation of a mixture of multivariate Tobit models
  CC1634:  M. Hofmann, A. Colubi, E. Kontoghiorghes
  Detection and recovery from inconsistencies in the general linear model with singular dispersion matrix
  CC1661:  D. Brzyski
  Estimation and prediction via group SLOPE (gSLOPE)
  CC1430:  T. Prono
  Simple estimators for GARCH models
  CC1444:  L. Gadea, A. Montanes, J.L. Carrion-i-Silvestre
  Unbiased estimation of autoregressive models in bounded series
Session CG382 Room: 109
Contributions on hypothesis testing for econometric models Sunday, 11 December 2016   16:20 - 18:00
Chair: Anders Kock Organizer: CFE
  CC0358:  N. Topaloglou, S. Arvanitis
  Testing for prospect and Markowitz stochastic dominance efficiency
  CC0417:  J. Leymarie, D.G. Banulescu, C. Hurlin, O. Scaillet
  Backtesting marginal expected shortfall and related systemic risk measures
  CC1571:  E.C.M. Schutte
  Testing for explosive bubbles in the presence of autocorrelated innovations
  CC0428:  I. Kheifets, C. Velasco
  New goodness-of-fit diagnostics for conditional discrete response models
  CC1365:  J.A. Afonso-Rodriguez
  Model-free tests for the null hypothesis of stochastic trendless
Session CG637 Room: 103
Contributions in high frequency econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Kim Christensen Organizer: CFE
  CC0272:  K. Christensen
  The drift burst hypothesis
  CC1596:  M. Thyrsgaard, K. Christensen, B. Veliyev
  Understanding the distribution of volatility
  CC1659:  M.Z. Li, R. Laeven, M. Vellekoop
  Dependent microstructure noise and integrated volatility estimation from high-frequency data
  CC1675:  I. Ishida
  Forecasting the daily spot volatility paths of equity indices via functional autoregressive models: An empirical study
  CC1474:  X. Li, V. Zakamulin
  Forecasting volatility in stock market: The gains from using intraday data