VU Amsterdam and Tinbergen Institute host the 28th (EC)^2 Conference in Amsterdam on December 14-15, 2017. This year’s conference theme: “Time-Varying Parameter Models”.


Click here for full overview of Conference program (draft Dec 14)

Thursday 14 December 2017


9:15 – 10:00

Registration. The venue is open from 08:30



Welcome by Anders Rahbek


10:00 – 10:45

Econometric Theory Keynote Lecture

Christian Gouriéroux (University of Toronto, Canada and Crest, France)

Econometric Modelling and Transformation Groups

Introduced by Anders Rahbek


10:45 – 11:00

Break for coffee


11:00 – 12:40

Session 1 Macroeconometrics

Chair: Siem Jan Koopman


Fabio Canova (Norvegian Business School)

A composite likelihood approach for dynamic structural models


Ana Galvao (University of Warwick)

Credit conditions and the effects of economic shocks: amplification and asymmetries


Mateus R. Noriller (Federal University of Santa Catarina)

Maximum Likelihood Estimation of a TVP-VAR


Simon C. Smith (USC Dornsife INET, Department of Economics, USC)

Detecting Breaks in Real Time: A Panel Forecasting Approach


12:40 – 14:00

Poster session at Foyer WTC



Bertille Antoine (Simon Fraser University)

Smooth Minimum Distance for Robust Inference in Conditional Asset Pricing Models


Andreas Beyer (European Central Bank)

Cointegration Structural Breaks and Business Cycles: Modelling the dynamics of unemployment inflation and interest rates in a MS VECM


Otilia Boldea (Tilburg University)

Break Point Estimation in Fixed Effects Panel Data


Christoph Hanck (University of Duisburg-Essen)

Time-Varying Forecasting Ability under Time-Varying Volatility: An Evaluation of Professional Forecasters


Frank Kleibergen (University of Amsterdam)

Asset Pricing with Consumption and Robust Inference


Robinson Kruse (University of Cologne)

Testing the marginal distribution in time-varying location-scale models


Mengheng Li (VU Amsterdam)

Are long-run output growth rates falling? Evidence from time-varying parameter models


Daniele Massacci (Bank of England)

Testing for Regime Changes in Large Dimensional Factor Models


14:00 – 15:40

Session 2 Econometric Theory

Chair: Peter Boswijk


Giuseppe Cavaliere (University of Bologna)

Bootstrap inference under random distributional limits


Ye Lu (University of Sydney)

Testing for stationarity at high frequency


Rasmus Sondergaard Pedersen (University of Copenhagen)

Testing Garch-X Type Models


Paolo Zaffaroni (Imperial College London)

Testing Beta-pricing models using large cross-sections


15:40 – 16:00

Break for tea


16:00 – 16:45

Keynote Lecture

Andre Lucas (VU Amsterdam)

Developments in score-driven time-varying parameter models

Introduced by Anders Rahbek


16:50 – 17:00

Break for drinks


17:00 – 18:15

Session 3 Nonparametric Econometrics

Chair: Jan Magnus


Ying Lun Cheung (Goethe University Frankfurt)

Sieve Estimation of Time-varying Factor Loadings


Young Jun Lee (University College London)

Nonparametric Estimation of Time-Varying Parameters in Nonlinear Models


Bas Werker (Tilburg University)

Semiparametric optimal testing with highly persistent predictors



Dinner at Hemelse Modder, Oude Waal 11, 1011 BZ Amsterdam


Friday 15 December 2017


9:15 – 10:00



10:00 – 10:45

Journal of Economic Dynamics Control Keynote Lecture:

Andrew Patton (Duke University)

Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk

Introduced by Thomas Lubik


10:45 – 11:00

Break for coffee


11:00 – 12:40

Session 4 Financial Econometrics

Chair: Frank Kleibergen


Dimitra Kyriakopoulou (Université catholique de Louvain)

Exponential-type GARCH models with linear-in-variance risk premium


Alessandra Luati (University of Bologna)

The forecast density of a GARCH(1,1)


Nour Meddahi (Toulouse School of Economics)

Volatility regressions with fat tails


Robert F. Engle (New York University)

Large dynamic covariance matrices


12:40 – 14:00

Lunch and Poster session at Foyer WTC


Morten Nyboe Tabor (University of Copenhagen)

The Qualitative Expectations Hypothesis


Andreas Pick (Erasmus University Rotterdam)

Testing for a structural break when forecasting


Rogier Quaedvlieg (Erasmus University Rotterdam)

Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix


Matthias Schmidtblaicher (European University Institute)

Discount rates volatility and tests for bubbles


Bernd Schwaab (European Central Bank)

Financial Research Risk endogeneity at the lender/investor-of-last-resort


Oliver Stypka (TU Dortmund)

Testing Linear Cointegration against Smooth Transition Cointegration


Mamiko Yamashita (Toulouse School of Economics)

Return Predictability and Risk Management


Marcin Zamojski (University of Gothenburg)

Filtering With Confidence: In-sample Confidence Bands For GARCH Filters


14:00 – 15:40

Session 5 Financial Econometrics

Chair: Julia Schaumburg

Torben G. Andersen (Northwestern University)

The pricing of tail risk and the equity premium: evidence from international option markets


Pavel Cizek (Tilburg University)

Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series


Bart Keijsers (Erasmus University Rotterdam)

Long-term investing under uncertain parameter instability


Susana Martins (University of Minho)

Modelling time-varying volatility interactions with an application to volatility contagion


15:40 – 16:00

Break for tea


16:00 – 17:15

Session 6 Applied Econometrics

Chair: Anders Rahbek


Maurice Bun (University of Amsterdam)

Cartel dating


Andrew C. Harvey (Cambridge University)

Modeling time series with zero observations


Peter R. Hansen (University of North Carolina at Chapel Hill)

A dynamic model of vaccine compliance: How fake news undermined the Danish HPV vaccine program


17:15 Farewell drinks at FOYER WTC


Keynote Speakers

ET Keynote Speakers:  Christian Gourieroux (University of Toronto, Canada and Crest, France)

JEDC Keynote Speaker: Andrew Patton (Duke University, United States)

Andre Lucas (VU Amsterdam)


View complete speakers list

View complete list of poster presenters


Conference Dinner

Entry to the Conference Dinner is included for all who have purchased or received a 2 day conference pass.  The conference dinner takes place at Restaurant Hemelse Modder on Thursday December 14, starting around 19:30.

We suggest that we travel together by public transport. If the weather permits, then our ‘local experts’ will give a small tour on the way to the restaurant.

View directions conference venue and Restaurant Hemelse Modder on google maps.