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

 

10:00

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

Lunch

 

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

 

19:30

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

 

Friday 15 December 2017

 

9:15 – 10:00

Registration

 

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.