Keynote Speakers

ET Keynote Lecture:  Christian Gourieroux (University of Toronto, Canada and Crest, France) – Econometric Modelling and Transformation Groups

JEDC Keynote Lecture: Andrew Patton (Duke University, United States) – Dynamic Semiparametric Models for
Expected Shortfall (and Value-at-Risk)

Andre Lucas (VU Amsterdam) – Developments in score-driven time-varying parameter models


Speakers (in alphabetical order):

Torben G. Andersen (Northwestern University) – The pricing of tail risk and the equity premium: evidence from international option markets

Maurice Bun (University of Amsterdam) –  Cartel dating

Fabio Canova (Norvegian Business School) – A composite likelihood approach for dynamic structural models

Giuseppe Cavaliere (University of Bologna) – Bootstrap inference under random distributional limits

Ying Lun Cheung (Goethe University Frankfurt) – Sieve Estimation of Time-varying Factor Loadings

Pavel Cizek (Tilburg University) – Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series

Robert F. Engle (New York University) – Large dynamic covariance matrices

Ana Galvao (University of Warwick) – Credit conditions and the effects of economic shocks: amplification and asymmetries

Peter R. Hansen (The University of North Carolina at Chapel Hill) – A dynamic model of vaccine compliance: How fake news undermined the Danish HPV vaccine program

Andrew C. Harvey (Cambridge University) – Modeling time series with zero observations

Bart Keijsers (Erasmus University Rotterdam) – Long-term investing under uncertain parameter instability

Dimitra Kyriakopoulou (Université catholique de Louvain) – Exponential-type GARCH models with linear-in-variance risk premium

Young Jun Lee (University College London) – Nonparametric Estimation of Time-Varying Parameters in Nonlinear Models

Ye Lu (University of Sydney) – Testing for stationarity at high frequency

Alessandra Luati (University of Bologna) – The forecast density of a GARCH(1,1)

Susana Martins (University of Minho) – Modelling time-varying volatility interactions with an application to volatility contagion

Nour Meddahi (Toulouse School of Economics) – Volatility regressions with fat tails

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

Rasmus Sondergaard Pedersen (University of Copenhagen) – Testing Garch-X Type Models

Bas Werker (Tilburg University) – Semiparametric optimal testing with highly persistent predictors

Paolo Zaffaroni (Imperial College London) – Testing – Beta-pricing models using large cross-sections