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