Dominik Wied (University of Cologne), Matei Demetrescu (Christian-Albrechts-University of Kiel), Ying Lun Cheung (Goethe University Frankfurt), Jörg Breitung (University of Cologne), Onno Kleen (Universität Heidelberg). Christoph Hanck (Duisburg-Essen), Michael Massmann (WHU), and more
23-24 March 2017

23/24 March 2017 – Erasmus School of Economics

Click here to view full program in pdf

Organisation: Jörg Breitung, Michael Massmann, and Andreas Pick

Thursday, 23 March, Room CB-2

12:00-13:00 Registration
Session 1 Chair: Andreas Pick
13:00-13:30 Siem Jan Koopman (VU Amsterdam)
Long term forecasting of El Nino events via dynamic factor simulations
13:30-14:00 Dominik Wied (University of Cologne)
Residual-based inference on moment hypotheses, with an application to
testing for constant correlation
14:00-14:30 Didier Nibbering (Erasmus University Rotterdam)
A Bayesian infinite hidden Markov VAR model
14:30-14:50 Break
Session 2 Chair: Michael Massmann
14:50-15:20 Matei Demetrescu (Christian-Albrechts-University of Kiel)
Long autoregressions under asymmetric loss
15:20-15:50 Katarzyna Łasak (VU Amsterdam)
On an alternative fractional model
15:50-16:20 Ying Lun Cheung (Goethe University Frankfurt)
Long memory factor model: a semi-parametric approach
Session 3 Chair: Siem Jan Koopman
16:40-17:10 Julia Schaumburg (VU Amsterdam)
Bank business models at low interest rates
Jörg Breitung (University of Cologne)
Multivariate tests for speculative bubbles

Friday, 24 March, Room C2-2

Session 1 Chair: Christoph Hanck
9:30-10:00 Peter Boswijk (University of Amsterdam)
Bootstrapping non-stationary stochastic volatility
10:00-10:30 Onno Kleen (Universität Heidelberg)
Volatility Forecasting Using Multiplicative Component Models
10:30-11:00 Tom Boot (University of Groningen)
A near optimal test for structural breaks when forecasting under square
error loss
11:00-11:20 Break
Session 2 Chair: Matei Demetrescu
11:20-11:50 Charles Bos (VU Amsterdam)
Quantile-based measures of variation: Testing for non-Gaussianity in HF data
11:50-12:20 Wendun Wang (Erasmus University Rotterdam)
Heterogeneous structural breaks in panel data models
12:20-13:20 Lunch
Session 3 Chair: Jörg Breitung
13:20-13:50 Christoph Hanck (Duisburg-Essen)
House prices and interest rates: Bayesian evidence from Germany
13:50-14:20 Frank Kleibergen (University of Amsterdam)
Subset inference in heteroscedastic linear IV regressions
14:20-14:40 Break
Session 4 Chair: Wendun Wang
14:40-15:10 Hande Karabiyik (VU Amsterdam)
Cross-section average based confidence intervals for diffusion index forecasts and inference for factor augmented regressions
15:10-15:40 Michael Massmann (WHU)
Strong consistency of the least squares estimator in regression models withadaptive learning