4th Oxmetrics User Conference
14 - 15 September 2006
Cass Business School
Conference Sponsors
Date and Location
14 - 15 September 2006
Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK
Organiser
G. Urga (Cass Business School)
Abstracts [pdf]
Thursday 14 September
8.30-9.00 Registration & Tea and Coffee
Session 1: Unobserved Components
Chairperson: Sebastien Laurent
09.00-11.00
Siem Jan Koopman, Marius Ooms, Irma HINDRAYANTO (Faculty of Economics and BA, Vrije Universiteit Amsterdam)
Periodic Unobserved Cycles in Seasonal Time Series: Identification and Estimation
Torbjørn LORENTZEN (Institute in Research in Economics and Business Administration, SNF, Bergen-Norway)
Is There Any Indication of Climate Change in the Coastal Waters off Norway? A Statistical Analysis of Temperature Data
Matteo M. PELEGATTI (Department of Statistics, Universita' degli Studi di Milano-Bicocca)
Optimal Filtering for a Common Stochastic Cycle Shifted in Continuous Time
Giuliano de Rossi and Andrew HARVEY (Faculty of Economics, University of Cambridge)
Quantiles, Expectiles and Splines
11.00-11.45 Coffee Break
Session 2: Empirical Applications
Chairperson: Jennifer Castle
11.45-12.45
Toshitaka SEKINE (Bank for International Settlementsm, Monetary and Economic Department)
Time-varying Exchange Rate Pass-Through: Experience of Some Industrial Countries
Katerina Kalcheva and Utku TEKSOZ (European Bank for Reconstruction and Development)
Monetary Policy Credibility Before Adopting the Euro: Evidence from a Markov Regime-Switching Model
12.45-14.00 Lunch
Session 3: Multivariate GARCH models
Chairperson: Siem Jan Koopman
14.00-15.30
Sebastien Laurent, Jeroen V.K. Rombouts, Annastiina Silvennoinen and Francesco VIOLANTE (FUNDP Namur and CORE, Universite Catholique de Louvain)
Comparing and Ranking Covariance Structures of M-GARCH Volatility Models
Juan Cajigas and Giovanni URGA (Faculty of Finance, Cass Business School)
Dynamic Conditional Correlation Models with Asymmetic Multivariate Laplace Innovations
Menelaos KARANASOS, A. Kartsaklas and J. Kim (Business School, Brunel University, Uxbridge)
The Volume-Volatility Relationship and the Opening of the Korean Stock Market to Foreign Investors after the Financial Turmoil in 1997
15.30-16.00 Coffee Break
Session 4: OxMetrics developments
Chairperson: Giovanni Urga
16.00-17.00 Round Table Discussion with OxMetrics Developers
Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, Siem Koopman and Sebastien Laurent, the main aim of the round table is to provide a forum for an exchange of suggestions and ideas for future developments of the software.
19:00 CONFERENCE DINNER
Friday 15 September
Session 5: Econometric methodology
Chairperson: James Davidson
09:00-10:30
David F. HENDRY (Department of Economics, Oxford University)
Econometric Methodology Revisited
Jurgen A. DOORNIK (Nuffield College, Oxford)
Implementing Automatic Regressor Selection in a Maximum-Likelihood Setting
10:30-10.45 Coffee Break
Session 6: PcGets and model selection
Chairperson: Jurgen Doornik
10:45-11:45
David F. Hendry (Department of Economics, Oxford University), Soren Johansen (Economics Department, University of Copenhagen) and Carlos SANTOS (Department of Economics, Oxford University)
Selecting a Regression Saturated by Indicators
Jennifer L. CASTLE and David F. Hendry (Department of Economics, Oxford University)
Selecting Non-linear Models using PcGets
Session 7: Modelling long range dependence
Chairperson: Marius Ooms
11:45-12:45
James DAVIDSON and Nigar Hashimzade (School of Business and Economics, Exeter University)
"Type I and Type II Fractional Brownian Motions: a Reconsideration"
Arturo LECCADITO (Bergamo University and Cass Business School) and Giovanni Urga (Faculty of Finance, Cass Business School)
Fractional Models to Credit Risk Pricing
12.45 END OF CONFERENCE
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