6th OxMetrics User Conference

17 - 18 September 2008
Cass Business School

Conference Sponsors

Date and Location

17 - 18 September 2008

Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK
Room G001

Organiser

G. Urga (Cass Business School)

Wednesday, 17 September 2008

Room G001

PROGRAMME

Abstracts [pdf]

08.30-09.00: Registration and tea/coffee

Session 1: Jumps and Cobreaking
Chairperson: Lorenzo Trapani

09.00-10.30:

A Modified Lee-Mykland Test for Jumps in the Presence of Seasonality.
Sebastien Laurent, with Kris Boudt and Christophe Croux (CeReFiM, University of Namur and CORE, Belgium)

Jumps in the US Treasury Market: An Empirical Comparison between Alternative Tests to Detect Jumps
Ana-Maria Dumitri (University of Bergamo, Italy and Centre for Econometric Analysis, Cass Business School, London, U.K.)

Cobreaking, Cointegration, and Weak Exogeneity: Modelling Aggregate Consumption in Japan
Takamitsu Kurita (Faculty of Economics, Fukuoka University, Japan)

10.30-11.00: Coffee/Tea Break

Session 2: Impulse Saturation
Chairperson: Sebastien Laurent

11.00-12.30:

An Automatic Test of Super Exogeneity
David F. Hendry with Carlos Santos (Economics Department, Oxford University, UK).

Further Applications of Econometric Modelling With More Variables Than Observations
Jurgen Doornik (Economics Department, Oxford University, UK)

Impulse Saturation and the Choice of an Estimation Window for Forecasting
Hildegart A. Ahumada (Di Tella University, Buenos Aires, Argentina)

12.30-14.30: LUNCH

Session 3: Modelling the Term Structure and Forecasting
Chairperson: Jurgen Doornik

14.30-16.00:

Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters
Siem Jan Koopman with Max Mallee and Michael van der Wel (Vrije Universiteit Amsterdam and the Tinbergen Institute, Netherlands)

Estimation of Factors for Term Structures with Dependence Clusters
Dennis Philip (Centre for Econometric Analysis, Cass Business School, London, UK)

Forecasting Volatility and Value at Risk of United Kingdom Natural Gas Futures Prices
Robert A. Yaffee (Silver School of Social Work, New York University, USA) et al.

16.00-16.30: Coffee break

Session 5: OxMetrics Developments
Chairperson: Giovanni Urga

16.30-18.00: Round Table Discussion with OxMetrics Developers.
Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, Siem Jan Koopman, Sebastien Laurent, and Melvyn Weeks 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

Thursday, 18 September 2008

Room G001

PROGRAMME

Session 5: Copulas and Microeconometrics
Chairperson: Siem Jan Koopman

09.00-10.00:

Beta-t-(E) GARCH
Andrew Harvey with Tirthankar Chakravarty (Faculty of Economics, University of Cambridge, UK)

Regulation in Oligopolistic Markets with Differentiated Products: The Demand for New Cars
Melvyn Weeks (Faculty of Economics, University of Cambridge, UK)

10:00-10.15: Coffee/Tea Break

Session 6: Garch Models and Volatility
Chairperson: Melvyn Weeks

10.15-11.45:

Optimal Portfolio Allocation using Daily Correlation Modelling
Charles Bos with Roman Kraussl (Department of Econometrics, Vrije Universiteit Amsterdam, The Netherlands).

Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
Menelaos Karanasos with Christian Conrad (Department of Economics and Finance, Brunel University, West London, UK)

Outlyingness Weighted Quadratic Covariation
Kris Boudt with Christophe Croux, and Sebastien Laurent (Faculty of Business and Economics, K.U.Leuven, Belgium)

11.45-12.00: Coffee/Tea Break

Session 7: Mixed
Chairperson: Charles Bos

12.00-13.00:

Synchronization Across Full and Country-Specific Business Cycles in the Euro Zone
Carmine Pappalardo (ISAE - Institute for Studies and Economic Analyses, Rome, Italy)

Gamma Approximation Cointegration (GAC). Documentation and User Manual
Havard Hungnes (Research Department, Statistics Norway, Norway)

13.00: LUNCH/END OF CONFERENCE.