Chicago/London Conference on Financial Markets Part Three:

Factor Models in Economics and Finance

4 - 5 December 2009
Cass Business School

Conference Sponsors

CEA - Centre for Econometric Analysis

Cass Business School (Knowledge Transfer Fund/Higher Innovation Fund)

Date and Location

4 - 5 December 2009

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

Organiser

G. Urga (Cass Business School)

Contacts and Futher Information

Contact Farida Ahmed at Farida.Ahmed.1@city.ac.uk

Friday 4 December

Factor Models in Economics and Finance

Organiser: Giovanni Urga

PROGRAMME
(Download Conference Programme) [pdf]

Abstracts [pdf]

Room 3002

8:30 - 8:50 Registration and Refreshments
8:50 - 9:00 Opening Address: Steven Haberman (Deputy Dean and Director, Cass Business School)

Session 1: Cross-Sectional Dependence

Chair: Giovanni Urga (Cass, UK)

9:00 - 9:40
Peter M. Robinson (London School of Economics, UK)
"Nonparametric Trending Regression with Cross-Sectional Dependence"

9:40 - 10:10
Matthias Hagmann (AHL Research, Man Investments, London, UK)
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns" (with Gregory Connor and Oliver Linton)

10:10 - 10:50
Hashem Pesaran (Cambridge University, UK)
"Spatial and Temporal Diffusion of House Prices in the UK" (with Sean Holly and Takashi Yamagata)

10:50 - 11:30 Refreshments

Session 2: Volatility Models and Persistence

Chair: Radu Tunaru (Cass, UK)

11:30 - 12.00
Jose Gonzalo Rangel (Banco de Mexico, Mexico)
"High and Low Frequency Correlations in Global Equity Markets" (with Robert F. Engle)

12:00 - 12:30
Alain Hecq (Maastricht University, The Netherlands)
"On the Univariate Representation of Multivariate Volatility Models with Common Factors" (with Sébastien Laurent and Franz C. Palm)

12:30 - 13:00
Paolo Zaffaroni (Imperial College Business School London)
"Fractional Affine Term Structure Models" (with Adam Golinski)

13:00 - 14:00 Lunch

Session 3: Forecasting

Chair: Meziane Lasfer (Cass, UK)

14:00 - 14:40
Massimiliano Marcellino (European University Institute, Italy)
"Classical Time-Varying FAVAR models - Estimation, Forecasting and Structural Analysis" (Sandra Eickmeier and Wolfgang Lemke)

14:40 - 15:20
Anindya Banerjee (University of Birmingham, UK)
"The Response of Retail Interest Rates to Forecasts of Market Rates in the Major European Economies" (with Paul Mizen and Victor Bystrov)

15:20 - 15:50
George Kapetanios (Queen Mary University of London, UK)
"Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting" (with Jan J. J. Groen)

15:50 - 16:20
Eric Hillebrand (Louisiana State University, USA)
"Forecasting Output Growth and Inflation: How to Use Information in the Yield Curve" (with Huiyu Huang, Tae-Hwy Lee and Canlin Li)

16:20 - 16:45 Refreshments

Session 4: Large Models/Panels 1

Chair: Valentina Corradi (Warwick, UK)

16:45 - 17:25
Lynda Khalaf (Carleton University, Canada)
"Structural Multi-Equation Macroeconomic Models: Identification- Robust Estimation and Fit" (with Jean-Marie Dufour and Maral Kichian)

17:25 - 18:05
Lucrezia Reichlin (London Business School, UK)
"Travelling Through the Econometrics of Large Dynamic Models"

19:00 Conference Dinner at Alba Restaurant

Saturday 5 December

Factor Models in Economics and Finance

Organiser: Giovanni Urga

Room 3002

8:30 - 9:00 Refreshments

Session 5: Models with Jumps

Chair: Stewart Hodges (Cass, UK)

9:00 - 9.40
Yacine Ait-Sahalia (Princeton, USA)
"Financial Crises and Mutually Exciting Jumps" (with Julio Cacho- Diaz, Ton Hurd and Roger Laeven)

9:40 - 10:10
Ana-Maria Dumitru (Bergamo University, Italy and CEA, Cass Business School, UK)
"Jumps and Price Discovery in the US Treasury Market" (with G. Urga)

10:10 - 10:50
Heather Anderson (ANU, Australia)
"Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps" (with Yin Liao and Farshid Vahid)

10:50 - 11:15 Refreshments

Session 6: Large Models/Panels 2

Chair: Enrique Sentana (CMFI, Spain)

11:15 - 11:55
Marco Lippi (University of Rome "La Sapienza", Italy)
"The Generalized Dynamic Factor Model without Finite-Dimension Restrictions"

11:55 - 12:25
Gabriele Fiorentini (Università di Firenze, Italy)
"Dynamic specification tests for static factor models" (with Enrique Sentana)

12:25 - 12:55
Dalibor Stevanovic (Université de Montréal, Canada)
"Factor Models and VARMA Processes" (with Jean-Marie Dufour)

12:55 - 13.25
Mehmet Caner (North Carolina State University, Raleigh, USA)
"Bridge Estimators for Determining the Number of Factors in Multifactor Models, Large Panels"

13:25 - 14:15 Lunch

Session 7: Stability and Multivariate Factor Models

Chair: Eduardo Rossi (Pavia University, Italy)

14:15 - 14:55
James H. Stock (Harvard University and the NBER)
"Estimating Turning Points using Large Data Sets" (with Mark W.Watson)

14:55 - 15:25
Lorenzo Trapani (Cass Business School, London, UK)
"Testing for Changepoints in Large Nonstationary Panels" (with C. Kao and G. Urga)

15:25 - 16:05
Jean-Marie Dufour (McGill University, Montréal, Quebec, Canada)
"Identification Robust Inference in Structural Multivariate Factor Models with Rank Restrictions" (with Marie-Claude Beaulieu and Lynda Khalaf)

16:05 - 16:35
Michael Massmann (Vrije Universiteit Amsterdam, The Netherlands)
"A Reduced-Rank Regression Approach to Dynamic Factor Models" (with Siem Jan Koopman)

16:35 END OF THE CONFERENCE