11 September 2018
20th OxMetrics User Conference
Centre for Econometric Analysis, Cass Business School
106 Bunhill Row, London, EC1Y 8TZ
Tuesday 11th September 2018
Session 4: Factor Models and Estimation
Chairperson: Siem Jan Koopman
Markov-Switching Dynamic Factor Models after the Great Recession
Pierre-Alain Pionnier (OECD) with C. Doz and L. Ferrara
Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-augmented Regressions
Fa Wang (Cass Business School, London, UK)
Two-Step Estimation of Large Scale Dynamic Factor Models: General Consistency Results in Stationary and Non-Stationary Frameworks
Catherine Doz (Paris School of Economics and University Paris 1 Panthéon-Sorbonne, France)
Missing Observations in Observation-Driven Time Series Models
Siem Jan Koopman (Vrije Universiteit Amsterdam and Tinbergen Institute, The Netherlands; and CREATES, Aarhus University, Denmark) with F. Blasques and P. Gorgi.
10:30–11:00 Coffee/Tea Break
Session 5: Finance
Chairperson: Giovanni Urga
High-Frequency Quoting and Liquidity Commonality
Riccardo Borghi (Cass Business School, UK)
Small-sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-type Effects
Richard Luger (Laval University, Canada) with S. Gungor.
What Triggers Systemic Risk in the European Financial System?
Giovanni Urga (Cass Business School, UK) with C. Bellavite Pellegrini, P. Cincinelli and M. Meoli.
Session 6: Macro and (G)VAR
Identification and Persistence-Robust Exact Inference in DSGE Models
Lynda Khalaf (Carleton University, Canada) with Z. Lin and A. Reza
Modelling how Macroeconomic Shocks affects Regional Employment: Analysing the Brazilian Formal Labour Market using the Global VAR Approach
Emerson Fernandes Marçal (Sao Paulo School of Economics, Brasil) with Bruno Tebaldi
Forecasting Long Memory through a VAR Model
Sebastien Laurent (Aix-Marseille University, France) with L. Bauwens and G. Chevillon
15:00–15:30 Coffee/Tea Break
Session 7: Volatility
Chairperson: Lynda Khalaf
Models for Realized Volatility
Andrew Harvey (Cambridge University, UK)
On the Robustness of the Principal Volatility Components
Pedro L. Valls Pereira (Sao Paulo School of Economics and Centre of Quantitative Studies in Economics and Finance, Brazil) with C. Trucios and L.K. Hotta
Simple Estimators and Inference for Higher-order Stochastic Volatility Models
Jean-Marie Dufour (McGill University, Canada) with N. Ahsan.
17:00 Closing Remarks.