Past Events

The Centre for Econometric Analysis promotes and supports research activities in the form of conferences, seminars and workshops. The Centre dates back to 2004, please take a look at past events.

2017

25 July - Professor Robin Lumsdaine (Kogod School of Business, American University, Washington)
Paper Title:
“An Epidemiological Model of Crisis Spread Across Sectors in the United States”  (joint with EvaF.Janssens and Sebastian H.L.C.G Vermeulen)

27 March - Dacheng Xiu (Chicago Booth School of Business) University of Chicago
Paper Title: "
Using Principal Components Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data" (joint with Yacine Ait-Sahalia, Princeton University and NBER.)

27 February - Dobrislav Dobrev (FED, Washington D.C.)
Paper Title:
"High-Frequency Cross-Market Trading: Model Free Measurement and Applications"(joint with Ernst Schaumburg, Federal Reserve Bank of New York)

2016

18th Oxmetrics User Conference
12 - 13 September 2016

2015

Conferences

OxMetrics 7 - 16th OxMetrics User Conference
3 - 4 September 2015

Seminars

23 June - 1st Leverhulme Trust Lecture
Visiting Professorship – Professor Lynda Khalaf (VP2-2013-003)

9 October - ''Estimating and testing high dimensional factor models with multiple structural changes''Wang Fa (Syracuse University, USA) (with B. Baltagi and C. Kao).

6 November - “Shadow Banking, Financial Instability and Monetary Policy”

2014

15th OxMetrics User Conference
4 - 5 September 2014
Centre for Econometric Analysis, Faculty of Finance
Cass Business School, UK

14th OxMetrics User Conference
20 - 21 March 2014
Department of Economics, George Washington University
Washington, D.C. 20052 U.S.A.

2013

Conferences

4 - 5 July - 19th International Panel Data Conference
Centre for Econometric Analysis, Faculty of Finance
Cass Business School, UK

8 April - Econometrics, Energy and Finance
Centre for Econometric Analysis, Faculty of Finance
Cass Business School, UK

15 March - Third Carlo Giannini Ph.D. Workshop in Econometrics
Department of Management, Economics and Quantitative Methods
University of Bergamo, Italy

19 February - Recent Advances on the Changepoint Problem
Organisers: Lorenzo Trapani & Sonia Falconieri

25 January - International Conference on "Systemic Risk, Contagion and Jumps"
Centre for Econometric Analysis, Faculty of Finance
Cass Business School, UK

Seminars

14 November - Prof. Eric Hillebrand (CREATES, Aarhus).
"Supervision in Factor Models" (joint with Huiyu Huang, Tae-Hwy Lee and Canlin Li

28 May - Prof. Timo Terasvirta (CREATES, Aarhus).
"Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations" (with Cristina Amado)

24 January - Dr Tomas Lichard (CERGE-EI, Prague). 
"Sand in the Wheels or the Wheels in Sand?: Tobin-like Taxes and Market Irrationality, Volatility and Liquidity"

2012

Conferences

12th OxMetrics User Conference
3 - 4 September 2012
Centre for Econometric Analysis, Faculty of Finance
Cass Business School, UK

11th OxMetrics User Conference
15 - 16 March 2012
Department of Economics
The George Washington University
Washington, DC, USA

CEA Group Meetings

Readings in Advanced topics in quantitative finance (organized by Jan Novotny, CEA Fellow)

21 November - Speaker: Jan Novotny (Centre for Econometric Analysis, Cass Business School, UK)
"Random Matrix Theory: Motivation and Introduction"

28 November - Jan Novotny (Centre for Econometric Analysis, Cass Business School, UK)
"Asymptotic statistics 1 -- Introduction"

5 December - Riccardo Pianeti (Centre for Econometric Analysis, Cass Business School, UK and Bergamo University, Italy)
"Asymptotic statistics 2 -- Nonparametric Density Estimation"

12 December - Michele Bergamelli (Centre for Econometric Analysis, Cass Business School, UK)
"Asymptotic statistics 3 -- Bootstrap"

Occasional Seminars

25 June - Econometrics Occasional Seminar 10
"Testing for Co-Jumps in High-Frequency Financial Data: an Approach Based on First-High-Low-Last Prices" (with Yin Liao) Heather M. Anderson (Monash University, Australia)       (Abstract)  (Paper)

20 June - Econometrics Occasional Seminar 9
"Estimation and Inference of Expected Shortfall for Time Series with Infinite Variance" (with O. Linton)
Zhijie Xiao (Department of Economics, Boston College, USA) (Abstract)    (Paper)

19 June - Econometrics Occasional Seminar 8
"More Efficient Estimation of Volatility Models via Quantile Regression"
Zhijie Xiao (Department of Economics, Boston College, USA) (Abstract)

11 June - Econometrics Occasional Seminar 7
"Change-Point Detection in Panel Data"(with M. Huskova) Lajos Horvath (Department of Mathematics, University of Utah, USA)

8 June - Econometrics Occasional Seminar 6
"Invariance Principles for the Change-Point Problem"
Lajos Horvath (Department of Mathematics, University of Utah, USA)

8 May - Econometrics Occasional Seminar 5
"Robust Forecasting by Regularization" (with E. Schaumburg)
Dobrislav Dobrev (FED Washington, USA) (Abstract) (Paper)

30 March - Financial Econometrics Occasional Seminar 4 (The London/Prague Seminar Series on Financial Markets)
"MODELLING AND TESTING FOR JUMPS IN FINANCIAL MARKETS" (Programme)

10 February - Econometrics Occasional Seminar 3
"Jackknife Estimation and Inference for Time Series"
Chambers, Marcus (Department of Economics, University of Essex, UK)

27 January - Occasional Seminar 2
"Introduction to Non-Parametric Bayesian Statistics - part ll"
Pietro Muliere (Bocconi University, Italy)

25 January - Occasional Seminar 1
"Introduction to Non-Parametrics Bayesian Statistics - part l"
Pietro Muliere (Bocconi University, Italy)

2011

Conferences

10th OxMetrics User Conference
1- 2 September 2011
School of Business and Economics
Maastricht University

CEA Group Meetings

9 December - CEA Group Meeting 2
Ana Maria-Dumitru (Surrey University, UK) - "Averaging Tests for Jumps"

19 May - CEA Group Meeting 1
Michele Bergamelli (CEA, Cass Business School, UK) - "Modelling the Term Structure of Interest Rates"

Occasional Seminars

14 - 17 February - Occasional Seminar 2 (short course)
Marco Lippi (La Sapienza University, Italy) - "LARGE DIMENSIONAL FACTOR MODELS" (Programme)

24 - 28 January - Occasional Seminar 1 (short course)
Pietro Muliere (Bocconi University, Italy) - "BAYESIAN STATISTICS/ECONOMETRICS" (Programme)

2010

ERSC/CEA@Cass Seminar Series in Financial Econometrics, Second Series Oct 2008 - Nov 2010

Conferences

3 - 4 December - High-Dimensional Econometric Modelling Conference

Seminars

16 February - Seminar 5: Andy Haldane (Executive Director, Financial Stability, Bank of England)
"Public Policy in an era of Super-Systemic Risk"

23 February - Seminar 6: Andrew Smithers (Smithers & Co. Ltd.)
"Imperfect Markets and Inept Central Bankers"

Other Conferences

8th OxMetrics User Conference
19-20 March 2010

9th OxMetrics User Conference
16-17 September 2010

Occasional Seminar

1 - 2 November - Econometrics Occasional Seminar 4 (short course)
David Drukker (Stata Corporation, USA)
"ECONOMETRIC ANALYSIS USING STATA 11" 
(Programme)

7 July - Econometrics Occasional Seminar 3
Matteo Mogliani (Paris School of Economics, France)
"Breaks and Welfare Cost of Inflation in Stabilizing Emerging Economies. The Case of Argentina and Brazil. Econometrics"

18 May - Occasional Seminar 2
Olivier Scaillet (HEC Universite de Geneve and Swiss Finance Institute, Geneve, CH)
"Detecting spurious Jumps in High Frequency Data" (with P. Bajgrowicz)

25 - 29 - Occasional Seminar 1 (short course)
Pietro Muliere (Bocconi University, Italy)
"BAYESIAN STATISTICS/ECONOMETRICS" (Programme)

2009

ERSC/CEA Seminar Series in Financial Econometrics, Second Series
October 2008 - November 2010

4 - 5 December - Chicago/London Conference on Financial Markets - Part 3
Factor Models in Economics and Finance
Sponsored by CEA, the Internationals Centre for Futures and Derivatives at UIC, CME Trust, Bank of EnglandESRC, the Journal of Applied Econometrics, and ICAP

1 - 2 May - The Chicago/London Conference on Financial Markets - Part 2
Financial Markets: How Real?
Sponsored by CEA, the Internationals Centre for Futures and Derivatives at UIC, CME Trust, Bank of EnglandESRC, and the Journal of Applied Econometrics

Seminars

8 October - Seminar 4: Ravi Jagannathan (Kellog School of Management, Northwestern University, USA)
Why are we in a recession? The financial crisis is the symptom not the disease" (with M. Kapoor and E. Schaumburg)

7 October - Seminar 3: Ravi Jagannathan (Kellog School of Management, Northwestern University, USA)
"Informed Trading, Liquidity Provision, and Stock Selection by Mutual Fund" (with Z. Da and P. Gao)

5 October - Seminar 2: Michael J. Fleming (Federal Reserve Bank of New York, USA)
"Repo Market Effects of the Term Securities Lending Facility"(with W.B. Hrung and F.M. Keane)

25 February - Seminar 1: Andrew Sentance:
'The current financial crisis - lessons for monetary policy'

Other conferences

7th Oxmetrics User Conference
14 - 15 September 2009
Sponsored by Timberlake Consultants

CEA Group Meetings

9 November - CEA Group Meeting 7
Ana-Maria Dumitru (Universita' di Bergamo, Italy and CEA, Cass Business School, UK)
"Co-Volatility and Jumps"

28 October - CEA Group Meeting 6
Eduardo Rossi (Pavia University, Italy and CEA, Cass Business School, London, UK)
"Estimation methods in panel data models with observed and unobserved components"

21 October - CEA Group Meeting 5
Vincenzo Maini (Deutsche Bank AG, London, UK and CEA, Cass Business School, London, UK)
"An Application of EVT to Algo Trading"

8 October - CEA Group Meeting 4
Matteo Mogliani (Paris School of Economics, France)
"Residual-based Cointegration Tests and Multiple Structural Breaks: A Monte Carlo Analysis"?

20 July - CEA Group Meeting 3
Alexios Ghalanos (Cass Business School, London)
"A Factor Autoregressive Conditional Density Model"

17 February - CEA Group Meeting 2
Arturo Leccadito (Universita' della Calabria, Italy and CEA, Cass Business School, UK)
"True vs Spurious Long Memory: A Monte Carlo with an Application to Credit Data"

23 January - CEA Group Meeting 1
Alexios Ghalanos (Cass Business School, UK)
"Risk and Investment in the Partial Moments Framework"

Seminars

24 November - Econometrics Occasional Seminar 7
Tom Doan (Estima)
"Practical Issues with State Space Models with Mixed Stationary and Non-Stationary Dynamics"

10 November - Econometrics Occasional Seminar 6
David Drukker (Director of Econometrics, Stata Corporation)
"Cross-sectional spatial econometrics using Stata"

9 November - Econometrics Occasional Seminar 5
David Drukker (Director of Econometrics, Stata Corporation)
"Econometric analysis of panel data using Stata"

11 May - Econometrics Occasional Seminar 4
Jens Nielsen (Cass Business School, London)
"Why actuaries need econometricians"

3 March - Econometrics Occasional Seminar 3
Pietro Muliere (Bocconi University, Milan, Italy)
"Reinforced random processes in continuous time in Bayesian non-parametric inference"

24 February - Econometrics Occasional Seminar 2
Pietro Muliere (Bocconi University, Milan, Italy)
"Urn schemes for constructing priors in Bayesian non-parametric inference"

14 January - Econometrics Occasional Seminar 1
Qu Feng (Syracuse University, USA)
"On Testing for Cross-Sectional Dependence in Panel Data Models (with Baltagi and Kao)"

2008

ERSC/CEA Seminar Series in Financial Econometrics, Second Series
October 2008 - November 2010

5 - 6 December - The Chicago/London Conference on Financial Markets - Part 1
What Went Wrong? Financial Engineering, Financial Econometrics, and the Current Stress.
Sponsored by CEA, the Internationals Centre for Futures and Derivatives at UIC, CME Trust, Bank of EnglandESRC, and the Journal of Applied Econometrics

Other conferences

6th OxMetrics User Conference
17 - 18 September 2008
Sponsored by Timberlake Consultants

5 - 26 January - Recent Developments in Econometric Methodology
The First International Conference in memory of Carlo Giannini by the Associazione Carlo Giannini.
Sponsored by "Hyman P. Minsky" Department of Economic Studies at Universitá di Bergamo, Department of Economics and Technology Management at Universitá di Bergamo, and Centro Interuniversitario di Econometria
Universitá degli Studi di Bergamo.

CEA Group Meetings

7 November - CEA Group Meeting 3
Matteo Mogliani (Paris School of Economics, France)
"Testing for Cointegration in Presence of Breaks"

31 October - CEA Group Meeting 2
Vincenzo Maini (Deutsche Bank, London)
"Pricing Discovery Models"

17 October - CEA Group Meeting 1
Ana-Maria Dumitri (Bergamo University, Italy and CEA Cass, London)
"Testing for Jumps"

Occasional Seminars

12 November - Finance Occasional Seminar (joint with Finance Research Seminar series)
Elisa Luciano (University of Torino, Italy)
"Leverage and Value Creation in Groups versus Stand-alone Companies"

Econometrics Occasional Seminar 4
30 May 2008 14:00-16:00
Dennis Philip and Giovanni Urga
"Testing Factor Structure Stability in Yield Curve Factor Model" (Inquire UK Project, Final Report)

8 May - Econometrics Occasional Seminar 3
Aris Spanos (Department of Economics, Virginia Tech USA)
"Fixed vs Random Effects Panel Data Models: Revisiting the Omitted Latent Variables and Individual Heterogeneity Arguments"

14 March - Econometrics Occasional Seminar 2
Melvyn Weeks (University of Cambridge)
"Discrete Choice Models (DCM): An Object-Oriented Package for Ox"

30 January - Econometrics Occasional Seminar 1
Patrick Gagliardini (University of Lugano and Swiss Finance Institute, CH)
"Efficient Derivative Pricing by Extended Methods of Moment"

2007

Conferences

7 - 8 December - Measuring Dependence in FinanceSponsored by ESRC (G.N. RES-451-25-4036)

20 - 21 September - 5th OxMetrics User ConferenceSponsored by Timberlake Consultants

CEA/ESRC Seminars

14 May - CEA/ESRC Seminar 5
Measuring dependence between foreign, interest rates and stock markets

16 March - CEA-ESRC Seminar 4
Nonparametric and Semiparametric Methods to Measure Dependence in Finance

Occasional Seminars

26 October - Econometrics Occasional Seminar 3
Jan F. Kiviet (University of Amsterdam, The Netherlands)
Validation by Simulations

(abstract) [pdf]

(presentation) [pdf]

17 October - Econometrics Occasional Seminar 2
Denis Pelletier (Department of Economics, North Carolina State University, USA)
"Evaluating Value-at-Risk Models with Desk-Level Data"

10 October - Econometrics Occasional Seminar 1
Juri Marcucci (Bank of Italy)
"Credit Risk and Business Cycles over Different regimes"

Research Seminars

1 June - CEA/INQUIRE UK, Project N. 2007/01, Research Seminar

2006

Conferences

CEA - ESRC Seminar Series and International Conference
Measuring dependence in finance
Sponsored by ESRC (G.N. RES-451-25-4036)

  • Seminar 1 (17 March 2006)
    The use of copula and DCC model to measure dependence in finance
  • Seminar 2 (19 May 2006)
    The use of thick distributions
  • Seminar 3 (13 October 2006)
    Dependence or contagion?
  • Seminar 4 (16 March 2007)
    Semiparametric methods to measure dependence in finance
  • Seminar 5 (14 May 2007)
    Measuring dependence between foreign exchange rates, interest rates and stock markets
  • International Conference (7-8 December 2007)
    Measuring dependence in finance: a summary of old and new results

4th OxMetrics User Conference
14 - 15 September 2006

Sponsored by Timberlake Consultants

Breaks and Persistence in Econometrics
11 - 12 December 2006

Sponsored by the Journal of Applied Econometrics

2005

Conferences

12 - 13 December - Capital Markets, Corporate Finance, Money and Banking Marie Curie European Research Training, HPMT-CT-2001-00330

3rd OxMetrics Conference
17-18 August 2005

Workshops

2 June - The econometrics of structural breaks
Ba Chu and Soosung HWANG:
The asymptotics of stationary/non stationary AR(1) processes with multiple breaksDiscussant: Lorenzo TrapaniChristian De Peretti and Giovanni URGA: Stopping tests in the sequential estimation of structural breaksDiscussant: ba Chu Some recent issues in corporate behaviour11 May 2005Chair: Giovanni Urga

Adriana KORCZAK and Meziane Lasfer: Insider trading and international cross-listing.
Discussant: Stefano Paleari

Michele MEOLI, Stefano Paleari and Giovanni Urga: When controlling shareholders live like kings: the case of Telecom Italia.
Discussant: Mez Lasfer

Adriana KORCZAK: Marie Curie Fellow, Cass Business School (Oct 2004-Sept 2005)

Michele MEOLI: Marie Curie Fellow, Cass Business School (Oct 2004-Sept 2005)

Stefano PALEARI: Professor of Business Economics and Financial Systems Analysis at the University of Bergamo and Visiting Fellow at CEA 
April-June 2005

29 March - Measuring dependence in finance
Andrew J. PATTON (London School of Economics, U.K.)
"Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates" (with Xiaohong Chen and Yanqin Fan)

Kevin SHEPPARD (Oxford University, U.K.) - Can Realised Covariance be Saved? An Analysis of the Failure of High Frequency Covariance Estimators.

Umberto CHERUBINI (University of Bologna, Italy) - Pricing Hybrids with Copulas.

Juan CAJIGAS and Giovanni Urga (Cass Business School) - Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations.

Occasional Seminars

8 June - What is the Role of Macroeconomic Volatility in Determining UK Investment?
McMurdo Neil (Department of Trade and Industry)

15 June - Cross Section Dependence in Large Panels
Hashem M. Pesaran (Cambridge University) Full-Information Transaction Costs

14 June - The Contagion Box: Measuring Financial Market Co-movements by Regression Quantiles
Federico Bandi  (Graduate School of Business, University of Chicago)

7 March - Jointly with "Finance Research Seminars" 
Yoosoon Chang (Rice University USA) 
"Testing for Cointegration in Panels with Cross-Sectional Dependency"

7 March - The Spatial Analysis of Time Series
Joon Park (Rice University, USA)


24 March - Simone Manganelli (European Central Bank) with Lorenzo Cappiello and Bruno Gerard

2004

Common Features in London
16 - 17 December 2004

Sponsored by the Journal of Applied Econometrics

2nd OxMetrics User Conference
26 - 27 August 2004

Sponsored by Timberlake Consultants

Workshop on Recent Developments in the Econometrics of Panel Data
15 March 2004