| Vendredi
14 mai 2010 / Friday, May 14, 2010 |
| 8:00
- 8:30 |
Accueil
/ Welcome |
| 8:30
- 10:30 |
SESSION
I - WEAK IDENTIFICATION
Présidente / Chair : Silvia Gonçalves
(Université de Montréal, CIREQ, CIRANO)
|
|
Donald
W.K. Andrews (Yale University, CIREQ), Xu Cheng
(University of Pennsylvania)
Estimation and Inference with Weak Identification
Discussant : Eric
Renault (University of North Carolina, Chapel Hill,
CIREQ, CIRANO)
Jean-Marie Dufour (McGill University, CIREQ, CIRANO), Lynda
Khalaf (Carleton University, CIREQ), Maral Kichian
(Banque du Canada)
Structural
Multi-Equation Macroeconomic Models : Identification-Robust
Estimation and Fit
Discussant : Frank
Kleibergen (Brown University)
Sophocles
Mavroeidis (Brown University)
Identification
Using Stability Restrictions
Discussant : Xu
Cheng (University of Pennsylvania)
|
|
10:30
- 11:00
|
Pause
/ Break
|
| 11:00
- 12:20 |
SESSION
II - MACROECONOMETRICS
Président / Chair : Russell Davidson (McGill
University, CIREQ)
|
| |
Lutz
Kilian (Michigan University), Robert Vigfusson
(Federal Reserve Board)
Are
the Responses of the U.S. Economy Asymmetric in Energy
Price Increases and Decreases?
Discussant : Elena
Pesavento (Emory University)
Nikolay
Gospodinov (Concordia University, CIREQ), Serena
Ng (Columbia University)
Commodity
Prices, Convenience Yields, and Inflation
Discussant : Benoit
Perron (Université de Montréal, CIREQ,
CIRANO)
|
| 12:20
- 13:50 |
Lunch
|
| 13:50
- 15:10 |
SESSION
III - LARGE SCALE MODELS
Président / Chair : Jean-Marie Dufour
(McGill University, CIREQ, CIRANO)
|
|
Marc
Hallin (Université Libre de Bruxelles), Roman
Liska (European Commission, Ispra)
Dynamic Factors in the Presence of Blocks
Discussant : Alexei
Onatski (Columbia University)
Domenico
Giannone (Université Libre de Bruxelles),
Michele Lenza (European Central Bank), Giorgio Primiceri
(Northwestern University)
Prior
Selection for Vector Autoregressions
Discussant : Raffaella
Giacomini (University College London)
|
| 15:10
- 15:40 |
Pause
/ Break
|
| 15:40
- 17:00 |
SESSION
IV - IMPROVED INFERENCE
Président / Chair : Marc Henry (Université
de Montréal, CIREQ, CIRANO)
|
|
Taesuk
Lee (University of Rochester), Werner
Ploberger (Washington University, St. Louis)
An Improved Pre-Averaging Estimator for Integrated
Volatility
Discussant : Ilze
Kalnina (Université de Montréal)
Timothy
Vogelsang (Michigan State University), Martin Wagner
(Institute for Advanced Studies)
Estimating
Cointegration Relationships : A Tuning Parameter Free Approach
Discussant : Giuseppe
Cavaliere (University of Bologna)
|
| 17:00
- 18:00 |
POSTER
SESSION
|
|
Bertille
Antoine (Simon Fraser University)
Specification
Tests for Strong Identification
|
|
Christian
T. Brownlees (New York University, Stern School
of Business)
Volatility, Correlation and Tails for Systemic Risk
Measurement
|
| |
Tolga
Cenesizoglu (HEC Montréal)
The
Effect of Monetary Policy on Credit Spreads
|
|
Bertrand
Hounkannounon (Université de Montréal,
CIREQ)
Bootstrap for Panel Regression Models with Random
Effects
|
|
Liang
Hu (Leeds University)
Testing
for Cointegration in Markov Switching Error Correction Models
|
| |
Rachidi
Kotchoni (Université de Montréal, CIREQ)
Resampling in the Frequency Domain : The Solution
to a Curse of Dimensionality
|
|
Razvan
Pascalau (Plattsburgh University)
Pretesting
the Out-of-Sample Forecasting Properties of STAR Models
|
|
Lei
Qi (Princeton University)
Non-Gaussian
Quasi Maximum Likelihood Estimation of GARCH Models
|
|
|
Jeroen
Rombouts (HEC Montréal, CIRANO, CIRPEE, CORE)
On
the Forecasting Accuracy of Multivariate GARCH Models
|
| |
Anna
Simoni (Bocconi University)
Bayesian
Thresholding for Optimal Portfolio Allocation
|
| |
Dalibor
Stevanovic
(Université de Montréal, CIREQ)
Dynamic Effects of Credit Shocks in Data-Rich Environment
|
|
Roman
Tymkiv (Université de Montréal,
CIREQ)
Temporal
Irreversibility of Time Series : Circulation and Its Economic
Application
|
Samedi 15 mai 2010 / Saturday, May 15, 2010
|
| 9:00
- 10:20 |
SESSION
V - FORECASTING I
Président / Chair : John Galbraith (McGill
University, CIREQ, CIRANO)
|
|
|
Bruce
Hansen (University of Wisconsin)
Multi-Step
Forecast Model Selection
Discussant : Guido
Kuersteiner (Georgetown University)
Jonathan
Wright (Johns Hopkins University)
Evaluating
Real-Time VAR Forecasts with an Informative Democratic Prior
Discussant : Eric
Ghysels (University of North Carolina, Chapel Hill)
|
| 10:20
- 10:50 |
Pause
/ Break
|
| 10:50
- 12:10 |
SESSION
VI - FORECASTING II
Président / Chair : David Veredas (ECARES,
Université Libre de Bruxelles)
|
|
Elena
Andreou (University of Cyprus), Eric Ghysels (University
of North Carolina, Chapel Hill), Andros Kourtellos (University
of Cyprus)
Should Macroeconomic Forecasters Use Daily Data and
How?
Discussant : Tolga
Cenesizoglu (HEC Montréal)
Michael Clements (University of Warwick), Ana
Beatriz Galvão (Queen Mary University of
London)
Real-Time
Forecasting of Inflation and Output Growth in the Presence
of Data Revisions
Discussant : Simon
van Norden (HEC Montréal, CIREQ, CIRANO)
|
| 12:10
- 13:40 |
Lunch
|
| 13:40
- 15:00 |
SESSION
VII - FINANCE
Présidente / Chair : Pascale Valéry
(HÉC Montréal)
|
|
Brendan
Beare (University of California, San Diego)
Optimal
Measure Preserving Derivatives
Discussant : Jeroen
Rombouts (HEC Montréal, CIRANO, CIRPEE, CORE)
Marine
Carrasco (Université de Montréal,
CIREQ, CIRANO), Nérée Noumon (Université
de Montréal, CIREQ)
Optimal
Portfolio Selection using Regularization
Discussant : Raymond
Kan (University of Toronto)
|
