| Date: | 29 April 2010 (Thursday) |
|
| Time: | 08:45am - 07:00pm |
|
| Venue: | Singapore Management University |
Singapore Management University |
| Programme: 0830am - 09:30am |
Agenda Keynote Address 1 Implicit Maps and New Unit Root Limit Theory. - Peter Phillips (Yale, University of Auckland , University of Southampton , and Singapore Management University ) |
|
| 09:30am - 10:20am | Invited Session 1 Inference for VARs Identified with Sign Restrictions. - Roger Moon (USC), Frank Schorfheide* (University of Pennsylvania) |
|
| 10:20am - 10:40am | Tea Break | |
| 10:40am - 12:10pm | Session 1: Continuous Time Models Infinitesimal Operator Based Conditional GMM Estimation for Diffusion Models. - Zhaogang Song (Cornell University) Estimating Multivariate Continuous Time Models. - Xiaohu Wang* (Singapore Management University), Peter C.B. Phillips (Yale, SMU), Jun Yu (Singapore Management University) Estimation of Multivariate Jump Diffusions with Strong Approximations. - Xiao Huang (Kennesaw State University) |
Session 2: Factor Models Forecasting with Grouped Dynamic Factor Models. - Pu Chen (Melbourne University) Technology Shocks and Hours Worked: New Evidence from a Structural Factor Model. - Tatjana Dahlhaus (Universitat Autònoma de Barcelona) Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates. - Borus Jungbacker (VU University Amsterdam), Siem Jan Koopman (VU University Amsterdam), Michel van der Wel* (Erasmus University Rotterdam) |
| 12:10pm - 01:40pm | Lunch break Poster Session 1 Inference in Asset Pricing Models with a Low-Variance Factor. - Hua (Helen) Shang (Concordia university) Testing for Periodically Collapsing Bubbles: An Generalized Sup ADF Test. - Shu-Ping Shi (Australian National University) Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time. - Tore Selland Kleppe* (University of Bergen), Jun Yu (Singapore Management University), Hans J. Skaug (University of Bergen) Finite sample behavior of the Hill estimator under a-stable distributions and Monte Carlo based method of estimation for the tail exponent. - Lukas Vacha (Charles University), Jozef Barunik* (Charles University) |
|
| 01:40pm - 02:30pm | Invited Session 2 The Role of Distributional Information in Financial Markets. - Zhijie Xiao (Boston College) |
|
| 02:30pm - 04:00pm | Session 3: Econometric Applications I Dating the Timeline of Financial Bubbles during the Subprime Crisis. - Peter C.B. Phillips (Yale, SMU), Jun Yu* (Singapore Management University) Unobserved Expectations, Omitted Dynamics, and the New Keynesian Phillips Curve Estimation. - Zhang Chengsi (Renmin University of China) Semiparametric Panel Model for Climate Change in the United Kingdom. - Alev Atak* (Queen Mary, University of London), Oliver Linton (LSE), Zhijie Xiao (Boston College) |
Session 4: Time Series Methods I Time Variation in Asset Return Dependence: Strength or Structure. - Thijs Markwat* (Erasmus University Rotterdam), Erik Kole (Erasmus University Rotterdam), Dick van Dijk (Erasmus University Rotterdam) Time-varying Cointegration Relationship between Dividends and Stock Price. - Cheolbeom Park* (Korea University), Chang-Jin Kim (Korea University) Density Forecast Evaluation for Dependent Data. - Aurobindo Ghosh* (Singapore Management University), Anil Bera (University of Illinois) |
| 04:00pm - 04:20pm | Tea Break | |
| 04:20pm - 05:50pm | Session 5: Unit Root and Near Unit Root Bias in the Mean Reversion Estimator in the Continuous Time Gaussian and Lévy Processes. - Aman Ullah (University of California), Yun Wang* (University of California), Jun Yu (Singapore Management University) Gaussian Inference in General AR(1) Models Based on Long Difference. - Jhih-Gang Chen (National Chengchi University), Biing-Shen Kuo* (National Chengchi University) Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes. - Qiankun Zhou* (Singapore Management University), Jun Yu (Singapore Management University) |
Session 6: Structural Breaks Estimation of Change Points in Panel Models. - Qu Feng* (Nanyang Technological University), Chihwa Kao (Syracuse University), Štepána Lazarová (Queen Mary, University of London) Estimating a Common Deterministic Time Trend Break in Large Panels with Cross Sectional Dependence. - Dukpa Kim (University of Virginia) Model specification in panel data unit root tests with an unknown break. - Felix Chan (Curtin University of Technology), Laurent Pauwels* (University of Sydney) |
| 07:00pm | Dinner | |
| Date: | 30 April 2010 (Friday) |
|
| Time: | 08:45am - 07:00pm |
|
| Venue: | Singapore Management University |
Singapore Management University |
| Programme 08:30am - 09:30am |
Agenda: ET Lecture Small Bandwidth Asymptotics for Density-Weighted Average Derivatives. - Michael Jansson* (Berkeley), Matias Cattaneo (University of Michigan), Richard Crump (Federal Reserve Bank of New York) |
|
| 09:30am - 10:20am | Invited Session 3 Testing Rates. - Federico Bandi* (Johns Hopkins University and Edhec-Risk), Valentina Corradi (University of Warwick) |
|
| 10:20am - 10:40am | Tea Break | |
| 10:30am - 12:10pm | Session 7: Realized Variance Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps. - Yin Liao* (Australian National University), Heather M. Anderson (Australian National University), Farshid Vahid (Australian National University) Simultaneous Identification of Integrated Volatility and Noise Variance. - Jin-Huei Yeh* (National Central University), Jying-Nan Wang (Ming-Shin University of Science and Technology), Yu-Pin Hu (National Chi-Nan University) A Bias-Corrected Rate-Optimal Estimator of the Integrated Covariance of Multiple Security Returns with Serially Dependent Noise. - Shinsuke Ikeda (Boston University) |
Session 8: Financial Econometrics On the Hansen-Jagannathan distance with a no-arbitrage constraint. - Raymond Kan* (University of Toronto), Nikolay Gospodinov (Concordia University), Cesare Robotti (Federal Reserve Bank of Atlanta) Measuring Asymmetries in Financial Returns: A New Approach using Local Gaussian Correlation. - Bård Støve* (Norwegian School of Economics), Karl Ove Hufthammer (University of Bergen), Dag Tjøstheim (University of Bergen) Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model. - Andreas Heinen (Universidad Carlos III Madrid), Alfonso Valdesogo* (University of Luxembourg) |
| 12:10pm - 01:40pm | Lunch Break Poster Session 2 Nowcasting Chinese GDP: Information Content of Economic and Financial Data. - Matthew S. Yiu* (Hong Kong Monetary Authority), Kenneth K. Chow (Hong Kong Institute for Monetary Research) Predicting extreme VaR: An assessment of nonparametric quantile regression in combination with extreme value theory. - Julia Schaumburg (Humboldt-Universität zu Berlin) Currency Misalignments and Growth: A New Look using Nonlinear Panel Data Methods. - Sophie Béreau (Paris 10), Antonia López-Villavicencio* (CEPN),Valérie Mignon (Paris 10) The Impact of Inflation Uncertainty on Interest Rates. - Chongcheul Cheong (Pusan National University), Gi-Hong Kim (Pusan National University), Jan M. Podivinsky* (University of Southampton) Identifiable Uniqueness Conditions for a Large Class of M-Estimators in the Context of Possibly Misspecified Nonlinear Regression Models. - Francisco Blasques (Maastricht University) |
|
| 01:40pm - 02;30pm | Invited Session 4 Measurement Errors in Dynamic Models. - Serena Ng (Columbia), Ivana Komunjer (UCSD) |
|
| 02:30pm - 04:00pm | Session 9: Time Series Methods II Generalized Spectral Estimation of Time Series Conditional Moment Restrictions Models with Infinite Dimensional Conditioning Set. - Zhaogang Song (Cornell University), Jingxian Zheng* (Cornell University) Parameter estimation in nonlinear AR–GARCH models. - Mika Meitz* (Koc University), Pentti Saikkonen (University of Helsinki) Skewness and Kurtosis Coefficients in Finite Samples and a Generalized Jarque-Bera Test. - Yong Bao (Purdue University) |
Session 10: Panel Data Models Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects. - Ryo Okui (Kyoto University) Panel Threshold Regression Models with Endogenous Threshold Variables. - Chien-Ho Wang* (National Taipei University), Eric S. Lin (National Tsinghua University) A Structural Estimation for the Effects of Uncertainty on Capital Accumulation with Heterogeneous Firms. - Stephen R. Bond (University of Oxford and IFS), Måns Söderbom (Göteborg University), Guiying Laura Wu* (Nanyang Technological University) |
| 04:00pm - 04:20pm | Tea Break | |
| 04:20pm - 05:50pm | Session 11: Econometric Applications II The Real Time Monitoring Structural Change Tests and the U.S Subprime Crisis. - Shin-Huei Wang* (Universite Catholique de Louvain), Cheng Hsiao, USCA Demand Systems Incorporating Intertemporal Consumption Dynamics. - H. Youn Kim (Western Kentucky University), Keith R. McLaren (Monash University), K. K. Gary Wong* (University of Macau) |
Session 12: Nonparametric Methods A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity. - Liangjun Su* (Singapore Management University), Aman Ullah (University of California, Riverside) Nonparametric Quantile Regression with Discontinuities. - Tatsushi Oka (Boston University) Nonparametric Estimation and Instrument Selection in the Conditional Capital Asset Pricing Model. - Zongwu Cai (University of North Carolina at Charlotte & Xiamen University), Yu Ren* (Xiamen University) |
| 07:00pm | Dinner | |
| Date: | 01 May 2010 (Saturday) |
|
| Time: | 08:45am - 03:20pm |
|
| Venue: | Singapore Management University |
Singapore Management University |
| Programme 08:30am - 09:30am |
Agenda: Keynote Address 2 Integrated Quarticity Estimation: Theory and Practical Implementation. - Torben Andersen* (Northwestern), Dobrislav Dobrev (Board of Governors), Ernst Schaumburg, (Federal Reserve Bank of New York) |
|
| 09:30am - 10:20am | Invited Session 5 Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. - Peter Hansen (Stanford) |
|
| 10:20am - 10:40am | Tea Break | |
| 10:40am - 12:10pm | Session 13: Microeconometrics Quantile Regression on Quantile Ranges. - Chung-Ming Kuan (National Taiwan University), Christos Michalopoulos* (National Taiwan University) Nonstandard Estimation of Inverse Conditional Density-Weighted Expectations. - Chuan Goh (University of Toronto) |
Session 14: Econometric Applications III Density Forecast Evaluation Using Data-Driven Smooth Test. - Sung Yong Park (Xiamen University), Yupeng Zhang* (Xiamen University) Measurement of Social Preference from Utility-Based Choice Experiments. - Katsunori Yamada* (Osaka University), Masayuki Sato (Kyoto University), Yasuhiro Nakamoto (Kyushu Sangyo University) |
| 12:10pm - 01:40pm | Lunch Break |
|
| 01:40pm - 02:30pm | Invited Session 6 Linear processes: Asymptotic Theory and some Applications. - Luidas Giraitis (Queens Mary) |
|
| 02:30pm - 03:20pm | Invited Session 7 Native Bias Correction by X-differencing for Autoregressions and Dynamic Panels. - Chirok Han* (Korea University), Peter C.B. Phillips (Yale, SMU), Donggyu Sul (University of Texas, Dallas) |
|
| 03:20pm | End | |
Terms of Use | Privacy Statement
© Copyright 2009 Singapore Management University. All Rights Reserved.