PROGRAMME CFE 2012
KEYNOTE TALKS
PARALLEL SESSIONS
| Parallel session B: | Saturday 1.12.2012 | 10:20 - 12:25 |
| Session CSI03 - Invited | Room: Auditorium |
| Bayesian econometrics | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Herman van Dijk |
Organizer: CFE 2012 |
| C489: Y. Omori | |
| Multivariate realized stochastic volatility | |
| C660: R. Prado | |
| Bayesian state-space models with structured priors for multiple time series | |
| C1043: M. Villani, M. Quiroz | |
| Flexible mixture-of-experts models for longitudinal survival data |
| Session CS01 | Room: 4 |
| Modelling and forecasting financial time series | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Alessandra Amendola |
Organizer: Alessandra Amendola |
| C433: G. Frasso, R. Siciliano, A. D'Ambrosio | |
| Penalized smoothed probability distance clustering of financial time series | |
| C451: F. Violante, J. Rombouts, L. Stentoft | |
| A simple volatility risk premium model | |
| C459: A. Parrini, G. Calzolari, R. Halbleib | |
| Indirect estimation of alpha-stable GARCH models | |
| C821: M. Asai, M. So | |
| Long memory and asymmetry for matrix-exponential dynamic correlation processes | |
| C455: A. Amendola, G. Storti | |
| Model uncertainty and forecast combination in high dimensional multivariate volatility prediction |
| Session CS35 | Room: 6 |
| Estimating agent based models | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Peter Winker |
Organizer: CFE 2012 |
| C250: T. Di Matteo, W. Song, T. Aste | |
| Embedding financial market data on networks | |
| C775: J. Kukacka, J. Barunik | |
| Behavioural breaks in the heterogeneous agent model | |
| C891: C. Tsao, L. Tai | |
| Behavioral heterogeneity in futures markets | |
| C941: N. Du, T. Murata | |
| Agent-based evaluation for signaling effects in markets with asymmetric information | |
| C942: T. Murata, H. Arikawa | |
| Agent-based pension simulation for widely diverse employment patterns |
| Session CS46 | Room: 1 |
| Dimension reduction in time series | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Pilar Poncela |
Organizer: Pilar Poncela |
| C279: L. Sierra, P. Poncela, E. Senra | |
| Evidence of excess of co-movement in commodity prices at high frequencies | |
| C308: L. Chen, J. Dolado, J. Gonzalo | |
| Detecting big structural breaks in large factor models | |
| C261: S. Kaufmann, C. Schumacher | |
| Dynamic sparse factor models | |
| C475: E. Senra, P. Poncela | |
| Factor models to assess consensus and disagreement in forecasting | |
| C543: M. Camacho, G. Perez-Quiros, R. Alvarez | |
| Finite sample performance of small versus large scale dynamic factor models |
| Session CS53 | Room: 3 |
| Financial market and macro | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C372: E. Ernst | |
| Labour dynamics in macro models. Shock transmission through unemployment flows | |
| C742: J. Parra Alvarez | |
| A comparison of numerical methods for the solution of continuous time DSGE models | |
| C714: C. Proano | |
| Fiscal policy rules, the term structure and macroeconomic stability in monetary unions: A behavioral macro-finance approach | |
| C121: L. Tiozzo Pezzoli, F. Pegoraro, A. Siegel | |
| Specification analysis of international treasury yield curve factors | |
| C590: C. Sattarhoff | |
| Financial market efficiency during crisis periods: A new perspective based on multifractality |
| Session CS64 | Room: 5 |
| Inference in time series volatility models | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Jean-Michel Zakoian |
Organizer: Jean-Michel Zakoian |
| C429: E. Nejstgaard, P. Paruolo, A. Rahbek | |
| Likelihood-based inference in the ACR cointegrated model | |
| C810: W. Kengne, J. Bardet | |
| Monitoring procedure for parameter change in causal time series | |
| C434: O. Wintenberger, C. Sixiang | |
| Quasi likelihood estimation for continuously invertible models | |
| C591: A. Brix, A. Lunde | |
| Estimating stochastic volatility models using prediction-based estimating functions | |
| C661: T. Lee, C. Baek, M. Kim | |
| Tests for volatility shifts in GARCH against long-range dependence |
| Session CS63 | Room: 2 |
| Real-time analysis with revisions and volatility | Saturday 1.12.2012 10:20 - 12:25 |
| Chair: Peter Zadrozny |
Organizer: Peter Zadrozny |
| C871: A. Raknerud, B. Vatne | |
| The effects of banks' funding costs on interest rates and loan volumes | |
| C767: S. Sarferaz, J. Jacobs, J. Sturm, S. van Norden | |
| Modeling multivariate data revisions | |
| C730: M. Banbura, D. Giannone, M. Modugno, L. Reichlin | |
| Now-casting and the real-time data flow | |
| C817: K. Wohlrabe, S. Mittnik, P. Zadrozny | |
| A Cholesky-factor regularization method for estimating a VARMA model of volatility | |
| C446: P. Zadrozny | |
| Real-time state-space method for computing smoothed estimates of future revisions of U.S. monthly chained CPIU |
| Parallel session C: | Saturday 1.12.2012 | 14:00 - 15:40 |
| Session CS06 | Room: 5 |
| Statistical signal extraction and filtering I | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C303: M. Jerez, J. Casals, S. Sotoca | |
| Single versus multiple-source error models for signal extraction | |
| C494: K. Triantafyllopoulos | |
| Multivariate stochastic volatility estimation using particle filters | |
| C519: I. De Feis, U. Amato, A. Antoniadis | |
| Additive model selection | |
| C830: D. De Canditiis | |
| A new frame based de-noising procedure for fast oscillating signals |
| Session CS70 | Room: 4 |
| Modelling credit risk in financial markets | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Alessandra Canepa |
Organizer: Alessandra Canepa |
| C317: D. Karim, R. Barrel | |
| Credit and crises: An investigation of housing markets and credit growth in the OECD | |
| C424: A. Vouldis, D. Louzis, V. Metaxas | |
| Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios | |
| C1013: M. Della Seta, S. Gryglewicz | |
| Profitability uncertainty, capital investment and the cross-section of stock returns | |
| C476: A. Canepa, M. Costantini, M. Tajik | |
| Real estate prices and credit risk: An investigation on the US non-performing-loans |
| Session CS16 | Room: Multipurpose |
| Massively parallel computations on GPUs | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Michael Creel |
Organizer: Michael Creel |
| C117: E. Aldrich | |
| Trading volume in general equilibrium with complete markets | |
| C188: G. Durham, J. Geweke | |
| Adaptive sequential posterior simulators for massively parallel computing environments | |
| C741: S. Grassi, M. Dziubinski | |
| Heterogeneous computing in economics: A simplified approach | |
| C190: M. Creel, M. Zubair | |
| Econometrics on GPUs |
| Session CS33 | Room: 1 |
| Computational methods for flexible Bayesian models | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Roberto Leon-Gonzalez |
Organizer: Roberto Leon-Gonzalez |
| C179: R. Strachan, F. Carmignani, R. Tourky | |
| Estimation of the continuous piecewise linear model | |
| C544: M. Jochmann | |
| Bayesian analysis of anchoring vignette data | |
| C245: F. Yang, N. Hautsch, D. Hess | |
| Bayesian stochastic search for best predictors: Nowcasting GDP growth | |
| C180: R. Leon | |
| Fat-tailed gamma autoregressive processes for stochastic volatility with jumps |
| Session CS40 | Room: 3 |
| Assets linkages, multivariate density prediction and portfolio optimization | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Florian Ielpo |
Organizer: Florian Ielpo |
| C469: J. Krause, M. Paolella | |
| Likelihood-based independent component analysis and mixture models | |
| C526: P. Polak, M. Paolella | |
| MARC-MARS: Modeling asset returns via conditional multivariate asymmetric regime-switching | |
| C360: M. Bonato, M. Caporin, A. Ranaldo | |
| Risk spillovers in international equity portfolios | |
| C421: L. Boon, F. Ielpo | |
| Determining the maximum number of uncorrelated strategies in a global portfolio |
| Session CS43 | Room: 6 |
| Modelling and forecasting volatility and risk | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Ana Perez-Espartero |
Organizer: Ana Perez-Espartero |
| C139: J. Arteche | |
| Estimation of the volatility in local long memory in stochastic volatility models | |
| C266: A. Virbickaite, C. Ausin, P. Galeano | |
| Bayesian non-parametric portfolio allocation and hedging risk with multivariate asymmetric GARCH | |
| C301: G. Sucarrat, A. Harvey | |
| EGARCH models with fat tails, skewness and leverage | |
| C922: M. Barunikova, J. Barunik | |
| Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression |
| Session CS44 | Room: 2 |
| Theory and applications of regime specific behaviour | Saturday 1.12.2012 14:00 - 15:40 |
| Chair: Jean-Yves Pitarakis |
Organizer: Jean-Yves Pitarakis |
| C423: L. Prochownik | |
| Testing for structural breaks in predictive regressions | |
| C334: J. Gonzalo, A. Taamouti | |
| The reaction of stock market returns to anticipated unemployment | |
| C338: V. Berenguer-Rico, J. Gonzalo | |
| Co-summability: From linear to non-linear co-integration | |
| C330: J. Pitarakis | |
| Inferring the predictability induced by a persistent regressor in a predictive threshold model |
| Parallel session E: | Saturday 1.12.2012 | 16:15 - 17:30 |
| Session CS09 | Room: 7 |
| Recent advances in the applied macroeconomics | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Fabio Canova |
Organizer: Fabio Canova |
| C230: L. Benati | |
| Why are recessions associated with financial crises different | |
| C1057: G. Perez-Quiros, M. Gadea | |
| On the failure to predict financial crisis | |
| C679: B. Christensen, M. Nielsen, J. Zhu | |
| The impact of financial crises on the risk-return tradeoff and the leverage effect |
| Session CS18 | Room: 13 |
| New developments in GARCH models and financial series modelling | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Christian Francq |
Organizer: Christian Francq |
| C154: M. Bessec, O. Bouabdallah | |
| Forecasting GDP over the business cycle in a multi-frequency and data-rich environment | |
| C238: J. Fermanian, H. Malongo | |
| Dynamic correlation models based on volatilities | |
| C341: J. Zakoian, C. Francq, O. Wintenberger | |
| GARCH models without positivity constraints: Exponential or log GARCH |
| Session CS66 | Room: 8 |
| Credit rating models | Saturday 1.12.2012 16:15 - 15:40 |
| Chair: Silvia Figini |
Organizer: Paolo Giudici |
| C239: M. Restaino, A. Amendola, L. Sensini | |
| Determinants of multiple states business exit in Europe | |
| C246: S. Figini, P. Giudici | |
| Model uncertainty in credit rating models | |
| C359: R. Calabrese, S. Osmetti | |
| Default prediction of SMEs by a generalized extreme value additive model |
| Session CS21 | Room: 3 |
| Risks measures | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Hasinavonizaka Rahantamialisoa |
Organizer: Dominique Guegan |
| C181: F. Jouad, D. Guegan | |
| Aggregation of market risks using pair-copulas | |
| C480: O. Tapiero | |
| A maximum (non-extensive) entropy approach to equity options bid-ask spread | |
| C294: H. Rahantamialisoa, D. Guegan, B. Hassani | |
| Concepts of risk measure |
| Session CS24 | Room: 4 |
| Testing for common cycles in macroeconomic time series | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Alain Hecq |
Organizer: Alain Hecq |
| C369: M. Franchi, P. Paruolo | |
| DSGE models and cyclical co-movements in VARs | |
| C273: G. Cubadda, E. Bernardini | |
| Macroeconomic forecasting through regularized reduced-rank regression | |
| C147: A. Hecq, J. Urbain, T. Goetz | |
| Testing for common cycles with varied frequency data |
| Session CS29 | Room: 9 |
| Bayesian empirical macroeconomics | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Deborah Gefang |
Organizer: Gary Koop |
| C638: M. Belmonte, G. Koop | |
| Model switching in time-varying parameter regression models | |
| C739: T. Dahlhaus | |
| Monetary policy transmission during financial crises: An empirical analysis | |
| C851: D. Gefang | |
| Industry productivity in Europe |
| Session CS34 | Room: 2 |
| High dimensional Bayesian time series econometrics | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Richard Hahn |
Organizer: Hedibert Lopes |
| C236: D. Korobilis, G. Koop | |
| Large time-varying parameter VARs | |
| C363: R. Hahn, H. Lopes | |
| Factor model shrinkage for linear instrumental variable analysis with many instruments | |
| C443: P. Amir Ahmadi | |
| Credit shocks, monetary policy, and business cycles: Evidence from a structural time varying Bayesian FAVAR |
| Session CS58 | Room: Multipurpose |
| Boostrapping panel and time series data: Theory and applications | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Jean-Pierre Urbain |
Organizer: Jean-Pierre Urbain |
| C441: N. Ahlgren, P. Catani | |
| Wild bootstrap tests for autocorrelation in vector autoregressive models | |
| C651: N. van Giersbergen | |
| Bootstrapping subset test statistics in IV regression | |
| C842: J. Urbain, S. Smeekes | |
| Unit root testing using modified wild bootstrap methods |
| Session CS60 | Room: 5 |
| Indirect estimation methods | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: David Veredas |
Organizer: David Veredas |
| C168: R. Halbleib, D. Veredas, M. Barigozzi | |
| Which model to match | |
| C263: P. Santucci de Magistris, E. Rossi | |
| Indirect inference for time series observed with error | |
| C311: A. Gottard, G. Calzolari | |
| Indirect inference versus data cloning for estimating multiple-membership random effects logit models |
| Session CS93 | Room: 12 |
| Econometric modelling and applications | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Edoardo Otranto |
Organizer: CFE 2012 |
| C903: R. Bernardini-Papalia, E. Fernandez-Vazquez | |
| A generalized maximum entropy approach to small area estimation | |
| C913: S. Yin, C. Hsu, C. Lin | |
| Maximum likelihood estimation for linear mixed model with unobserved common correlated effects via EM algorithm | |
| C1030: J. Mora, J. Muro | |
| Consistent estimation of pseudo panels in presence of selection bias | |
| C998: M. Covrig, I. Mircea | |
| Mathematical models in the Romanian annuity market and pension funds |
| Session CS95 | Room: 11 |
| Factor models | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Alain Kabundi |
Organizer: CFE 2012 |
| C293: S. De Lucas-Santos, M. Delgado-Rodriguez | |
| Using factor model recursive parameters for business cycle convergence analysis | |
| C747: Q. Phan, V. Corradi | |
| A novel criterion in multivariate linear factor models selection | |
| C859: G. Mesters, S. Koopman | |
| Inference for stochastic dynamic factor models | |
| C935: R. Ouysse | |
| Efficient estimation of high dimensional factor models under cross sectional dependence |
| Session CS86 | Room: 10 |
| Volatility models | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Esther Ruiz |
Organizer: CFE 2012 |
| C602: X. Mao , E. Ruiz Ortega, M. Veiga | |
| Encompassing asymmetric stochastic volatility models in just one model | |
| C694: H. Seoane | |
| Time varying volatility, default and the sovereign risk premium | |
| C713: C. Weiser, F. Heiss | |
| Stochastic and deterministic filtering for stochastic volatility models | |
| C715: D. Banulescu, B. Candelon, C. Hurlin, S. Laurent | |
| On the need of intra-daily data to forecast daily volatility |
| Session CS71 | Room: 6 |
| Solving international portfolio models | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: Michel Juillard |
Organizer: Michel Juillard |
| C170: O. de Groot | |
| Computing the risky steady state in DSGE models | |
| C549: M. Juillard | |
| Solving portfolio models with a perturbation approach | |
| C385: L. Gauvin | |
| Comparison of solutions to dynamic general equilibrium model with portfolio choice |
| Session CS28 | Room: 1 |
| Structural systems: dimensionality and identification | Saturday 1.12.2012 16:15 - 17:30 |
| Chair: John Galbraith |
Organizer: Lynda Khalaf |
| C1005: M. Voia, L. Khalaf, J. Bernard | |
| Confidence sets for ratios in dynamic panels: persistence and identification | |
| C979: C. Saunders, L. Khalaf, M. Kichian, M. Voia | |
| Dynamic panels with MIDAS covariates: Estimation and fit | |
| C183: J. Galbraith, L. Cheung | |
| Forecasting financial volatility with QML and LAD-ARCH estimators of the GARCH model |
| Parallel session I: | Sunday 2.12.2012 | 08:45 - 10:25 |
| Session CSI01 - Invited | Room: Multipurpose |
| Advances in financial time series | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Monica Billio |
Organizer: CFE 2012 |
| C824: A. Harvey, S. Thiele | |
| Time-varying parameters and changing association | |
| C1050: A. Hecq, S. Laurent, F. Palm | |
| On the univariate representation of BEKK models with common factors | |
| C1065: J. Rombouts | |
| Mixtures models, jumps and option pricing |
| Session CS89 | Room: 4 |
| Financial markets I | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Sylvia Kaufmann |
Organizer: CFE 2012 |
| C968: E. Lin | |
| The effectiveness of changes in settlement procedures | |
| C994: J. Baran | |
| Building synthetic OIS curves in emerging markets currencies | |
| C996: B. Zawadzki, K. Daszynska-Zygadlo, T. Slonski | |
| Multivariate analysis of abnormal returns: The case of corporate social responsibility indices revisions | |
| C999: P. Grau Carles, L. Doncel, J. Sainz | |
| Reliability and stability of different performance measures | |
| C1006: L. Barbopoulos | |
| Earnout agreements in corporate acquisitions and bidders' gains |
| Session CS48 | Room: 2 |
| Business cycle analysis | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo |
| C344: A. Jore, K. Aastveit, K. Gerdrup, F. Ravazzolo | |
| Short-term forecasting: Norges Bank's density combination approach | |
| C492: A. Conti | |
| Money, credit, housing and the great recession: demand and supply channels | |
| C656: A. den Reijer | |
| Pooling versus model selection for nowcasting with many and selected predictors | |
| C1054: L. Thorsrud | |
| Global and regional business cycles: Shocks and propagations |
| Session CS56 | Room: 3 |
| Multivariate volatility models | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Luc Bauwens |
Organizer: Giuseppe Storti |
| C403: Y. Feng | |
| Data-driven estimation of smooth correlation changes in a semiparametric dynamic conditional correlation model | |
| C409: E. Otranto, L. Bauwens | |
| Modeling the dependence of conditional correlations on volatility | |
| C479: G. Storti, L. Bauwens | |
| Computationally efficient inference procedures for vast dimensional realized covariance models | |
| C593: G. Gallo, F. Cipollini | |
| Common dynamics in volatility: An additive common component vMEM approach | |
| C457: D. Noureldin, N. Shephard, K. Sheppard | |
| Multivariate rotated ARCH models |
| Session CS61 | Room: 1 |
| Topics in time series and panel data econometrics | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| C269: M. Wagner, S. Zeugner | |
| Principal components and model averaging | |
| C295: R. Kunst | |
| Jittered phase diagrams for seasonal patterns in time series | |
| C559: J. Mutl, L. Soegner | |
| Cointegrating relationship with spatial lags | |
| C249: J. Schnurbus, H. Haupt | |
| Forecasting in nonlinear panel data regression by stepwise updating of product kernel weights |
| Session CS90 | Room: 5 |
| Time series econometrics I | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Gianluca Cubadda |
Organizer: CFE 2012 |
| C468: M. Richiardi | |
| Forecasting with unobserved heterogeneity | |
| C914: M. Gerolimetto, L. Bisaglia, S. Bordignon | |
| Forecasting integer autoregressive process of order 1: Analyzing whether INAR models are really better than AR | |
| C806: L. Grigoryeva, J. Ortega | |
| Forecasting with estimated multi-frequency temporally aggregated linear processes | |
| C515: P. Brand, A. Dechert | |
| Testing for trends and trend breaks in nonstationary long memory processes |
| Session CS73 | Room: 6 |
| Financial modelling | Sunday 2.12.2012 08:45 - 10:25 |
| Chair: Gianluca Fusai |
Organizer: CFE 2012 |
| C829: W. Wang, H. Wong | |
| FFT-network for bivariate Levy option pricing | |
| C858: C. Pun, H. Wong | |
| CEV asymptotics of American options | |
| C947: L. Kristoufek | |
| Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling | |
| C951: S. Chan, K. Lam | |
| Estimation of high-frequency volatility in duration-based approach | |
| C921: C. Savva, A. Halunga | |
| Neglecting structural breaks in DCC models |
| Parallel session J: | Sunday 2.12.2012 | 10:55 - 13:00 |
| Session CS14 | Room: 1 |
| Modelling with heavy tails: Applications | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Svetlana Makarova |
Organizer: Wojtek Charemza |
| C171: D. Veredas | |
| On the European sovereign CDS prices | |
| C320: M. Bianchi, S. Rachev | |
| Tempered Ornstein-Uhlenbeck processes: A practical view | |
| C356: P. Jelonek | |
| Generating tempered stable random variates from mixture representation | |
| C362: W. Charemza, S. Makarova, Y. Wang | |
| Simulated minimum distance estimators in macroeconomics | |
| C364: A. Panorska, T. Kozubowski, F. Qeadan, A. Gershunov, D. Rominger | |
| Testing exponentiality versus Pareto via likelihood ratio |
| Session CS49 | Room: 2 |
| Multivariate time series | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Marco Reale |
Organizer: Marco Reale |
| C426: D. Delle Monache | |
| On the approximation of long-memory process by ARMA models | |
| C514: A. Pierini, M. Reale, A. Naccarato | |
| The combined use of CVAR and BEKK models for portfolio selection of Italian stock-market | |
| C950: J. Gallego, C. Diaz | |
| Modeling cointegrated time series with vector ARIMA models | |
| C700: B. Sanhaji, A. Peguin Feissolle | |
| Testing the constancy of conditional correlations in multivariate type-GARCH models | |
| C545: M. Reale, S. Lin, P. Wongsaart | |
| Sparse structural VAR's and multiple testing |
| Session CS52 | Room: 5 |
| Credit risk | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Simona Sanfelici |
Organizer: Simona Sanfelici |
| C984: P. Gapko, M. Smid, J. Vorisek | |
| Dynamic model of losses on a large mortgage portfolio | |
| C258: A. Pallavicini, D. Perini, D. Brigo | |
| A comprehensive framework for bilateral collateralized CVA and funding costs | |
| C404: G. Fusai, G. Germano, D. Marazzina | |
| Pricing credit derivatives in a Wiener-Hopf framework | |
| C882: M. Kolman | |
| Risky coupon bond option pricing: An intensity approach | |
| C229: S. Sanfelici, F. Barsotti | |
| Default probability estimation under microstructure effects |
| Session CS62 | Room: 4 |
| Sparse Bayesian model choice | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Helga Wagner |
Organizer: Helga Wagner |
| C278: G. Malsiner-Walli, S. Fruehwirth-Schnatter, B. Gruen | |
| Model-based clustering based on sparse finite Gaussian mixtures | |
| C496: M. Kalli, J. Griffin | |
| Time-varying sparsity in dynamic regression models | |
| C550: G. Consonni, D. Altomare, L. La Rocca | |
| Objective Bayesian search of Gaussian DAG models with non-local priors | |
| C587: C. Carvalho, R. Hahn | |
| Decoupled shrinkage and selection in linear models |
| Session CS65 | Room: 3 |
| Advances in asymmetric and nonlinear financial econometrics | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Yasuhiro Omori |
Organizer: Zhengjun Zhang |
| C131: F. Yao, Y. Ying, S. Dai | |
| Asymmetric causal relationships between the stock markets of Europe and East Asian countries | |
| C197: L. Shi, R. Md. Mostafizur, W. Gan | |
| Stepwise local influence in GARCH models | |
| C407: M. Cheng, Y. Chen, H. Wu | |
| Analysis of the dynamics of the seasonality in a time series | |
| C548: A. Malinowski, M. Schlather, Z. Zhang | |
| Tail dependence analysis for high-frequency transaction data |
| Session CS74 | Room: 6 |
| Commodity markets | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Ivan Petrella |
Organizer: Ana-Maria Fuertes |
| C174: I. Figuerola-Ferretti, R. McCrorie, C. Gilbert | |
| The recent behavior of commodity prices: Fundamentals, speculative bubbles and relation to the global economic environment | |
| C296: P. Zerilli, C. Baum | |
| Spikes and stochastic volatility in commodity prices: Evidence from crude oil futures prices using conditional moments of integrated volatility | |
| C350: I. Petrella, L. Juvenal | |
| Speculation in the oil market | |
| C848: A. Laha, P. Raja | |
| Modeling commodity markets: The challenge of leptokurtic return distributions | |
| C936: H. Suenaga | |
| Estimating two-factor Gaussian term-structure model with flexible variance of measurement errors |
| Session CP01 | Room: Hall |
| Poster session | Sunday 2.12.2012 10:55 - 13:00 |
| Chair: Maria Jesus Garcia-Ligero |
Organizer: CFE 2012 |
| C645: E. Druica | |
| Using (1+1) evolutionary algorithms to formalize the resistant to innovation behavior | |
| C759: Y. Yen, T. Yen | |
| Solving norm constrained portfolio optimizations via coordinate-wise descent algorithms | |
| C861: S. Orbe, M. Esteban | |
| Nonparametric betas for conditional factor models | |
| C933: K. Avdulaj, J. Barunik | |
| Dynamic correlations in exchange rate time series: A copula approach | |
| C987: J. Barunik, L. Vacha | |
| Realized wavelet jump-GARCH model: On the wavelet decomposition of volatility to improve forecasts | |
| C988: L. Vacha, J. Barunik | |
| Wavelet-band least squares estimation of fractional cointegration | |
| C1067: M. Lagoa-Varela, S. Iglesias Antelo | |
| Effects of systematic risk modelling in conditional version: Empirical evidence from the Madrid stock market |
| Parallel session K: | Sunday 2.12.2012 | 14:30 - 16:10 |
| Session CS11 | Room: 1 |
| Volatility modelling in the presence of outliers | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Angeles Carnero |
Organizer: Angeles Carnero |
| C128: J. Olmo, B. Kapar, R. Laborda | |
| Instabilities and breaks on European credit default swaps: Effects over a crisis period | |
| C163: A. Carnero, A. Perez-Espartero, E. Ruiz | |
| Effects of outliers on asymmetric GARCH models | |
| C299: K. Boudt, J. Danielsson, S. Koopman, A. Lucas | |
| Regime switches in volatility and correlation of financial institutions | |
| C912: L. Sebastien, C. Lecourt, F. Palm | |
| Testing for jumps in GARCH models, a robust approach |
| Session CS12 | Room: 4 |
| Bayesian nonlinear econometrics | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Roberto Casarin |
Organizer: Roberto Casarin |
| C373: D. Bianchi | |
| Learning about long-run risk: Self-referential beliefs and equilibrium asset pricing | |
| C462: F. Ravazzolo, K. Aastveit, H. van Dijk | |
| Nowcasting business cycle turning points in an uncertain environment | |
| C534: C. Ausin | |
| Bayesian nonparametric copulas for multivariate time series | |
| C608: R. Casarin, F. Leisen, F. Bassetti | |
| Beta-product dependent Pitman-Yor processes |
| Session CS27 | Room: 2 |
| Applications of penalized splines to economics | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Goeran Kauermann |
Organizer: Goeran Kauermann |
| C134: H. Haupt, P. Ng | |
| Smooth estimation of urban house price surfaces under conditional price and spatial heterogeneity | |
| C138: T. Kneib, M. Wiesenfarth | |
| Bayesian nonparametric instrumental variable regression based on penalized splines and Dirichlet process mixtures | |
| C218: M. Durban, L. Dae-Jin | |
| Smoothing and forecasting seasonal time series with P-spline mixed models | |
| C671: M. Wegener | |
| Applications of penalized splines to economics |
| Session CS50 | Room: 5 |
| Correlation by volatility | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Jeroen Rombouts |
Organizer: Jeroen Rombouts |
| C222: J. Rombouts, F. Violante, L. Stentoft | |
| The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options | |
| C272: L. Stentoft | |
| Option pricing with GARCH and flexible conditional distributions | |
| C474: A. Dufays | |
| Infinite-states Markov-switching for dynamic volatility and covariance models | |
| C620: C. Dorion, N. Chapados | |
| Volatility forecasting and explanatory variables: A tractable Bayesian approach to stochastic volatility |
| Session CS55 | Room: 6 |
| Continuous time financial models | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Leopold Soegner |
Organizer: Leopold Soegner |
| C214: L. Soegner, J. Hlouskova | |
| Method of moments estimation and affine term structure models | |
| C292: J. Sass | |
| Filter based volatility and regime switching models in continuous time | |
| C569: D. Uysal | |
| Doubly robust estimation of causal effects with multivalued treatments | |
| C1063: K. Kvasnakova | |
| Analyzing whether imperfection is better: Evidence from predicting stock and bond returns |
| Session CS72 | Room: 3 |
| Advances in DSGE modeling | Sunday 2.12.2012 14:30 - 16:10 |
| Chair: Michel Juillard |
Organizer: Michel Juillard |
| C169: S. Villemot | |
| Accelerating the resolution of sovereign debt methods with an endogenous grid method | |
| C173: A. Fasolo | |
| A note on particle filters applied to DSGE models | |
| C191: A. Meyer-Gohde, H. Lan | |
| Moments and stable simulations of higher order DSGE models via a nonlinear moving average | |
| C199: M. Marx, J. Barthelemy | |
| Generalizing the Taylor principle: New comments |
| Parallel session L: | Sunday 2.12.2012 | 16:40 - 18:45 |
| Session CSI02 - Invited | Room: Multipurpose |
| New methods in dynamic modeling and econometrics | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C1017: W. Semmler, L. Grune, M. Stieler | |
| Using nonlinear model predictive control to solve dynamic decision problems in economics | |
| C1032: J. Ramsey | |
| Functional representation, approximation, bases, and wavelets | |
| C1069: M. Juillard, S. Adjemian | |
| Stochastic extended path |
| Session CS67 | Room: 4 |
| Non linear models for macroeconomics | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Monica Billio |
Organizer: Monica Billio |
| C223: D. Li | |
| Testing common nonlinear features in nonlinear vector autoregressive models | |
| C210: P. Addo, M. Billio, D. Guegan | |
| An alternative methodology for turning-point detection in business cycle: A wavelet approach | |
| C778: J. Gatfaoui, E. Girardin | |
| Comovement of the Chinese provincial business cycles | |
| C665: E. Zanetti Chini | |
| Generalizing smooth transition autoregressions | |
| C805: R. Valero, K. Judd, L. Maliar, S. Maliar | |
| A Smolyak method with an adaptive grid |
| Session CS10 | Room: 6 |
| Jumps in prices and volatilities | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Eduardo Rossi |
Organizer: Eduardo Rossi |
| C553: J. Jimenez-Martin, A. Novales Cinca | |
| Relevance of jumps in returns and jumps in volatility for VaR forecasting | |
| C782: A. Dumitru | |
| Averaging tests for jumps | |
| C962: T. Lee | |
| Potential over-detection of jumps with conventional sampling frequencies | |
| C538: M. Fengler, F. Audrino | |
| On the consistendy of classical option pricing models with observed option second order moment characteristics | |
| C302: E. Rossi, M. Caporin, P. Santucci de Magistris | |
| Multiplicative error model with jumps |
| Session CS19 | Room: 5 |
| Modelling and forecasting financial markets | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Dudley Gilder |
Organizer: Ana-Maria Fuertes |
| C328: L. Tsiaras | |
| Dynamic models of exchange rate dependence using option prices and historical returns | |
| C579: D. Gilder, M. Shackleton, S. Taylor | |
| Covariance forecasting using high-frequency data and a single factor model | |
| C419: P. Gomes, A. Afonso, A. Taamouti | |
| Sovereign credit ratings, market volatility information and financial gains | |
| C791: S. Vrontos, E. Panopoulou | |
| Hedge fund return predictability | |
| C949: M. Limam, V. Terraza, M. Terraza | |
| Hedge fund return dynamics: Long memory and regime switching |
| Session CS30 | Room: 1 |
| Time-varying parameter models | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Pawel Janus |
Organizer: Siem Jan Koopman |
| C883: S. Brave, A. Butters | |
| Financial conditions, crises, and uncertainty: A dynamic factor perspective | |
| C572: C. Garcia-Martos, A. Alonso, G. Bastos | |
| Model averaging in dynamic factor models: An application to electricity prices forecasting | |
| C577: I. Hindrayanto, J. de Winter, S. Koopman | |
| Collapsed dynamic factor model: Application for the eurozone | |
| C353: F. Mokinski | |
| Estimating daily variation in aggregate expectations from daily survey responses | |
| C555: P. Janus, S. Koopman | |
| Modeling daily financial covariance matrix by combining multiple realized measures |
| Session CS37 | Room: 2 |
| Numerical analysis and computation of unit root distributions | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Roderick McCrorie |
Organizer: Roderick McCrorie |
| C566: R. McCrorie | |
| The exact asymptotic first-order bias in least squares estimation of the AR(1) model under a unit root | |
| C516: H. Xie, A. Tsui | |
| Closed-form approximations to moment values of an AR(1) model in unit-root and stationary cases | |
| C701: L. Cao | |
| Simulating the asymptotic distributions and densities of the OLS estimator in autoregressive models with a unit root | |
| C310: M. Kyriacou | |
| Overlapping sub-sampling and invariance to initial conditions | |
| C874: I. Diaz-Emparanza | |
| Numerical distribution functions for seasonal unit root tests |
| Session CS22 | Room: 3 |
| Wavelets and macroeconomic analysis | Sunday 2.12.2012 16:40 - 18:45 |
| Chair: Marco Gallegati |
Organizer: Marco Gallegati |
| C316: L. Aguiar-Conraria, M. Soares, T. Rodrigues | |
| Oil shocks and the euro as an optimum currency area | |
| C325: S. Pollock | |
| A framework for a nondyadic wavelets analysis | |
| C773: M. Kiermeier | |
| Essay on wavelet analysis and the European term structure of interest rates | |
| C777: J. Thong, J. Ramsey | |
| Time-scale and the S-Curve: A wavelet analysis of trade dynamics | |
| C993: M. Gallegati, J. Ramsey, W. Semmler | |
| A wavelet-based index of financial distress |
| Parallel session M: | Monday 3.12.2012 | 08:30 - 10:10 |
| Session CSI04 - Invited | Room: Auditorium |
| Advances in econometrics | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Jean-Michel Zakoian |
Organizer: CFE 2012 |
| C336: C. Francq, J. Zakoian | |
| Risk-parameter estimation in volatility models | |
| C641: G. Gonzalez-Rivera, Y. Sun | |
| Evaluation of multivariate count models. Trading activity in U.S. large banks | |
| C658: J. Maheu, M. Jensen, T. McCurdy | |
| A Bayesian nonparametric analysis of the relationship between returns and realized variance. |
| Session CS04 | Room: 6 |
| Quantitative evaluation of fiscal policies | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Aurelien Eyquem |
Organizer: Stephane Auray |
| C570: A. Eyquem, S. Auray, P. Gomme | |
| On tax policies in open economies | |
| C646: S. Gnocchi, D. Hauser, E. Pappa | |
| Housework and fiscal expansions | |
| C655: P. Levine, C. Cantore, G. Melina, J. Pearlman | |
| Optimal fiscal and monetary rules in normal and abnormal times | |
| C551: J. Costain, B. de Blas | |
| Smoothing shocks and balancing budgets in a currency area |
| Session CS05 | Room: 3 |
| Bayesian econometrics with applications | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Nalan Basturk |
Organizer: Nalan Basturk |
| C237: G. Kastner, S. Fruehwirth-Schnatter, H. Lopes | |
| Efficient Bayesian inference for multivariate factor stochastic volatility (SV) models | |
| C265: A. Paccagnini | |
| Bayesian estimation of a DSGE model: A Monte Carlo experiment | |
| C552: C. Cakmakli, N. Basturk, H. Van Dijk, P. Ceyhan | |
| Inflation regimes, technological change and weak identification in an NKPC model with forward looking price behavior | |
| C509: N. Basturk, L. Hoogerheide, P. De Knijf, H. Van Dijk | |
| Bayesian testing for multimodality using mixture distributions |
| Session CS20 | Room: 1 |
| Risk management in energy markets: Market design and trading strategies | Monday 3.12.2012 08:30 - 10:10 |
| Chair: M. Dolores Furio |
Organizer: M. Dolores Furio |
| C398: R. Jimenez-Rodriguez | |
| Oil price shocks and stock markets: A non-linear approach | |
| C528: S. Serrano Calle | |
| Assessment of volatility in oil markets: An entropy analysis | |
| C576: A. Zarraga, A. Ciarreta | |
| Modelling price and volatility in the Iberian day-ahead electricity market | |
| C704: P. Munoz, J. Sanchez, M. Marquez, S. Baena, P. Tencaliec | |
| Wind power forecast: Statistical analysis and economic benefits |
| Session CS23 | Room: 4 |
| Counterparty credit risk, a transversal financial regulation | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Bertrand Hassani |
Organizer: Bertrand Hassani |
| C348: X. Zhao, D. Guegan, B. Hassani | |
| Sovereign rating adjustment using market information | |
| C461: M. Frunza | |
| Analyzing whether the new counterparty risk regulation increase contagion | |
| C659: P. Maugis, B. Hassani | |
| Asset pricing: Analyzing whether the counterparty credit risk is already taken into account | |
| C506: B. Hassani, C. Naud | |
| Impact of counterparty credit risk on risk appetite measures |
| Session CS32 | Room: 5 |
| Financial markets liquidity | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Serge Darolles |
Organizer: Gaelle Le Fol |
| C283: T. Wang, A. Menkveld | |
| Liquileaks | |
| C337: R. Huang, N. Hautsch | |
| Identifying and analyzing hidden order placements | |
| C382: F. Riva, L. Deville, A. Calamia | |
| Liquidity in ETFs | |
| C618: G. Le Fol, S. Darolles, J. Dudek | |
| MLiq a Meta Liquidity Measure |
| Session CS45 | Room: Multipurpose |
| Statistical signal extraction and filtering | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C529: T. Cesaroni | |
| Credit default and macroeconomic factors: An empirical investigation | |
| C648: M. Bujosa, A. Bujosa, A. Garcia-Ferrer | |
| A note on pseudo-spectra and pseudo-covariance generating functions | |
| C678: A. Maravall | |
| Reliability of the (new) tramo-seats automatic identification of reg-ARIMA models | |
| C969: C. Heinze | |
| SVD-based Kalman filtering and likelihood evaluation under linear constraints |
| Session CS59 | Room: 2 |
| Filtering and modelling financial time series | Monday 3.12.2012 08:30 - 10:10 |
| Chair: Helena Veiga |
Organizer: Helena Veiga |
| C357: D. Kristensen, C. Brownlees, Y. Shin | |
| Smooth filtering and likelihood inference in dynamic latent variables models | |
| C477: C. Breto | |
| Maximum likelihood estimation of stochastic volatility models via iterated filtering | |
| C487: J. Dias, S. Ramos | |
| Regime switching GARCH-based clustering of financial time series | |
| C159: A. Taamouti, B. Feunou, J. Fontaine, R. Tedongap | |
| Risk premium, variance premium and the maturity structure of uncertainty |
| Parallel session N: | Monday 3.12.2012 | 10:40 - 12:20 |
| Session CS07 | Room: Multipurpose |
| Measuring systemic risk | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Lorenzo Frattarolo |
Organizer: Monica Billio |
| C130: A. Kabundi, A. Duncan | |
| International transmission of equity volatilities with application to financial crises | |
| C1042: M. Cavicchioli | |
| Determining the number of regimes in Markov-switching VARMA models | |
| C541: L. Frattarolo, M. Billio, L. Pelizzon | |
| Proximity-structured multivariate volatility models for systemic risk | |
| C486: M. Billio, K. Mamo, L. Pelizzon | |
| Hedge fund tail risk and marginal risk contribution in fund of hedge funds |
| Session CS39 | Room: 3 |
| Bayesian financial econometrics | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| C260: T. Watanabe, M. Takahashi, Y. Omori | |
| Volatility and quantile forecasts of returns using realized stochastic volatility models with generalized hyperbolic distribution | |
| C513: T. Ishihara, Y. Omori | |
| Multivariate realized stochastic volatility model with leverage | |
| C797: S. Chan, K. Ho, H. Wong | |
| Bayesian analysis of structure credit risk models with micro-structure noises and jump diffusion | |
| C893: K. McAlinn, T. Nakatsuma | |
| Bayesian quantile regression for financial factor models |
| Session CS17 | Room: 1 |
| Statistical signal processing applied to asset management | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Serge Darolles |
Organizer: Serge Darrolles |
| C395: G. Weisang | |
| A survey of filtering techniques applied to hedge fund replication | |
| C411: E. Bacry, S. Delattre, M. Hoffmann, J. Muzy | |
| An agent-based model for microstructure noise and trade impacts. | |
| C498: E. Jay, P. Duvaut, S. Darolles | |
| A regularized version of the Kalman filter for risk management and portfolio hedging | |
| C537: D. Matteson, R. Tsay | |
| A new perspective on dependence within financial markets |
| Session CS41 | Room: 2 |
| Estimating the effects of fiscal policy | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Evi Pappa |
Organizer: Evi Pappa |
| C120: M. Pisani, L. Forni | |
| Fiscal policy in open economy: Estimates for the euro area | |
| C352: S. Simonelli, A. Acconcia, G. Corsetti | |
| Mafia and public spending: Evidence on the fiscal multiplier from a quasi-experiment | |
| C400: E. Ilzetzki, K. Jin | |
| Spillovers from US monetary and fiscal policy | |
| C582: E. Pappa, R. Calmuc, Y. Kulikova, S. Simonelli | |
| On the reaction of the Governmentto nature's attacks |
| Session CS97 | Room: 4 |
| Cointegration | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Robert Kunst |
Organizer: CFE 2012 |
| C390: A. Dechert | |
| Variance ratio testing for fractional cointegration in presence of trends and trend breaks | |
| C827: A. Monticini | |
| A simple way to test for multiple cointegration with structural breaks | |
| C890: L. Pun, N. Chan, P. Lee | |
| Cointegration pairs trading strategy on derivatives | |
| C1000: T. Dubiel-Teleszynski | |
| Joint modeling of cointegration and mean reversion in a continuous time approach to statistical arbitrage |
| Session CS98 | Room: 6 |
| Financial time series I | Monday 3.12.2012 10:40 - 12:20 |
| Chair: John Galbraith |
Organizer: CFE 2012 |
| C464: F. Mc Issac, F. Laudicina, M. Frunza | |
| Influence of weather variability on the orange juice prices | |
| C708: G. Gozgor | |
| The application of stochastic processes in exchange rate forecasting: Benchmark test for the EUR/USD and the USD/TRY | |
| C1004: S. Harbi | |
| Efficiency of stock markets: A GARCH application | |
| C845: J. Alonso, D. Mercado Polo, C. Fajardo Toro | |
| Forecasting Colombian spot exchange rate: A comparison of different machine learning and data mining approaches | |
| C940: A. Papana, C. Kyrtsou, C. Diks, D. Kugiumtzis | |
| Partial symbolic transfer entropy |
| Session CS03 | Room: 5 |
| Contributions to financial markets and macro | Monday 3.12.2012 10:40 - 12:20 |
| Chair: Willi Semmler |
Organizer: CFE 2012 |
| C630: C. Valsan | |
| Financial markets as critical networks and computational models for allocating assets | |
| C836: G. Camba-Mendez, D. Serwa, T. Werner | |
| Factors driving market's perception of sovereign credit risk in the Euro area during the financial crisis | |
| C1062: D. Grechyna | |
| Technological progress and financial stability | |
| C749: C. Marsilli, L. Ferrara, J. Ortega | |
| Macroeconomic forecasting using financial volatility: A MIDAS appraisal during the Great Recession | |
| C558: N. Ferreira, R. Menezes, S. Bentes | |
| EU severe debt crisis: Strengthened links between interest rates and stock market returns |
| Parallel session P: | Monday 3.12.2012 | 12:30 - 13:30 |
| Session CS77 | Room: 1 |
| Unit root | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Roderick McCrorie |
Organizer: CFE 2012 |
| C872: J. Afonso Rodriguez | |
| Stochastic integration and cointegration tests under a randomized and a weak bilinear unit root process | |
| C887: D. Vougas | |
| A new approach for parametric unit root testing | |
| C910: I. Becheri, F. Drost, R. van den Akker | |
| Gaussian power envelope for panel unit root tests in the presence of cross-sectional dependence |
| Session CS78 | Room: 10 |
| Portfolio risk measures | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Joern Sass |
Organizer: CFE 2012 |
| C531: S. Dumitrescu, R. Lupu | |
| Time scaling properties of multivariate dynamic higher order moments using Cornish-Fisher expansion | |
| C846: C. Fajardo Toro, E. Diaz Estrada, J. Alonso | |
| Using machine learning techniques to forecast the variance-covariance of a portfolio: Application to VaR's estimation | |
| C886: P. Jablonsky | |
| Unbiased evaluation of the portfolio model performance by the expected utility efficient frontier |
| Session CS79 | Room: 6 |
| Financial econometrics: Models and applications | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Ard Den Reijer |
Organizer: CFE 2012 |
| C264: A. Saez-Castillo, F. Prieto, J. Sarabia | |
| The dPPS distribution in the modelling of financial returns | |
| C349: K. Sirichand, S. Coleman | |
| International yield curve dynamics and interactions | |
| C937: T. Ohnishi, T. Mizuno, C. Shimizu, T. Watanabe | |
| Using property price distribution to detect real estate bubbles |
| Session CS80 | Room: 11 |
| Markov switching models | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Christian Francq |
Organizer: CFE 2012 |
| C495: S. Zeng | |
| Cyclicality and bounce back effect in financial market | |
| C500: F. Karame | |
| Hamilton smooth particle filters | |
| C710: H. Do, R. Brooks, S. Treepongkaruna, E. Wu | |
| Modelling ratings impacts on stock return distributions within a multivariate regime switching long memory framework |
| Session CS81 | Room: 13 |
| Models for financial and commodity markets | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Gonzalo Camba-Mendez |
Organizer: CFE 2012 |
| C875: K. Tang, J. Tarn | |
| Hedging effectiveness of Malaysian crude palm oil futures contracts: The extended mean-Gini framework | |
| C955: D. Buncic | |
| Forecasting commodity currencies with dynamic Bayesian models | |
| C990: M. Smid | |
| Tractable and estimable general model of limit order markets |
| Session CS69 | Room: 9 |
| Financial markets and copulas | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Jean-David Fermanian |
Organizer: CFE 2012 |
| C623: L. Melo, R. Loaiza | |
| Latin American exchange rates dependencies: A regular vine copula approach | |
| C735: N. Ponomareva, K. Ignatieva | |
| Commodity currencies and commodity prices: Modeling static and time-varying dependence | |
| C888: D. Papla | |
| Example of using copula functions as a tool for researching contagion in financial markets |
| Session CS92 | Room: 3 |
| Financial econometrics: Inferences | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Arvid Raknerud |
Organizer: CFE 2012 |
| C636: G. Tsiotas | |
| Testing combinations in conditional quantiles: The case of Value-at-Risk (VaR) | |
| C666: M. Augustyniak | |
| Estimation of the Markov-switching GARCH model with a maximum likelihood approach | |
| C643: R. Siedlecki | |
| Log-logistic function estimation method and its application in finance and economics |
| Session CS94 | Room: 2 |
| Time series econometrics II | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Dennis Kristensen |
Organizer: CFE 2012 |
| C867: H. Kew, D. Harris | |
| An adaptive and robust Portmanteau test for uncorrelatedness under $q-$dependency and heteroskedasticity | |
| C897: B. Koo, M. Seo | |
| Strucutral break models under misspecification: Implications for forecasting | |
| C454: T. Holden | |
| Learning from learners |
| Session CS85 | Room: 8 |
| Financial markets II | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Gaelle Le Fol |
Organizer: CFE 2012 |
| C948: M. Vosvrda, L. Kristoufek | |
| Measuring capital market efficiency: Global and local correlations structure | |
| C884: T. Katzschner | |
| Latency and quote duration: Limits to integration in fragmented markets | |
| C781: H. Veiga, B. Martin-Barragan, S. Ramos | |
| Wavelet-based correlations: International evidence between stock market and oil returns |
| Session CS76 | Room: Multipurpose |
| Contributions to Bayesian econometrics and applications | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Helga Wagner |
Organizer: CFE 2012 |
| C672: A. Vosseler | |
| Model averaging in Bayesian periodic autoregressive models to forecast seasonal time series | |
| C864: A. Theophilopoulou, A. Carriero, H. Mumtaz | |
| Forecasting fiscal variables using Bayesian VARs with constant and drifting coefficients | |
| C878: H. Nishino, K. Kakamu | |
| Bayesian estimation of beta type distribution parameters based upon grouped data |
| Session CS68 | Room: 5 |
| Panel data | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Roberto Leon-Gonzalez |
Organizer: CFE 2012 |
| C380: A. Pua | |
| Applying projected score methods to panel data models | |
| C366: A. Soberon, J. Rodriguez-Poo | |
| Direct semiparametric estimation of fixed effects panel data varying coefficient models | |
| C410: M. Gross, C. Kok | |
| A mixed-cross-section GVAR for countries and banks |
| Session CS25 | Room: 4 |
| Contributions on systemic risk | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Gloria Gonzalez-Rivera |
Organizer: CFE 2012 |
| C729: A. Alter, A. Beyer | |
| The dynamics of spillover effects during the European sovereign debt crisis | |
| C721: C. Castro, J. Ordonez, C. Leon | |
| Measuring the effect of network externalities on financial distress: A spatial econometrics approach | |
| C726: S. Benoit, G. Colletaz, C. Hurlin, C. Perignon | |
| A theoretical and empirical comparison of systemic risk measures |
| Session CS02 | Room: 7 |
| Forecasting financial markets | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Massimiliano Pisani |
Organizer: CFE 2012 |
| C697: E. Panopoulou, T. Pantelidis | |
| Speculative behavior and oil price predictability | |
| C725: S. Plastira, E. Panopoulou | |
| Combination forecasts of bond and stock returns: An asset allocation perspective | |
| C825: S. Mouabbi | |
| Determining currency risk premiums using a bilateral arbitrage free Nelson Siegel term structure model |
| Session CS83 | Room: 12 |
| Financial modelling and applications | Monday 3.12.2012 12:30 - 13:30 |
| Chair: Leopold Soegner |
Organizer: CFE 2012 |
| C952: N. Handzic, R. Bhar | |
| Valuing CDS options under double exponential jump diffusion | |
| C1019: L. Ductor Gomez, D. Grechyna | |
| Excess financial development and economic growth | |
| C1066: T. Corzo Santamaria, M. Lagoa-Varela | |
| The optimal dividend yield range: the case of Europe and Spain during the period 2000-2009 |
| Parallel session Q: | Monday 3.12.2012 | 15:00 - 16:40 |
| Session CS91 | Room: 4 |
| Computational methods in econometrics | Monday 3.12.2012 15:00 - 16:40 |
| Chair: John M. Maheu |
Organizer: CFE 2012 |
| C680: E. Herbst, F. Schorfheide | |
| Sequential Monte Carlo for DSGE models | |
| C907: F. Rosa-Gonzalez, E. Gonzalez-Davila, A. Arbelo-Alvarez | |
| On the use of the free distribution methodology for the analysis of business efficiency | |
| C427: H. Katsura, K. McAlinn, T. Nakatsuma | |
| Parallel particle learning for Bayesian state space modeling | |
| C689: C. Leong | |
| Bayesian network models of credit risk modeling |
| Session CS96 | Room: 6 |
| Financial econometrics | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Niklas Ahlgren |
Organizer: CFE 2012 |
| C674: D. Tafin Djoko, Y. Tille | |
| Balanced tracking portfolios | |
| C711: M. Raddant | |
| Structure in the Italian overnight loan market | |
| C863: S. Chung, H. Wong | |
| A closed-form solution for arithmetic Asian options under a mean reverting jump diffusion model | |
| C688: W. Tarrant | |
| The flat tax in post-communist Europe | |
| C1026: A. Mbairadjim Moussa, J. Sadefo Kamdem, M. Terraza | |
| Probability-possibility transformation and application to high frequency financial returns modeling |
| Session CS75 | Room: Multipurpose |
| Financial time series II | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Bent Jesper Christensen |
Organizer: CFE 2012 |
| C840: R. Maderitsch, R. Jung | |
| Stock market linkages: New evidence on the dynamics of information transmission | |
| C192: A. Lopez, R. Perez | |
| Financial forecasting accuracy: Exploring the M3-competition | |
| C756: M. Scholz, J. Nielsen | |
| A nonparametrically improved sharpe ratio guided by prior knowledge | |
| C971: J. Schaumburg | |
| Tail dependence breaks in financial time series | |
| C926: R. Luger, X. Liu | |
| Unfolding GARCH models |
| Session CS31 | Room: 5 |
| Contributions to time-varying parameter models | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Rodney Strachan |
Organizer: CFE 2012 |
| C760: X. Chen, J. Gao, D. Li, P. Silvapulle | |
| Nonparametric calibration of time-varying coefficient realized volatility models | |
| C925: K. Lee | |
| Modelling and forecasting implied volatility surface dynamics | |
| C943: N. Nonejad, S. Grassi, P. Santucci de Magistris | |
| Bayesian model averaging and forecasting using self-perturbing Kalman filters | |
| C916: F. Rondina | |
| Time varying SVARs, parameter histories, and the changing impact of oil prices on the US economy | |
| C609: J. de Winter, X. Jin, J. Jansen | |
| Forecasting GPD growth in the Eurozone |
| Session CS42 | Room: 1 |
| Contributions to business cycle analysis | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Toshiaki Watanabe |
Organizer: CFE 2012 |
| C686: M. Klucik | |
| Composite leading indicators as nonlinear functions: Quantitative and qualitative forecasts | |
| C687: J. Juriova | |
| The impact of foreign cyclical development on small open economy (SVAR analysis) | |
| C799: L. Sun, S. Sen | |
| Monetary policy rules and business cycle in China-Bayesian DSGE model simulation | |
| C828: E. Santoro, R. Distante, I. Petrella | |
| The cross-sectional origins of business cycle asymmetries | |
| C647: D. Leiva-Leon | |
| Monitoring U.S. states business cycles synchronization: When and how a recession is coming |
| Session CS51 | Room: 2 |
| Contributions to jumps and volatilities | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Sebastien Laurent |
Organizer: CFE 2012 |
| C706: W. Maneesoonthorn, C. Forbes, G. Martin | |
| Inference on self-exciting jumps in prices and volatility using high frequency measures | |
| C956: T. Takada, A. Inoue | |
| Multiple time scale volatility patterns before abrupt switching in financial markets | |
| C675: J. Witzany | |
| Estimating correlated jumps and stochastic volatilities | |
| C709: V. Jeleskovic | |
| Hidden decisions behind hidden volume: Analysis of incoming iceberg orders in electronic trading |
| Session CS84 | Room: 3 |
| Energy markets | Monday 3.12.2012 15:00 - 16:40 |
| Chair: Marc Gronwald |
Organizer: CFE 2012 |
| C727: A. Aderounmu, R. Wolff, H. Thompson | |
| Modelling dependence of extreme price observations in connected electricity markets using tail copulas | |
| C895: C. Lau, J. Laitenberger | |
| Measuring risk in electricity forward returns | |
| C762: E. Caro, C. Garcia-Martos, M. Sanchez-Naranjo | |
| Optimal combined forecasts for electricity prices considering renewable energies | |
| C683: M. Gronwald, S. Trueck | |
| The relationship between the carbon market and financial markets: A frequency domain analysis |
Programme Summary
