PROGRAMME CFE 2010
KEYNOTE TALKS
PARALLEL SESSIONS
| Parallel session B: | Friday 10.12.2010 | 10:15 - 12:20 |
| Session CI97 | Room: IoE Logan Hall |
| Invited Session: Applied time series econometrics | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
| C398: R. Smith, S. Dees, M. Pesaran, L. Smith | |
| Supply, demand and monetary policy shocks in a multi-country new Keynesian model | |
| C401: G. Kapetanios, L. Giraitis, T. Yates | |
| Inference on stochastic time-varying coefficient models | |
| C469: C. Baum, P. Zerilli | |
| Financial option pricing in volatile markets |
| Session CS12 | Room: MAL 151 |
| Forecasting Value-at-Risk | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Teodosio Perez Amaral | Organizer: Teodosio Perez Amaral and Juan-Angel Jimenez-Martin |
| C510: D. Dobrev, P. Szerszen | |
| The information content of high-frequency data for estimating equity return models and forecasting risk | |
| C521: C. Lonnbark | |
| Uncertainty of multiple period risk measures | |
| C537: S. Benito, P. Abad | |
| A detailed comparison of Value at Risk estimates | |
| C590: P. Araujo Santos, I. Fraga Alves | |
| Minimize capital requirements with a DPOT method | |
| C702: T. Perez Amaral, J. Jimenez-Martin, M. McAleer | |
| Crisis robust risk management under the Basel accord |
| Session CS15 | Room: MAL B29 |
| Financial risks and the macroeconomy | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Monica Billio | Organizer: Monica Billio |
| C445: A. Tortora, M. Guidolin, F. Ravazzolo | |
| Multifactor pricing models for US real estate | |
| C410: G. Zinna | |
| Identifying risks in emerging market sovereign and corporate bond spreads | |
| C472: M. Billio, M. Getmansky, A. Lo, L. Pelizzon | |
| Econometric measures of systemic risk in the finance and Insurance sectors | |
| C358: R. Neck, D. Blueschke, V. Blueschke-Nikolaeva, K. Weyerstrass | |
| Optimal fiscal policies in booms and in recessions: An econometric case study for Slovenia | |
| C647: G. Nicoletti, R. Passaro | |
| Real, financial and credit variables in Italian GDP forecasting |
| Session CS31 | Room: MAL G16 |
| Heavy-tailed time series | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Christian Francq | Organizer: Christian Francq |
| C355: J. Zakoian, C. Francq | |
| Prediction in GARCH models under heavy-tailed errors | |
| C185: D. Stasinopoulos, R. Rigby, R. Gilchrist, J. Sedgwick, V. Voudouris | |
| Non-parametric modelling of heavy tails and skewness of box-office revenues | |
| C248: S. Laurent, K. Boudt, J. Danielsson | |
| Robust estimation of dynamic conditional correlation GARCH models | |
| C443: S. Makarova, W. Charemza, P. Jelonek | |
| Macroeconomic applications of skewed tempered stable distributions |
| Session CS35 | Room: MAL B30 |
| Risk and commodities markets | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Dominique Guegan | Organizer: Dominique Guegan |
| C137: P. Maugis, D. Guegan | |
| Event conditional correlation | |
| C138: W. Tarrant, D. Guegan | |
| On the necessity of five risk measures | |
| C349: B. Hassani, D. Guegan, C. Naud | |
| An efficient peak-over-threshold implementation for operational risk capital computation | |
| C298: A. Lahiani, M. Arouri, D. Nguyen | |
| Volatility transmission between world oil prices and stock markets of the GCC countries | |
| C380: A. Dias | |
| Economic value of accounting for large losses in portfolio selection |
| Session CS37 | Room: MAL B18 |
| Multivariate dependence modelling in finance and insurance | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Vladimir Kaishev | Organizer: Vladimir Kaishev |
| C475: G. Mitov, S. Rachev, B. Racheva-Yotova | |
| Beyond fat-tails: A comparison of the methodologies for describing the tail dependence between assets | |
| C707: V. Kaishev | |
| Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance | |
| C791: N. Bingham | |
| Multivariate elliptic processes | |
| C809: E. Marceau, H. Cossette | |
| Aggregation and capital allocation for portfolios of dependent risks | |
| C763: S. Vrontos, I. Vrontos, L. Meligkotsidou | |
| Asset-liability management for pension funds in a time-varying volatility environment |
| Session CS50 | Room: MAL B20 |
| Multivariate financial time series | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Cathy Chen | Organizer: Yasuhiro Omori |
| C109: X. Qian | |
| Financial time series clustering with nonparametric Bayes method | |
| C329: H. Raissi, V. Patilea | |
| Adaptive estimation of vector autoregressive models with time-varying variance. | |
| C546: C. Sin | |
| Modelling time-varying correlation with parsimonious multivariate linear ARCH | |
| C664: J. Ortega, S. Chretien | |
| Spectral sparsity and the modeling of high dimensional heteroscedastic phenomena | |
| C467: S. Van den Hauwe, R. Paap, D. van Dijk | |
| A Bayesian nonparametric alternative for multivariate models |
| Session CS57 | Room: MAL B34 |
| Bayesian nonparametric methods in econometrics | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Mark Steel | Organizer: Mark Steel |
| C637: I. Pruenster, A. Lijoi, P. Muliere, F. Taddei | |
| Bayesian nonparametric models in macroeconomics: an illustration | |
| C648: M. Villani, F. Li | |
| Nonparametric spline regression with portable knots | |
| C731: J. Griffin, M. Kolossiatis, M. Steel | |
| Inferring differences between distributions | |
| C729: M. Kalli, S. Walker | |
| Modelling the conditional distribution of daily stock index returns: an alternative Bayesian semiparametric model. | |
| C773: M. Wiesenfarth, C. Hisgen, T. Kneib, C. Cadarso-Suarez, D. Miles Touya | |
| Bayesian semiparametric instrumental variable regression with non-normal errors |
| Session CP01 | Room: IoE Crush Hall |
| Posters I | Friday 10.12.2010 10:15 - 12:20 |
| Chair: Christos Savva | Organizer: CFE |
| C855: A. Chernenko | |
| Multi-scale correlation analysis of coherent variability of economical time series | |
| C614: M. Gerolimetto, I. Procidano | |
| Further developments on time series clustering | |
| C740: L. Kalliovirta | |
| Comparison of different misspecification tests designed for nonlinear time series models | |
| C598: E. Dugundji, A. Poorthuis, M. van Meeteren | |
| Capturing correlated effects in adoption and diffusion in large virtual networks | |
| C282: Y. Varli, E. Ceyhan, O. Erdem | |
| A new correlation coefficient for bivariate time-series data | |
| C658: H. Veiga, J. Galan, M. Wiper | |
| Bayesian stochastic frontier models with heterogeneity | |
| C780: R. Seri, C. Choirat | |
| A comparison of approximations for compound Poisson processes |
| Parallel session C: | Friday 10.12.2010 | 13:40 - 15:20 |
| Session CI99 | Room: IoE Logan Hall |
| Invited Session: Factor models | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Tommaso Proietti | Organizer: Tommaso Proietti |
| C370: M. Lippi, M. Forni, M. Hallin, P. Zaffaroni | |
| The unrestricted generalized dynamic factor model | |
| C460: M. Deistler, B. Anderson, A. Filler, W. Chen | |
| Generalized factor models-a structure theory | |
| C889: C. Schumacher, S. Kaufmann | |
| Dynamic sparse factor model |
| Session CS14 | Room: MAL 151 |
| Financial volatility estimation and forecasting I | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Francesco Audrino | Organizer: Francesco Audrino |
| C197: R. Halbleib, V. Voev | |
| Forecasting covariance matrices: a mixed frequency approach | |
| C241: M. Medeiros, T. Ferreira | |
| Improving volatility forecasts by combining information | |
| C310: D. Colangelo, F. Audrino | |
| Option trading strategies based on semi-parametric implied volatility surface prediction | |
| C566: C. Kourouyiannis, E. Andreou, E. Ghysels | |
| Robust volatility forecasts in the presence of structural breaks |
| Session CS19 | Room: MAL B29 |
| Multifrequency modelling | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Laurent Calvet | Organizer: Laurent Calvet |
| C286: C. Ntantamis | |
| Day-varying weights in mixtures of stochastic volatility diffusion processes | |
| C364: F. Benhmad, A. Peguin-Feissolle | |
| The oil price-dollar link : A wavelet based approach | |
| C765: P. Donati | |
| Monetary policy effectiveness in times of crisis: Evidence from the Euro area money market | |
| C465: M. Fearnley, L. Calvet, A. Fisher, M. Leippold | |
| Equity skew and the Markov-switching multifractal: estimation and option pricing |
| Session CS30 | Room: MAL B34 |
| Copulas in financial econometrics: recent developments | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Dick van Dijk | Organizer: Dick van Dijk |
| C205: H. Manner, J. Segers | |
| Tails of correlation mixtures of elliptical copulas | |
| C477: O. Sokolinskiy, C. Diks, V. Panchenko, D. van Dijk | |
| Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support | |
| C487: N. Thomaidis, E. Roumpis | |
| Measuring asymmetric tail dependences between the returns on equity style portfolios | |
| C724: K. Jacobs | |
| Is the potential for international diversification disappearing? |
| Session CS43 | Room: MAL B30 |
| Nonlinear modelling in macroeconomics | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Costas Milas | Organizer: Costas Milas |
| C141: C. Savva, K. Neanidis | |
| Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7 | |
| C539: E. Pavlidis, I. Paya, D. Peel | |
| Real exchange rates and consumption: A nonlinear perspective | |
| C295: T. Panagiotidis, T. Dergiades | |
| Global CO2 and temperature over the last five centuries: Change in persistence and cointegration | |
| C207: C. Milas, R. Naraidoo | |
| ECB policy and financial stability |
| Session CS53 | Room: MAL B20 |
| Financial time series | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Mike So | Organizer: Mike So |
| C162: T. Ando, R. Tsay | |
| Bayesian panel data analysis for exploring the impact of recent financial crisis on the U.S stock market | |
| C191: M. Asai, M. So | |
| Stochastic covariance models | |
| C276: C. Wong | |
| On a Student t-mixture autoregressive conditional heteroscedastic model | |
| C172: H. Wong, X. Zhang | |
| On a class of GARCH-M models |
| Session CS56 | Room: MAL B18 |
| Nonparametric volatility estimation | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Simona Sanfelici | Organizer: Simona Sanfelici |
| C330: A. Lunde, K. Sheppard, N. Shephard | |
| Composite loss and realised kernels | |
| C862: J. Schmidt-Hieber, M. Hoffmann, A. Munk | |
| Nonparametric spot volatility estimation in microstructure noise models | |
| C518: K. Christensen, M. Podolskij, R. Oomen | |
| Jumps at ultra high frequency | |
| C254: B. Federico, R. Reno | |
| Nonparametric stochastic volatility | |
| C292: S. Sanfelici, A. Uboldi | |
| Assessing the quality of volatility estimators via option pricing |
| Session CS58 | Room: MAL G16 |
| Continuous time asset pricing models | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Leopold Soegner | Organizer: Leopold Soegner |
| C246: J. Sass | |
| Continuous time Markov switching models: Estimation and discretization | |
| C504: C. Wagner, L. Sarno, P. Schneider | |
| The expectations hypothesis and properties of bond risk premia | |
| C406: M. Jaskowski | |
| Dynamic estimation of implied recovery rates from CDS spreads | |
| C322: L. Soegner | |
| Bayesian parameter estimation and identification in affine term structure models |
| Session CS77 | Room: MAL 351 |
| Risk management | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Ronald Hochreiter | Organizer: Daniel Kuhn, Berc Rustem, Nicos Christofides |
| C368: M. Kapsos, D. Kuhn, B. Rustem | |
| Worst-case Omega ratio | |
| C684: F. Locker | |
| Mean-variance hedging in a Levy-Ito framework | |
| C675: M. Kukuk, M. Roennberg | |
| Corporate credit default models: a mixed logit approach | |
| C819: E. Mathiesen | |
| A proof system for pricing securities |
| Session CP02 | Room: IoE Crush Hall |
| Posters II | Friday 10.12.2010 13:40 - 15:20 |
| Chair: Panayiotis Andreou | Organizer: CFE |
| C796: C. Floros, S. Degiannakis | |
| Evaluate the one-trading-day-ahead predictive ability of intra-day models for the CAC40 realized volatility | |
| C533: B. Bedowska-Sojka | |
| Interdependence of CAC40, DAX30 and WIG20 - evidence from intraday data | |
| C870: M. Iannino | |
| Stocks splits and herding | |
| C253: E. Panopoulou, T. Pantelidis | |
| The forecasting performance of regime-switching models of speculative behaviour for exchange rates | |
| C220: T. Dimpfl | |
| On the impossibility of cointegration of international financial markets | |
| C711: J. Gorka | |
| Sign RCA GARCH models in modeling Polish financial time series. | |
| C622: B. da Veiga, A. Nandialath | |
| Heterogeneity and strategic choices: The case of stock repurchases | |
| C140: S. Lepaul | |
| World steam coal model mixing fundamental and statistic modeling | |
| C767: S. Bonini, G. Caivano | |
| Survival analysis approach in Basel2 credit risk management: modelling danger rates in loss given default parameter |
| Parallel session D: | Friday 10.12.2010 | 15:50 - 17:05 |
| Session CS21 | Room: MAL B20 |
| Bayesian econometrics | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Cathy Chen | Organizer: Cathy Chen |
| C323: M. So, K. Chan | |
| Forecasting tail risk in financial time series using a mixture of distribution approach | |
| C259: R. Gerlach, Q. Chen | |
| Forecasting risk via nonlinear models and the two-sided Weibull distribution | |
| C421: J. Lau, E. Cripps | |
| Bayesian hierarchical non-parametric mixture of dynamic GARCH models |
| Session CS34 | Room: MAL 538 |
| Pricing and hedging in incomplete markets | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Dominique Guegan | Organizer: Dominique Guegan |
| C223: D. Guegan, C. Chorro, F. Ielpo | |
| Option pricing GARCH-type models with generalized hyperbolic innovations | |
| C447: L. Stentoft, J. Rombouts | |
| Multivariate option pricing with time varying volatility and correlations | |
| C497: M. Frunza, D. Guegan | |
| Semi-static hedging strategies in incomplete markets. An application for carbon allowances |
| Session CS44 | Room: MAL 532 |
| Forecasting the equity premium: methods and new results | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Marcelo Medeiros | Organizer: Marcelo Medeiros |
| C243: E. Hillebrand | |
| Mean reversion expectations and the 1987 stock market crash: An empirical investigation | |
| C311: A. Veiga, C. Epprecht | |
| Evaluating the predictability of stock market returns via STARX-Tree models | |
| C414: A. Passos | |
| Multi-factor model selection for predicting cross-sectional variation in stock returns |
| Session CS45 | Room: MAL 151 |
| Multivariate unobserved components models | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Gian Luigi Mazzi | Organizer: Gian Luigi Mazzi |
| C610: C. Garcia-Martos, J. Rodriguez, M. Sanchez | |
| Extracting common and specific components from the vector of prices in several European power markets | |
| C681: F. Moauro | |
| Deriving a euro area monthly indicator of employment: a real time comparison of alternative model-based approaches | |
| C685: G. Mazzi, C. Frale, S. Grassi, M. Marcellino, T. Proietti | |
| Euromind: a Euro area monthly indicator of economic activity |
| Session CS48 | Room: MAL B29 |
| Bootstrap methods in finance | Friday 10.12.2010 15:50 - 17:05 |
| Chair: John Nankervis | Organizer: John Nankervis |
| C263: G. Menardi, F. Lisi | |
| Evaluating performance measures stability | |
| C653: C. Swanepoel, L. Boshoff | |
| Boosting, bagging and bragging applied to nonparametric regression - an empirical approach | |
| C579: M. Marzano, J. Coakley, J. Nankervis | |
| Calendar anomalies and data snooping in European stock market indices |
| Session CS54 | Room: MAL B18 |
| Modelling and causality | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Marco Reale | Organizer: Marco Reale |
| C649: H. Zhang, J. Dufour, J. Galbraith | |
| Commodity price--exchange rate causality in daily and intra-day data | |
| C719: G. Chavez, D. Zerkle, B. Key, D. Shevitz | |
| Relating confidence to information uncertainty in qualitative reasoning | |
| C727: M. Reale, W. Rea, L. Oxley, C. Price | |
| Do long memory time series suffer amnesia? |
| Session CS62 | Room: MAL G16 |
| Financial data mining | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Philip Yu | Organizer: Philip Yu |
| C244: K. Lam, H. Ding, T. Mak | |
| Conditional jump patterns mining using bidirectional Hebbian clustering and sorting | |
| C627: P. Cerchiello, P. Giudici | |
| Measuring reputational risk | |
| C277: P. Yu, L. Shen | |
| Mining optimal technical chart patterns with genetic algorithms |
| Session CS64 | Room: MAL B34 |
| Heavy-tailed financial econometrics | Friday 10.12.2010 15:50 - 17:05 |
| Chair: David Veredas | Organizer: David Veredas |
| C897: M. Fernandes, W. Distaso, F. Zikes | |
| Tailing tail risk in the hedge fund industry | |
| C385: E. Ruiz, A. Carnero, D. Pena | |
| Estimating GARCH volatility in the presence of outliers | |
| C389: D. Schell, J. Beran | |
| Spline-based tail index estimation | |
| C512: Y. Swan, M. Hallin, T. Verdebout, D. Veredas | |
| Rank based testing and estimation in the general linear model with stable errors |
| Session CS65 | Room: MAL B30 |
| Bayesian methods in econometric and financial applications | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Ioannis Vrontos | Organizer: Ioannis Vrontos |
| C209: S. Anyfantaki, A. Demos | |
| Estimation of time-varying GARCH-M models | |
| C366: S. Potter, D. Gefang, G. Koop | |
| The dynamics of US and UK inflation expectations | |
| C541: D. Gefang, G. Koop, S. Potter | |
| Understanding liquidity and credit risks in the financial crisis |
| Session CS23 | Room: MAL 541 |
| Bayesian methods in macroeconomics and finance I | Friday 10.12.2010 15:50 - 17:05 |
| Chair: Alessia Paccagnini | Organizer: Andrea Carriero |
| C420: C. Baumeister, L. Benati | |
| Unconventional monetary policy and the great recession | |
| C615: A. Paccagnini | |
| Model validation in the DSGE approach: A comparison | |
| C676: C. Cakmakli, D. van Dijk, R. Paap | |
| Modeling and estimation of the synchronization in multivariate regime-switching models |
| Session CP03 | Room: IoE Crush Hall |
| Posters III | Friday 10.12.2010 15:50 - 19:00 |
| Chair: Christos Savva | Organizer: CFE |
| C499: L. Vacha, J. Barunik | |
| Comovement of energy commodities revisited: Evidence from wavelet coherence analysis | |
| C363: F. Peter | |
| Measuring information flows between financial markets using transfer entropy | |
| C488: D. Preve, Y. Tse | |
| Estimation of time varying adjusted PIN and PSOS using high-frequency transaction data | |
| C755: M. Smid | |
| The model of the best quotes (bid and ask) with endogenous limit order books: a verification by HF data | |
| C269: A. Garcia Sipols, A. Alonso, S. Quintas, C. Simon de Blas | |
| A single index model procedure for interpolation intervals | |
| C517: M. Vosvrda, J. Barunik, L. Vacha | |
| Monte Carlo-based tail exponent estimator | |
| C725: I. Saroka, D. Fantazzini | |
| Stochastic volatility option pricing with use of copula functions | |
| C236: Z. Wang, J. Nankervis, X. Liu | |
| An approach to optimize credit portfolio | |
| C177: P. Chaitip, A. Chaitip, C. Chaiboonsri | |
| The Value-at-Risk (VaR) of South East Asian countries: forecasting long memory in extreme value estimators. |
| Parallel session F: | Saturday 11.12.2010 | 08:40 - 10:45 |
| Session CS11 | Room: MAL B20 |
| Financial time series modelling and forecasting I | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Alessandra Amendola | Organizer: Alessandra Amendola |
| C255: G. Storti, A. Amendola | |
| A non-parametric procedure for combining high dimensional multivariate volatility forecasts | |
| C543: P. Zuccolotto, G. De Luca | |
| Extreme events in financial time series: a heuristic procedure for multivariate asset selection | |
| C544: C. Brownlees | |
| On the relation between firm characteristics and volatility dynamics with an application to the 2007-2009 financial crisis | |
| C293: W. Distaso | |
| Disentangling memory from cycles | |
| C686: A. Palandri | |
| Beatlestrap |
| Session CS49 | Room: MAL B30 |
| Bayesian econometrics and applications I: Application in finance | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Teruo Nakatsuma | Organizer: Yasuhiro Omori |
| C155: R. Tunaru | |
| Contingent claims valuation for low frequency data with Knightian uncertainty | |
| C343: U. Makov, S. Bar-Lev, Y. Awad | |
| Extensions of the Lee-Carter model for mortality projections | |
| C527: J. Bruha | |
| A model of credit retail premia | |
| C403: K. McAlinn, T. Nakatsuma | |
| Screening massive numbers of funds: Parallel computing and Bayesian methods in finance | |
| C621: K. Oya | |
| Bayesian estimation of probability of informed trading |
| Session CS82 | Room: MAL 355 |
| Microeconometrics | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Ana-Maria Fuertes | Organizer: CFE |
| C117: J. Murteira, E. Ramalho, J. Ramalho | |
| A new class of conditional mean tests for binary regression models | |
| C492: N. Basturk, L. Hoogerheide, H. van Dijk | |
| Measuring returns to education: Bayesian analysis using weak or invalid instrumental variables | |
| C154: E. Ramalho, J. Ramalho, P. Henriques | |
| Fractional regression models for second stage DEA efficiency analyses | |
| C318: R. Sollis | |
| Value at Risk from probability forecasts |
| Session CS52 | Room: MAL G16 |
| Quantitative risk management I | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Marc Paolella | Organizer: Marc Paolella |
| C093: M. Paolella | |
| Multivariate asset return prediction with mixture models | |
| C095: M. Putintseva | |
| Mixture dynamic conditional correlation model | |
| C100: J. Krause, S. Broda, M. Haas, M. Paolella, S. Steude | |
| Stable mixture GARCH models | |
| C291: I. Casas, N. Aslanidis | |
| Modelling asset conditional correlations during the recent financial crisis | |
| C737: T. Takada, T. Kitajima | |
| Phase classification by support vector machine |
| Session CS60 | Room: MAL B33 |
| Nonlinear financial econometric models | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Elias Tzavalis | Organizer: Elias Tzavalis |
| C432: J. Pitarakis, J. Gonzalo | |
| Regime specific predictability in predictive regressions | |
| C795: Y. Dendramis, G. Kapetanios, E. Tzavalis | |
| Stochastic volatility driven by large shocks | |
| C523: M. Rockinger, J. Lahaye, E. Jondeau | |
| High-frequency jump filtering in a microstructure model | |
| C272: D. Ronchetti, P. Gagliardini | |
| Semi-parametric estimation of American option prices | |
| C148: P. Andreou | |
| A volatility smirk that defaults: The case of the S\&P 500 index options |
| Session CS70 | Room: MAL B34 |
| Computational econometrics with R | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Achim Zeileis | Organizer: Achim Zeileis |
| C108: J. Kim, I. Fraser, R. Hyndman | |
| Improved interval estimation of long run response from a dynamic linear model | |
| C430: J. Reynaerts, R. Varadhan, J. Nash | |
| The convergence properties of the BLP (1995) contraction mapping and alternative nonlinear algorithms in R | |
| C508: A. Perez-Alonso, M. Rynko, C. Weiss | |
| A comparison of semiparametric estimators for the binary choice model | |
| C570: C. Kleiber | |
| Some computational aspects of count data regression |
| Session CS87 | Room: MAL 151 |
| Computational econometrics and data analysis | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Paolo Foschi | Organizer: CFE |
| C267: Y. Murasawa | |
| Measuring inflation expectations using interval-coded data | |
| C325: R. Wagenvoort, J. Hinloopen, C. van Marrewijk | |
| A K-sample homogeneity test based on the quantification of the p-p plot: the harmonic weighted mass index | |
| C805: A. Bhattacharjee, S. Bandyopadhyay, S. Chatterjee | |
| Causality and club convergence: A nonparametric framework for cross-country analysis | |
| C258: A. Santos, A. Veiga | |
| Tree-structured vector autoregressive model with smooth transition - STVAR-tree | |
| C882: G. Fruet Dias, G. Kapetanios | |
| Forecasting medium and large datasets with vector autoregressive moving average (VARMA) models |
| Session CS73 | Room: MAL B29 |
| Topics in time series and panel data econometrics | Saturday 11.12.2010 08:40 - 10:45 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| C587: G. Phillips, J. Kiviet | |
| Improved variance estimation of coefficients in stable first-order dynamic regression models | |
| C222: J. Mutl, J. Hlouskova | |
| Panel autoregressive models with cross-sectional dependence | |
| C261: R. Kunst, M. Costantini | |
| On the usefulness of the Diebold-Mariano test in the selection of prediction models: Some Monte Carlo evidence | |
| C505: L. Gadea, J. Carrion i Silvestre | |
| Bounds, breaks and unit root tests | |
| C165: M. Wagner, T. Vogelsang | |
| Estimating cointegrating relationships: A tuning parameter free approach |
| Parallel session G: | Saturday 11.12.2010 | 11:10 - 12:50 |
| Session CI98 | Room: Senate Beveridge Hall |
| Invited Session: Recent developments in econometrics | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: Elias Tzavalis | Organizer: Michael McAleer |
| C069: H. van Dijk, L. Hoogerheide | |
| Bayes procedures for optimal measurement of policy effects and risk | |
| C081: P. Franses, D. Fok | |
| Testing earnings management | |
| C706: C. Kuan, T. Lin | |
| Constructing general smooth tests based on the Karhunen-Loeve expansion |
| Session CS18 | Room: MAL B34 |
| Risk modelling for financial derivatives | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: Felix Chan | Organizer: Felix Chan |
| C257: M. Friedlander | |
| Numerical Weather Forecasting For Weather Derivatives | |
| C617: F. Ng, P. Yu | |
| Valuation and Risk Analysis of Accumulators with Mean Reversion | |
| C816: F. Bocart, C. Hafner | |
| Econometric analysis of volatile art markets | |
| C070: F. Chan, A. James | |
| Forecast combinations of risk under different forecast criteria |
| Session CS25 | Room: MAL B20 |
| Non-stationary time series | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: H. Peter Boswijk | Organizer: H. Peter Boswijk |
| C238: R. Taylor, G. Cavaliere, C. Trenkler | |
| Bootstrap co-integration rank testing: deterministic variables and initial values | |
| C402: J. Gonzalo, V. Berenguer-Rico | |
| Summability of stochastic processes: A generalization of integration and co-integration valid for non-linear processes | |
| C866: A. Rahbek, G. Cavaliere, R. Taylor | |
| Bootstrap sequential determination of the co-integration rank in VAR models | |
| C405: P. Boswijk, G. Cavaliere, A. Rahbek, R. Taylor | |
| Inference on parameters in cointegrated vector autoregressive models with non-stationary volatility |
| Session CS39 | Room: MAL B29 |
| Instrument selection | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: Jan F. Kiviet | Organizer: Jan F. Kiviet |
| C424: J. Dufour, F. Doko Tchatoka | |
| Exogeneity tests, weak identification and IV estimation | |
| C588: J. Niemczyk | |
| Evaluating the performance of tests of overidentifying restrictions | |
| C092: F. Doko Tchatoka, J. Dufour | |
| Wald-type tests for error-regressors covariances, partial exogeneity tests and partial IV estimation | |
| C173: M. Pleus, J. Kiviet | |
| The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation |
| Session CS63 | Room: MAL B30 |
| Independent component analysis | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: David Veredas | Organizer: David Veredas |
| C339: D. Paindaveine, P. Ilmonen, K. Nordhausen, H. Oja | |
| Rank-based inference in independent component models | |
| C496: Y. Dominicy, D. Veredas | |
| Estimation of multivariate stable processes with discrete spectral measure. | |
| C534: M. Barigozzi, L. Alessi | |
| Conditionally heteroskedastic dynamic factor models | |
| C733: E. Gonzalez-Prieto, A. Garcia-Ferrer, D. Pena | |
| A conditionally heteroskedastic independent factor model with an application to financial stock returns |
| Session CS68 | Room: MAL G16 |
| New developments on GARCH models I | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: Jean-Michel Zakoian | Organizer: Jean-Michel Zakoian |
| C203: G. Lepage, C. Francq, J. Zakoian | |
| Two-stage QML estimation of GARCH models and testing the efficiency | |
| C638: G. Sucarrat, A. Escribano | |
| The power log-GARCH model | |
| C192: F. Violante, C. Hafner, S. Laurent | |
| The diffusion limit of dynamic conditional correlation models | |
| C705: O. Wintenberger, J. Bardet, W. Knenge | |
| Detecting multiple change-points in GARCH models using penalized quasi-likelihood method |
| Session CS42 | Room: MAL B33 |
| Economic and financial forecasting II | Saturday 11.12.2010 11:10 - 12:50 |
| Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
| C557: R. Chen, J. Svec, M. Peat | |
| Modelling government bonds in the Australian fixed-income market | |
| C503: C. de Peretti, M. Cerrato, C. Siani | |
| An artificial neural network based heterogeneous panel unit root test: Application to exchange rates | |
| C495: T. Cesaroni, O. Ricchi, G. Bianchi | |
| Modelling and forecasting Italian state budget expenditures | |
| C232: A. Fuertes, K. Phylaktis, R. Brun-Aguerre | |
| Exchange rate pass-through revisited: what drives it. |
| Parallel session I: | Saturday 11.12.2010 | 15:15 - 16:55 |
| Session CS51 | Room: MAL B33 |
| Bayesian econometrics and applications II: Econometrics | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Toshiaki Watanabe | Organizer: Yasuhiro Omori |
| C770: O. Papaspiliopoulos, N. Chopin, P. Jacob | |
| Sequential detection of changes | |
| C237: G. Kobayashi, H. Kozumi | |
| Generalized multiple-point algorithms for approximate Bayesian computation | |
| C308: S. Grassi, T. Proietti | |
| Characterizing economic trends by Bayesian stochastic model specification search | |
| C601: T. Watanabe | |
| A new method for the evaluation of dynamic stochastic general equilibrium models |
| Session CS16 | Room: MAL B29 |
| Bayesian model averaging | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Gianni Amisano | Organizer: Monica Billio |
| C379: R. Casarin, M. Billio, F. Ravazzolo, H. van Dijk | |
| Combining predictive densities using a Bayesian nonlinear filtering approach | |
| C387: F. Ravazzolo, O. Eitrheim, S. Vahey | |
| Core inflation, model averaging and structural instability | |
| C820: G. Amisano, J. Geweke | |
| Optimal prediction pools in macroeconomics | |
| C522: R. Scheufele | |
| Model selection versus model averaging for forecasting economic time series |
| Session CS22 | Room: MAL B34 |
| Bayesian methods in macroeconomics and finance II | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Andrea Carriero | Organizer: Andrea Carriero |
| C826: H. Mumtaz, P. Liu | |
| Evolving macroeconomic dynamics in a small open economy | |
| C294: G. Koop | |
| Forecasting with medium and large Bayesian VARs | |
| C720: L. Melosi, C. Fuentes-Albero | |
| Methods for computing marginal data densities from the Gibbs output | |
| C885: A. Carriero, T. Clark, M. Marcellino | |
| QUEB-VARs: QUick and Easy Bayesian VARs |
| Session CS36 | Room: MAL 151 |
| Behavioural finance I | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Gulnur Muradoglu | Organizer: Gulnur Muradoglu |
| C250: R. Fairchild | |
| Venture capitalist/entrepreneur financial contracting and performance: the effects of positive and negative reciprocity | |
| C548: R. Hudson, J. Ashton, R. Anderson | |
| Decision avoidance and deposit interest rate setting | |
| C225: C. Morana, N. Cassola | |
| The 2007-? financial crisis: a money market perspective | |
| C863: P. Theodossiou | |
| Outliers, market portfolio risk and the estimation of betas and other risk measures for stocks |
| Session CS40 | Room: MAL B20 |
| Short panel data models | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Jan F. Kiviet | Organizer: Jan F. Kiviet |
| C316: T. Yamagata | |
| Bootstrap bias-correction in dynamic linear panel data models with predetermined regressors | |
| C483: G. Dhaene, M. Giahi | |
| Bias adjustment of the profile score for spatial dynamic panel models with fixed effects and small T | |
| C143: J. Kiviet, M. Bun | |
| Derivation and exploitation of the limiting distribution of the LSDV estimator in dynamic panel data models | |
| C451: J. van den Brakel, S. Krieg | |
| Dealing with discontinuities in series of the monthly Dutch labour force |
| Session CS66 | Room: MAL B30 |
| Dynamic factor modelling and forecasting | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Arvid Raknerud | Organizer: Peter Zadrozny |
| C198: D. Philip | |
| Estimation of factors for term structures with dependence clusters | |
| C593: P. Poncela, J. Rodriguez, J. Fuentes | |
| A comparison of sparse methods for factor forecasting | |
| C611: L. Alessi | |
| The real effects of financial shocks: evidence from a structural factor model | |
| C657: R. Brueggemann, J. Zeng | |
| Forecasting Euro-area macroeconomic variables using a factor model approach for backdating | |
| C860: A. Raknerud, O. Skare | |
| Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes: A quasi-likelihood approach |
| Session CS79 | Room: Senate Beveridge Hall |
| Numerical methods in quantitative finance | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Daniel Kuhn | Organizer: Daniel Kuhn, Berc Rustem, Nicos Christofides |
| C833: P. Vayanos, W. Wiesemann, D. Kuhn | |
| Hedging electricity swing options in incomplete markets | |
| C287: H. Xu, Y. Liu | |
| Stability and sensitivity analysis of stochastic programs with second order dominance constraints | |
| C535: M. Steinbach | |
| Parallel algorithms for multistage stochastic programs in finance | |
| C630: R. Hochreiter | |
| Multi-stage stochastic interest rate management |
| Session CP04 | Room: Senate Crush Hall |
| Posters IV | Saturday 11.12.2010 15:15 - 16:55 |
| Chair: Nicos Koussis | Organizer: CFE |
| C683: E. Gaygisiz, P. Ozbek | |
| Effects of economic crises after 1990 on the Turkish insurance sector | |
| C845: F. de Mello-Sampayo, S. de Sousa-Vale | |
| Health care expenditure and income in the European countries: Evidence from panel data | |
| C446: A. Yurko | |
| From consumer incomes to car ages: How the distribution of income affects the distribution of vehicle vintages | |
| C252: W. Panichkitkosolkul, S. Niwitpong | |
| Prediction intervals for the Gaussian autoregressive processes following the unit root tests | |
| C818: V. Kvedaras, D. Zuokas | |
| Measurement of market impact functions | |
| C865: P. Chirico | |
| Empirical evidences about hourly electricity prices in some European markets | |
| C898: S. Aboura | |
| Disentangling crashes from tail events | |
| C526: R. Fernandez Pascual, M. Ruiz Medina | |
| Wavelet-based functional confidence intervals for contaminated financial data |
| Parallel session J: | Saturday 11.12.2010 | 17:20 - 19:25 |
| Session CI96 | Room: Senate Beveridge Hall |
| Invited Session: Models for large multivariate systems | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Esther Ruiz | Organizer: Esther Ruiz |
| C348: D. Veredas, Y. Dominicy, H. Ogata | |
| Quantile-based inference for multivariate dynamic models | |
| C423: D. van Dijk, K. Bannouh, M. Martens, R. Oomen | |
| Realized mixed-frequency factor models for vast dimensional covariance estimation | |
| C670: S. Koopman, B. Jungbacker, M. van der Wel | |
| Smooth dynamic factor analysis with an application to U.S. term structure of interest rates |
| Session CS20 | Room: MAL 151 |
| Empirical modelling of financial markets | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Stephen Kessler | Organizer: Andrea Cipollini |
| C213: C. Castro | |
| Portfolio choice under local industry and country factors | |
| C126: B. Stove, K. Hufthammer, D. Tjostheim | |
| Asymmetries in financial returns: A local Gaussian correlation approach | |
| C204: S. Kessler, B. Scherer | |
| Hedge fund return sensitivity to global liquidity | |
| C124: D. Erdemlioglu, H. Dewachter, J. Gnabo, C. Lecourt | |
| High frequency jump-response of asset prices to FX announcements and oral interventions |
| Session CS26 | Room: MAL 355 |
| Financial modeling | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Jerry Coakley | Organizer: Jerry Coakley |
| C825: R. Yau | |
| Separating the effects of idiosyncratic volatility and skewness on expected returns | |
| C296: Y. Hu | |
| The volatility asymmetry risk and expected returns | |
| C781: N. Ahlgren, J. Antell | |
| Tests for abnormal returns under weak cross sectional dependence | |
| C680: B. Cheng, Z. Chen, J. Liu | |
| Chance-constrained financial index tracking models under GH distribution | |
| C695: H. Dang, G. Partington | |
| Rating migrations:The effect of history and time |
| Session CS88 | Room: MAL B29 |
| Contributions to computational econometrics | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Paolo Foschi | Organizer: CFE |
| C229: M. Creel, D. Kristensen | |
| Indirect likelihood inference | |
| C560: M. Scharth, S. Koopman, A. Lucas | |
| Fast, unbiased and efficient importance sampling for state space models | |
| C744: R. Ouysse | |
| Efficient estimation of high dimensional factor models under cross sectional dependence | |
| C867: S. Hadjiantoni, E. Kontoghiorghes | |
| Downdating the seemingly unrelated regressions model | |
| C215: A. Dionisio, C. Pires, L. Coelho | |
| Estimating utility functions - GME versus OLS |
| Session CS41 | Room: MAL B20 |
| Financial volatility estimation and forecasting II | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Francesco Audrino | Organizer: Francesco Audrino |
| C251: D. Louzis, S. Xanthopoulos, A. Refenes | |
| Heterogeneous asymmetries and persistence in the volatility of realized volatility | |
| C262: F. Corsi, R. Reno | |
| Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling | |
| C264: P. Santucci de Magistris, M. Caporin, E. Rossi | |
| Estimating conditional jumps in volatility using realized-range measures | |
| C501: J. Barunik, L. Vacha | |
| Wavelet-based realized variance estimator | |
| C279: M. Fengler, M. Vogt, E. Mammen | |
| Structural breaks in realized variance during the financial crisis |
| Session CS13 | Room: MAL G16 |
| Financial time series modelling and forecasting II | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Alessandra Amendola | Organizer: Alessandra Amendola |
| C790: A. Meldrum, M. Andreasen | |
| Likelihood inference in non-linear term structure models: The importance of the zero-lower bound | |
| C201: M. Lof | |
| Heterogeneity in stock pricing: A STAR model with multivariate transition functions | |
| C660: S. Giannerini, E. Maasoumi, E. Bee Dagum | |
| Entropy based tests for nonlinear dependence in time series | |
| C693: N. Sakkas, A. Hall | |
| Approximate p-values of certain tests involving hypotheses about multiple breaks. | |
| C834: J. Arroyo, G. Gonzalez-Rivera | |
| Interval autoregression: an application to volatility |
| Session CS81 | Room: MAL B30 |
| High frequency and seasonal data | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Ana Galvao | Organizer: CFE |
| C324: C. Chu, K. Lam | |
| Day-varying structure for modeling intraday periodicity | |
| C558: A. Hecq, S. Laurent | |
| Common intraday Periodicity | |
| C444: D. Lopez Asensio, J. Juan Ruiz, J. Carpio Huertas | |
| Common factor estimation of dynamic models with seasonality for predicting electricity prices | |
| C431: M. Modugno | |
| Nowcasting inflation using high frequency data | |
| C772: A. Galvao, M. Clements | |
| Vector autoregressive models of data vintages for US output growth and inflation |
| Session CS67 | Room: MAL B33 |
| Quantitative risk management II | Saturday 11.12.2010 17:20 - 19:25 |
| Chair: Kerstin Kehrle | Organizer: Marc Paolella |
| C147: J. Li | |
| An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options | |
| C206: A. Jakaitiene, A. Raudys, J. Katina | |
| Seasonal effects in liquidity of NYSE and NASDAQ stocks | |
| C390: A. Opschoor, M. van der Wel, D. van Dijk, N. Taylor | |
| The public and private information sources of volatility | |
| C554: E. Rossi, P. Santucci de Magistris | |
| Inference on long memory in volatility with noisy realized measures | |
| C094: K. Kehrle, F. Peter | |
| International price discovery in stock markets - A unique intensity based information share |
| Parallel session K: | Sunday 12.12.2010 | 09:00 - 10:40 |
| Session CS29 | Room: MAL 152 |
| Multivariate volatility models II | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin |
| C122: J. Pres, M. Caporin, H. Torro | |
| Model based monte carlo pricing of energy and temperature quanto options | |
| C848: D. Pierret, L. Bauwens, C. Hafner | |
| Multivariate volatility modelling of electricity futures | |
| C564: R. O'Neill, R. Becker, A. Clements | |
| A nonparametric technique for forecasting the variance-covariance matrix | |
| C455: G. Aielli, M. Caporin | |
| Variance clustering improved dynamic conditional correlation MGARCH estimators for vast dimensional systems |
| Session CS28 | Room: MAL B34 |
| Risk management | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Mike So | Organizer: Cathy Chen |
| C478: N. Liu | |
| The economic value of dynamic hedging strategies | |
| C748: K. Dahlen, A. Naess, P. Solibakke, S. Westgaard | |
| On the estimation of extreme values for risk assessment and management: The average conditional exceedance rate method | |
| C304: J. Balter, S. Kloessner | |
| Testing separately for positive and negative jumps | |
| C689: F. Laube, V. Terraza | |
| The hazard-adjusted portfolio: A new capital allocation scheme from an extreme-risk management perspective |
| Session CS33 | Room: MAL G16 |
| Bayesian financial econometrics and risk management | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Richard Gerlach | Organizer: Richard Gerlach |
| C302: C. Chen, R. Gerlach | |
| Nonlinear quantile autoregressive models with exogenous variables and heteroskedasticity | |
| C411: A. Panagiotelis | |
| Bayesian estimation of pair copula construction models with applications to financial data | |
| C448: J. Kwiatkowski | |
| Assessing the stability of conditional variance models for daily returns of the WIG index | |
| C888: K. Balakrishnan, G. Peters, B. Lascock, C. Mellen | |
| Model selection and adaptive MCMC for Bayesian cointegrated VAR models |
| Session CS47 | Room: MAL 151 |
| Behavioural finance II | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Gulnur Muradoglu | Organizer: Gulnur Muradoglu |
| C218: K. Vasileva, G. Muradoglu, M. Levis | |
| Herding in foreign direct investments | |
| C228: J. Balasuriya, G. Muradoglu, P. Ayton | |
| The rationality of financial optimism | |
| C553: U. Rigoni, M. Warglien | |
| Analogical transfer of experience and the misuse of diversification | |
| C694: B. Ozturkkal, A. Fuertes, G. Muradoglu | |
| Portfolio compositions of individual investors |
| Session CS55 | Room: MAL B33 |
| Robustness in complex models and time series | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Marco Riani | Organizer: Marco Riani |
| C159: K. Turkman | |
| Extremes of continuous-discrete time series | |
| C399: T. Bellini | |
| Integrated banking economic capital: The forward search approach | |
| C466: R. Romera, A. Grane | |
| Sensitivity and robustness in MDS configurations for mixed-type data with applications | |
| C887: I. Molina, B. Perez, D. Pena | |
| Robust fitting of a linear mixed model |
| Session CS59 | Room: MAL B30 |
| Large panel data models | Sunday 12.12.2010 09:25 - 10:40 |
| Chair: Lorenzo Trapani | Organizer: Lorenzo Trapani |
| C552: C. Castagnetti, E. Rossi, L. Trapani | |
| Two stage inference in heterogeneous panels | |
| C404: C. Gengenbach, J. Urbain | |
| Testing weak exogoneity in cointegrated panels | |
| C290: L. Trapani, E. Ipatova | |
| First-differenced non-stationary factors versus factors from first-differences |
| Session CS74 | Room: MAL B36 |
| Real-time modelling with mixed-frequency data | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Klaus Wohlrabe | Organizer: Peter Zadrozny |
| C211: V. Kuzin, B. Siliverstovs | |
| Spurious anti-persistence and mixed-frequency data | |
| C691: K. Wohlrabe | |
| Specification Issues for mixed-frequency MIDAS models | |
| C600: L. Pauwels, A. Vasnev | |
| Forecast combination in discrete choice models: predicting FOMC monetary policy decisions | |
| C270: F. Krueger, S. Knaus | |
| Macroeconomic indicators: A new way to aggregate expert forecasts using regression trees |
| Session CS76 | Room: MAL B35 |
| Identification and inference | Sunday 12.12.2010 09:00 - 10:40 |
| Chair: Lynda Khalaf | Organizer: Lynda Khalaf |
| C471: R. Luger | |
| Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations | |
| C529: J. Galbraith, D. Zhu | |
| Modelling financial data with the asymmetric generalized t-distribution | |
| C468: B. Antoine | |
| Inference on parameter ratios with applications to weak identification | |
| C732: N. Kourogenis | |
| Inference in autoregressive models around polynomial trends of unknown order, under non-stationary volatility |
| Parallel session L: | Sunday 12.12.2010 | 11:10 - 13:15 |
| Session CS17 | Room: MAL B34 |
| Dynamic panel modelling | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Michael Binder | Organizer: Michael Binder |
| C768: Y. Shin, V. Dang, M. Kim | |
| In search for a robust method for estimating dynamic panel data models of capital structure | |
| C823: M. Binder, S. Brock | |
| Likelihood based panel analysis of growth models | |
| C669: K. Assenmacher, D. Geissmann | |
| Forecasting Swiss Inflation and GDP with a small global VAR model | |
| C827: M. Buchmann, M. Binder | |
| Endogenous regime-switching in global vector autoregressions | |
| C354: K. Konstantaras, C. Siriopoulos | |
| Estimating financial distress likelihood: gaining additional insight via a dynamic nonlinear approach |
| Session CS84 | Room: MAL 151 |
| The econometrics of commodity and financial markets | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: David Ardia | Organizer: CFE |
| C184: V. Voudouris, D. Stasinopoulos, R. Rigby | |
| Simulated scenarios of conventional oil production | |
| C377: H. Kim | |
| Dynamic causal linkages between the east Asian economies and the US stock market | |
| C754: M. van der Wel, A. Menkveld, A. Sarkar | |
| Are market makers uninformed and passive? Signing Ttrades in the absence of quotes | |
| C133: F. Ferriani | |
| Informed and uninformed traders at work: evidence from the French market |
| Session CS38 | Room: MAL B30 |
| Modelling and forecasting financial markets | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Alena Audzeyeva | Organizer: Elena Kalotychou |
| C200: M. Doman, R. Doman | |
| Dynamic linkages between stock markets: the effects of crises and globalization | |
| C480: V. Alexeev, F. Tapon | |
| Robust risk-return analysis of international portfolios | |
| C175: W. Liu, A. Fuertes, E. Kalotychou | |
| Predicting the daily covariance matrix for market timing | |
| C624: G. Zhao, E. Kalotychou, S. Staikouras | |
| The Dynamics of Correlations in Asset Allocation | |
| C831: A. Antypas, P. Koundouri, N. Kourogenis | |
| Aggregational Gaussianity and barely infinite variance in crop prices |
| Session CS80 | Room: MAL G16 |
| Macroeconometric applications | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Ana-Maria Fuertes | Organizer: CFE |
| C156: R. Chumacero | |
| Lagoons and lakes: Macroeconomic effects of the Chilean pension reform | |
| C285: M. Luciani, M. Barigozzi, A. Conti | |
| Measuring Euro Area monetary policy transmission in a structural dynamic factor model | |
| C106: M. Fragetta | |
| A data oriented tool for identifying monetary policy SVARs | |
| C573: J. Lafuente, R. Perez, J. Ruiz | |
| Estimating persistent and transitory monetary shocks in a learning environment | |
| C646: P. Exterkate, P. Groenen, C. Heij | |
| Macroeconomic forecasting using kernel ridge regression |
| Session CS85 | Room: MAL 355 |
| Contributions to finance I | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Marc Paolella | Organizer: CFE |
| C217: M. Caldas, J. Amaro de Matos | |
| Endogenous dynamics of financial markets | |
| C305: S. Masry, M. Aloud, A. Dupuis, R. Olsen, E. Tsang | |
| High frequency FOREX market transaction data handling | |
| C519: N. Koussis, S. Martzoukos | |
| Investment options with debt financing and differential beliefs | |
| C594: L. Maciel, R. Ballini | |
| Option pricing using fuzzy and neuro-fuzzy inference systems | |
| C697: Y. Schueler, A. Alter | |
| On credit risk transfer between states and financial institutions before and after government interventions |
| Session CS72 | Room: MAL B36 |
| Empirical modelling of financial intermediaries | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Costanza Torricelli | Organizer: Andrea Cipollini |
| C142: S. Varotto | |
| Stress testing credit risk: The great depression scenario | |
| C875: P. Jakubik | |
| Stress testing Czech households | |
| C158: C. Torricelli, C. Pederzoli, G. Thoma | |
| Modelling credit risk for innovative firms: the role of innovation measures | |
| C183: M. Lopez, F. Tenjo, H. Zarate | |
| The risk-taking channel in Colombia |
| Session CS75 | Room: MAL B35 |
| Resource econometrics | Sunday 12.12.2010 11:10 - 13:15 |
| Chair: Lynda Khalaf | Organizer: Lynda Khalaf |
| C333: M. Gavin, L. Khalaf, J. Bernard, M. Voia | |
| The environmental Kuznets curve | |
| C435: N. Empora, T. Mamuneas, T. Stengos | |
| Air pollution, spillovers and U.S. state productivity | |
| C561: P. Richard | |
| Kernel-smoothed P-values | |
| C606: J. Kakeu | |
| Estimation of the Hotelling rule for oil and for coal under stochastic investment opportunities | |
| C730: A. Ghalanos, G. Urga, E. Rossi | |
| Independent factor autoregressive conditional density model |
| C641: J. Maheu, X. Jin | |
| Modelling realized covariances and returns | |
| C484: L. Cales, M. Billio, D. Guegan | |
| A machine learning approach to cross-section analysis and asset management | |
| C851: A. Clark | |
| Analyzing and forecasting volatility using wavelets and nonlinear time series analysis | |
| C372: H. Ding, K. Lam | |
| Semiparametrically estimate vector Multiplicative Error Model using empirical likelihood method |
| Parallel session N: | Sunday 12.12.2010 | 14:45 - 16:25 |
| Session CS24 | Room: MAL 152 |
| MCMC applications in finance | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Giovanni Barone-Adesi | Organizer: Giovanni Barone-Adesi and Antonietta Mira |
| C367: P. Dellaportas, L. Bottolo | |
| Improving ARMA-GARCH forecasting via partial exchangeability | |
| C650: L. Scaccia, R. Castellano | |
| Markov switching models and time series clustering applied to the CDS market | |
| C787: R. Solgi, A. Mira, D. Imparato | |
| Zero variance Markov chain Monte Carlo for Bayesian estimators | |
| C883: F. Papailias, G. Kapetanios | |
| Block bootstrap and long memory |
| Session CS27 | Room: MAL 151 |
| Multivariate volatility models I | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin |
| C096: M. Caporin, M. McAleer | |
| Ranking multivariate GARCH models by problem dimension | |
| C234: P. Janus | |
| Modeling long memory in conditional variance and dependence through dynamic bivariate t copula | |
| C714: C. Amado, T. Terasvirta | |
| Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations | |
| C516: B. Gribisch, R. Liesenfeld, V. Golosnoy | |
| The conditional autoregressive wishart model for multivariate stock market volatility |
| Session CS32 | Room: MAL B35 |
| Economic and financial forecasting I | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
| C181: N. Sizova | |
| Long-horizon return regressions with historical volatility | |
| C371: A. Audzeyeva, B. Summers, K. Schenk-Hoppe | |
| Forecasting customer behaviour in a multi-service financial organisation: A profitability perspective | |
| C131: E. Konstantinidi, G. Papazian, G. Skiadopoulos | |
| Modeling the dynamics of temperature with a view to weather derivatives | |
| C890: A. Kourtis, R. Markellos, G. Dotsis | |
| Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix |
| Session CS46 | Room: MAL B36 |
| Financial market and macro dynamics | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| C609: W. Semmler, S. Mittnik | |
| The instability of the banking sector and macrodynamics: Theory and empirics | |
| C859: J. Halvorsen, D. Jacobsen | |
| Are bank lending shocks important for economic fluctuations? | |
| C655: M. Gallegati, J. Ramsey, W. Semmler | |
| Forecasting output using interest rate spreads: exploratory analysis using wavelets | |
| C734: M. Samancioglu, E. Gaygisiz | |
| Business cycle synchronization and volatility transmission: The real-financial sector nexus |
| Session CS69 | Room: MAL G16 |
| New developments on GARCH models II | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Dimitra Kyriakopoulou | Organizer: Jean-Michel Zakoian |
| C620: P. Charlot | |
| A dynamic conditional correlation model with factorial hidden Markov representation | |
| C344: A. Dufays, L. Bauwens | |
| Comparison of Markov switching GARCH modellings | |
| C190: H. Han | |
| Asymptotic properties of GARCH-X processes | |
| C300: D. Kyriakopoulou, A. Demos | |
| Asymptotic expansions of the QMLEs in the EGARCH(1,1) model |
| Session CS71 | Room: MAL B30 |
| Econometrics of electricity markets | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Luigi Grossi | Organizer: Luigi Grossi |
| C233: A. Veraart, O. Barndorff-Nielsen, F. Benth | |
| Modelling electricity forward markets by ambit fields | |
| C437: D. Chen, D. Bunn | |
| Nonlinear specifications and forecasting of daily electricity prices | |
| C454: M. Pelagatti, L. Crosato | |
| Forecasting the residual demand function in electricity auctions | |
| C574: L. Grossi, A. Gianfreda | |
| Forecasting zonal and national volatility structures of the Italian electricity wholesale market |
| Session CS61 | Room: MAL B33 |
| Bayesian econometrics and applications III | Sunday 12.12.2010 14:45 - 16:25 |
| Chair: Teruo Nakatsuma | Organizer: Yasuhiro Omori |
| C306: T. Nakatsuma | |
| Bayesian risk assessment with threshold mixture extreme value models | |
| C202: J. Nakajima, T. Kunihama, Y. Omori, S. Fruhwirth-Schnatter | |
| Generalized extreme value distribution with time-dependence using the AR and MA models in state space form | |
| C189: E. Delatola, J. Griffin | |
| Bayesian Semiparametric Modelling of Volatility | |
| C513: M. Ausin, P. Galeano, P. Ghosh | |
| A Semiparametric Bayesian approach to the analysis of volatilities and value at risk in financial time series |
| Parallel session P: | Sunday 12.12.2010 | 17:20 - 19:00 |
| Session CS90 | Room: MAL 151 |
| Empirical validation of Agent-Based models | Sunday 12.12.2010 17:20 - 19:00 |
| Chair: Moritz Mueller | Organizer: Thomas Lux |
| C307: M. Mueller, M. Konig, C. Pich, S. von Proff | |
| Growing networks of inventors: Time trends of local and global partner search strategies |
| Session CS83 | Room: MAL B36 |
| Model selection and Bayesian econometrics | Sunday 12.12.2010 17:20 - 19:00 |
| Chair: Alessandra Amendola | Organizer: CFE |
| C808: M. Restaino, A. Amendola, L. Sensini | |
| Variable selection in industry sector bankruptcy prediction | |
| C569: L. Gatarek, H. van Dijk, L. Hoogerheide | |
| A simulation-based Bayes' procedure for robust prediction of trading strategies | |
| C525: G. Kastner, S. Fruhwirth-Schnatter | |
| Efficient Bayesian inference for stochastic volatility models | |
| C245: O. Asemota, S. Chikayoshi | |
| Kalman filter and structural change: An application to time-varying import and export models |
| Session CS89 | Room: MAL B30 |
| Contributions to financial econometrics | Sunday 12.12.2010 17:20 - 19:00 |
| Chair: Christos Savva | Organizer: CFE |
| C384: N. Bailey, G. Kapetanios | |
| A summary statistic for cross-sectional dependence in large datasets | |
| C457: B. Koo | |
| Locally stationary diffusion processes with structural breaks | |
| C235: Y. Liao, H. Anderson | |
| Testing for co-jumps in a panel of high frequency financial data: an extreme-value based approach | |
| C869: A. Atak | |
| A factor approach to realized volatility and market microstructure noise |
| Session CS86 | Room: MAL B29 |
| Contributions to finance II | Sunday 12.12.2010 17:20 - 19:00 |
| Chair: Jochen Krause | Organizer: CFE |
| C745: H. Suenaga | |
| Measuring misspecification bias in term structure models of commodity prices | |
| C509: R. Chappe, W. Semmler | |
| The operation of hedge funds and regulatory reforms | |
| C361: A. Sanayei, F. Rahnamay Roodposhti, T. Torabi | |
| Financial crisis and chaos control | |
| C726: D. Ulu | |
| Exchange rate exposure of UK nonfinancial companies : a quantile regression approach |
