PROGRAMME CFE 2011
KEYNOTE TALKS
PARALLEL SESSIONS
| Parallel session C: | Saturday 17.12.2011 | 10:25 - 12:30 |
| Session CSI01 | Room: Woburn |
| Time series econometrics | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Andrew Harvey |
Organizer: CFE 2011 |
| C493: S. Pollock, E. Mise | |
| Alternative methods of seasonal adjustment | |
| C175: E. Ruiz, P. Poncela | |
| On the issue of how many variables to use when estimating common factors using the Kalman filter | |
| C787: T. Proietti, A. Luati | |
| Exponential models for the spectrum of a time series |
| Session CS08 | Room: Torrington |
| Energy markets, climate change and weather derivatives | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: M. Dolores Furio |
Organizer: Massimiliano Caporin |
| C457: M. Herve-Mignucci, B. Buchner, V. Micale | |
| Allocating allowances for free in emissions markets: Implications for new industrial installations | |
| C436: D. Rittler | |
| The link between the carbon market and the stock market: A policy evaluation of the EU-ETS | |
| C907: M. Eichler, D. Turk | |
| Forecasting spike occurrences in electricity spot prices | |
| C902: V. Mendes, D. Aldea Mendes | |
| Characterization and prediction of the electricity demand in the Iberian peninsula by using nonlinear time series analysis | |
| C840: M. Renault, J. Froger, I. Parent, V. Dordonnat | |
| Error correction models for electricity future prices in Europe |
| Session CS12 | Room: Senate |
| Bayesian nonlinear econometrics | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Roberto Casarin |
Organizer: Roberto Casarin |
| C214: F. Ravazzolo, M. Billio, R. Casarin, H. van Dijk | |
| Aggregating forecast probabilities for turning point detection | |
| C233: D. Bianchi, C. Carvalho, R. Wessels | |
| Extending Black-Litterman: views and covariance uncertainty | |
| C344: L. Dalla Valle, R. Casarin, F. Leisen | |
| Model selection for beta autoregressive processes | |
| C513: G. Amisano, G. Fagan | |
| Money growth and inflation: a regime switching approach |
| Session CS17 | Room: Bedford |
| Forecasting financial markets | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Ana-Maria Fuertes |
Organizer: Ana-Maria Fuertes |
| C050: M. Sanso-Navarro, J. Olmo | |
| A nonparametric analysis of predictive hedge fund performance using stochastic dominance tests | |
| C051: E. Salvador, V. Arago | |
| Measuring the hedging effectiveness of European index futures contracts | |
| C283: K. Sirichand, S. Hall, K. Lee | |
| The economic value of stock and interest rate predictability in the UK | |
| C304: S. Plastira, E. Panopoulou | |
| Fama French factors and US stock return predictability | |
| C959: C. Baum, P. Zerilli | |
| The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads |
| Session CS32 | Room: S264 |
| Behavioural finance | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Robert Hudson |
Organizer: Gulnur Muradoglu |
| C035: R. Fairchild | |
| From behavioural to emotional corporate finance: a new research direction | |
| C038: R. Hudson, J. Ashton | |
| The price, quality and distribution of mortgage payment protection insurance: A hedonic pricing approach | |
| C669: K. Vasileva, G. Muradoglu, M. Levis | |
| Probability of attracting FDI flows | |
| C693: J. Balasuriya, G. Muradoglu, P. Ayton | |
| Optimism and portfolio choice | |
| C870: M. Iannino | |
| Price impact of stock splits and dispersion of beliefs |
| Session CS34 | Room: Jessel |
| Quantitative risk management I | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Simon Broda |
Organizer: Marc Paolella |
| C235: M. Putintseva, S. Anatolyev | |
| A decisionmetrics approach to portfolio allocation | |
| C406: P. Polak, M. Paolella | |
| MARC-MARS: Modeling asset returns via conditional multivariate asymmetric regime-switching | |
| C303: J. Krause, M. Paolella | |
| Augmented likelihood estimation for mixture models | |
| C400: K. Kehrle | |
| Trading activity and public news arrival | |
| C285: S. Broda | |
| Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors |
| Session CS52 | Room: Bloomsbury |
| Vast dimensional financial econometrics | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: David Veredas |
Organizer: David Veredas |
| C061: M. Barigozzi, G. Motta | |
| Common volatility in evolutionary panels | |
| C080: M. Luciani, D. Veredas | |
| Modeling vast panels of volatilities with long-memory dynamic factor models | |
| C253: L. Ricci, D. Veredas | |
| TailCor: A new measure of tail correlation for vast dimensional panels of asset returns | |
| C515: J. Barunik, L. Vacha | |
| Wavelet-based realized covariation theory | |
| C771: H. Manner, A. Carlos, C. Claudia | |
| Modelling high dimensional time-varying dependence using D-vine SCAR models |
| Session CS68 | Room: Court |
| Recent advances in bond pricing | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Florian Ielpo |
Organizer: Fulvio Pegoraro |
| C027: J. Renne, A. Monfort | |
| Credit and liquidity risks in euro-area sovereign yield curves | |
| C037: J. Fontaine | |
| Fed funds futures and the federal reserve | |
| C081: S. Dubecq, C. Gourieroux | |
| An analysis of ultra long term yields | |
| C039: V. Borgy, T. Laubach, J. Mesonnier, J. Renne | |
| Fiscal policy, default risk and euro area sovereign bond spreads | |
| C153: F. Ielpo | |
| Forward rates, monetary policy and the economic cycle |
| Session CS56 | Room: Gordon |
| Computational methods in applied econometrics | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Christopher F. Parmeter |
Organizer: CFE 2011 |
| C082: O. Zhylyevskyy, S. Khovansky | |
| Cross-sectional GMM estimation under a common data shock | |
| C760: E. Dugundji, L. Gulyas | |
| Sociodynamic discrete choice on spatial networks: Role of utility parameters and connectivity in emergent outcomes | |
| C714: I. Savin | |
| A comparative study of the Lasso-type and heuristic model selection methods | |
| C456: M. Packalen | |
| Identification and estimation of social interactions through variation in equilibrium influence | |
| C187: C. Parmeter, D. Henderson, C. Papageorgiou | |
| Who benefits from financial development: new methods, new evidence |
| Session CP02 | Room: Chancellor's |
| Poster session II | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Christodoulos Louca |
Organizer: CFE 2011 |
| C634: J. Carkovs | |
| Mean square analysis of delayed geometric Brownian motion | |
| C631: M. Chadwick | |
| Performance of Bayesian dynamic latent factor model in measuring pricing errors and forecasting returns | |
| C698: K. Sadurskis, M. Buikis, J. Carkovs | |
| On price stochastic equilibrium of adaptive single-component market | |
| C719: B. Guan, G. Li, W. Li | |
| Modelling and testing threshold moving-average processes | |
| C899: D. Aldea Mendes, V. Mendes | |
| A nonlinear factor analysis for large sets of macroeconomic time series | |
| C855: M. Avarucci, E. Beutner, P. Zaffaroni | |
| On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models | |
| C923: N. Kajiji, G. Dash | |
| Statistical methods to measure the efficiency of alternative multifactor single index portfolios | |
| C637: P. Jablonsky | |
| Testing the expectations hypothesis of the Czech term structure of interest rates |
| Session CS95 | Room: S261 |
| Financial econometrics I | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Kameliya Filipova |
Organizer: CFE 2011 |
| C805: A. Demos, S. Anyfantaki | |
| Estimation of an EGARCH(1,1)-AR(1)-M model | |
| C717: J. Fernandez-Macho | |
| Stochastic surface models for commodity futures: A 2D Kalman filter approach | |
| C773: L. Alessi, L. Onorante | |
| Assessing shocks to inflation expectations in a data rich environment | |
| C487: H. Asgharian, W. Hess, L. Liu | |
| A spatial analysis of international stock market linkages | |
| C707: K. Filipova | |
| Yield curve predictability, regimes, and macroeconomic information: An asset pricing approach |
| Session CP01 | Room: Chancellor's |
| Posters session I | Saturday 17.12.2011 10:25 - 12:30 |
| Chair: Christodoulos Louca |
Organizer: CFE 2011 |
| C490: A. Dong, G. Peters, M. Wuthrich, J. Chan | |
| Adaptive MCMC for non-life insurance reserving via paid-incurred claims models | |
| C423: J. Acedanski | |
| Asset pricing in DSGE models - comparison of different approximation methods | |
| C518: M. Ciemny, L. Jakaite, V. Schetinin | |
| Study of the informational efficiency of Warsaw stock exchange during 2007-2009 with machine learning | |
| C558: E. Ramalho, J. Ramalho | |
| On the estimation of exponential regression models: an integrated GMM approach | |
| C567: J. Ramalho, E. Ramalho | |
| Hedonic functions, hedonic methods, estimation methods and Dutot and Jevons house price indexes | |
| C597: M. Ansari, M. Haghighi, M. Zowghi | |
| Customers' satisfaction measurement via a flexible fuzzy clustering | |
| C839: J. Ortega, J. del Castillo | |
| Hedging of discrete time auto-regressive stochastic volatility options | |
| C850: V. Chatzikonstanti, I. Venetis | |
| Log-range based detection of volatility mean breaks | |
| C910: J. Urbina, N. Aslanidis, O. Martinez | |
| Measuring spillovers: An application to the stock markets | |
| C964: E. Mamatzakis | |
| Revealing market's animal spirits of the Euro-area sovereign debt crisis using a generalised loss function: The role of fiscal rules and fiscal institutions. |
| Parallel session E: | Saturday 17.12.2011 | 14:00 - 16:05 |
| Session CSI03 | Room: Beveridge |
| Recent developments in econometrics | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Stefan Mittnik |
Organizer: CFE 2011 |
| C564: M. Guidolin, A. Bernales | |
| Forecasting the implied volatility surface dynamics for CBOE equity options: Predictability and economic value tests | |
| C729: R. Baillie, G. Kapetanios | |
| Estimation and inference for impulse response weights from strongly persistent processes | |
| C960: H. van Dijk, P. de Knijff, L. Hoogerheide, K. van Dijk | |
| Simulation-based predictive analysis for 3 key 21-st century issues |
| Session CS04 | Room: Senate |
| Applied financial econometrics | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Christopher Baum |
Organizer: Christopher Baum |
| C132: M. Normandin, M. Bouaddi, D. Larocque | |
| Equity premia and state-dependent risks | |
| C142: F. Penaranda, E. Sentana | |
| A unifying approach to the empirical evaluation of asset pricing models | |
| C627: M. Omer, J. de Haan, B. Scholtens | |
| Testing uncovered interest rate parity using libor | |
| C471: A. Merika, A. Merikas | |
| Fitting an unobserved components model to the VLCC tanker sector | |
| C800: C. Lonnbark | |
| Quantifying the estimation error in market risk measures: Delta method vs. re-sampling techniques |
| Session CS11 | Room: Woburn |
| Modelling with heavy tails: computational issues | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Wojtek Charemza |
Organizer: Wojtek Charemza |
| C098: J. Nolan | |
| Computational problems for multivariate stable laws | |
| C230: M. Meerschaert | |
| Modeling and simulation with tempered stable laws | |
| C295: M. de Innocentis, S. Boyarchenko, S. Levendorskii | |
| Fast calculation of PDFs of multi-factor Levy processes with exponentially decaying tails | |
| C378: S. Makarova, W. Charemza, C. Francq, J. Zakoian | |
| Heavy tailed time series: estimation and numerical issues for dependent observations | |
| C777: C. Lau, C. Gabriel | |
| On the distribution of European sovereign bond returns: Empirical evidence |
| Session CS19 | Room: Court |
| Long term risks | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Dominique Guegan |
Organizer: Dominique Guegan |
| C762: W. Tarrant | |
| Historical risk measures as predictors on several markets | |
| C514: G. Rahoui , D. Guegan, B. Hassani | |
| Coherent risk measure in the long run, an operational risk application | |
| C512: B. Hassani, D. Guegan, G. Rahoui | |
| Operational risk: a long-term modeling | |
| C511: F. Jouad, D. Guegan | |
| Market risk aggregation using pair-copulas | |
| C313: D. Guegan, X. Zhao | |
| Alternative modeling for long term VaR |
| Session CS37 | Room: Bloomsbury |
| Trends, waves, seasons, cycles and signals | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Stephen Pollock |
Organizer: Stephen Pollock |
| C280: R. Chou, N. Huang, D. Li | |
| Time-varying trend of financial volatilities and its correlation with macroeconomic variables | |
| C311: E. Infante, D. Buono | |
| New innovative 3-way Anova a-priori test for direct vs. indirect approach in seasonal adjustment | |
| C663: A. Zhigljavsky | |
| Singular spectrum analysis for separating trends from seasons and cycles | |
| C854: R. Gatto, G. Mazzi | |
| Short time series and seasonal adjustment | |
| C837: F. Moauro, T. Proietti | |
| SUTSE models and multivariate seasonal adjustment |
| Session CS39 | Room: Jessel |
| Real-time density forecasting | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo |
| C192: R. Casarin | |
| Combinations for turning point forecasts | |
| C201: C. Kascha, F. Ravazzolo | |
| Testing for equal conditional predictive ability of real-time density forecast methods | |
| C326: A. Monticini, F. Ravazzolo | |
| Boostrapping forecast densities | |
| C418: K. Aastveit, K. Gerdrup, A. Jore, L. Thorsrud | |
| Nowcasting GDP in real-time: A density combination approach | |
| C542: L. Onorante, D. Giannone, M. Lenza, D. Momferatou | |
| Short-Term inflation projections: A Bayesian vector autoregressive approach |
| Session CS54 | Room: Torrington |
| Topics in time series and panel data econometrics | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| C506: I. Masten, A. Banerjee, M. Marcellino | |
| Factor-augmented error-correction model: Structural analysis and forecasting | |
| C277: R. Kunst, M. Costantini, U. Gunter | |
| Forecast combination based on multiple encompassing tests in a macroeconomic DSGE-VAR system | |
| C526: J. Mutl, L. Soegner | |
| Correlation of implied default risk | |
| C248: M. Wagner, T. Vogelsang | |
| A fixed-b perspective on the Phillips-Perron tests |
| Session CS93 | Room: S264 |
| Econometric modelling and applications I | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Giuseppe Storti |
Organizer: CFE 2011 |
| C623: B. de Bruijn, P. Franses | |
| Analyzing managers' sales forecasts | |
| C656: C. Morana | |
| Factor vector autoregressive estimation of heteroskedastic persistent and non persistent processes subject to structural breaks | |
| C889: R. Ruggeri Cannata, G. Mazzi, F. Moauro | |
| Recent advances of econometrics tools for policy analysis at Eurostat | |
| C806: S. Arvanitis, A. Demos | |
| A new class of indirect estimators and bias correction | |
| C832: I. Negri, Y. Nishiyama | |
| Test for change in the parameters of a diffusion process based on a discrete time sample |
| Session CS25 | Room: Gordon |
| Contributions to high frequency data modeling | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Massimiliano Caporin |
Organizer: CFE 2011 |
| C336: P. Paiardini, D. Karyampas | |
| Probability of informed trading and volatility for an ETF | |
| C708: B. Bedowska-Sojka | |
| Macroeconomic news effects on the stock markets | |
| C716: D. Erdemlioglu, S. Laurent, C. Neely | |
| Intraday periodicity and intraday Levy-type jump detection | |
| C746: L. Vacha, J. Barunik, M. Vosvrda | |
| Wavelet decomposition of stock market correlation using high-frequency data | |
| C920: D. Dobrev, T. Andersen, E. Schaumburg | |
| A functional filtering and neighborhood truncation approach to integrated quarticity estimation |
| Session CS15 | Room: S261 |
| Contributions in modelling and forecasting financial risk | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Michele La Rocca |
Organizer: CFE 2011 |
| C232: J. Balter | |
| Forecasting volatility and jumps based on OHLC-data | |
| C585: C. Wu, W. Chen | |
| Conditional heteroskedasticity and dependence structure in crude oil and US dollar markets | |
| C621: H. Holzmann, M. Eulert | |
| The role of the information set for forecasting - with applications to risk management | |
| C677: E. Brechmann, C. Czado | |
| Financial risk management using high-dimensional vine copulas | |
| C822: R. Schuessler | |
| Optimal superposition policies for futures investments |
| Session CS16 | Room: Bedford |
| Quantitative risk management II | Saturday 17.12.2011 14:00 - 16:05 |
| Chair: Simon Broda |
Organizer: Marc Paolella |
| C459: D. Phamhi | |
| A new time-based quantitative model for risk management | |
| C685: M. Kukuk, V. Bayer | |
| Operational risk modelling: The impact of the Peaks-over-Threshold approach on risk measures | |
| C826: S. Figini, L. Cutillo, A. Carissimo | |
| Outliers detection in credit risk multivariate data via rank aggregation | |
| C429: S. Steude, K. Kehrle, M. Paolella | |
| Realized news impact curves | |
| C421: S. Dumitrescu, M. Acatrinei, P. Caraiani, R. Lupu | |
| Model averaging for risk management in European stock markets |
| Parallel session F: | Saturday 17.12.2011 | 16:35 - 18:40 |
| Session CS97 | Room: B18 |
| Financial econometrics III | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Willi Semmler |
Organizer: CFE 2011 |
| C025: N. Ben David | |
| Predicting housing prices according to expected future interest rate | |
| C640: D. Buncic | |
| Some issues with exponential STAR models for the modelling of exchange rate regimes | |
| C670: M. Oztek, N. Ocal | |
| The origins of increasing trend in correlations among European stock markets: Evidence from smooth transition conditional correlation approach | |
| C930: A. Momparler, F. Climent | |
| The impact of scale effects on the prevailing Internet-based banking model in the US | |
| C952: F. Fei, A. Fuertes, E. Kalotychou | |
| Modelling dynamic dependencies between CDS and the equity market with regime switching copulas |
| Session CS26 | Room: B34 |
| Bayesian empirical macroeconomics | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Gary Koop |
Organizer: Gary Koop |
| C058: Y. Song, J. Maheu | |
| An efficient approach to estimate and forecast in the presence of an unknown number of change-points | |
| C883: J. Halvorsen, M. Zdenek | |
| Exchange rate risk premium, monetary policy and new Keynesian models | |
| C348: D. Korobilis, J. Chan | |
| Bayesian financial conditions indexes | |
| C413: L. Bencivelli, M. Marcellino, G. Moretti | |
| Selecting predictors by Bayesian model averaging in bridge models | |
| C259: G. Koop, M. Belmonte, D. Korobilis | |
| Hierarchical shrinkage in time-varying parameter models |
| Session CS28 | Room: B35 |
| Probabilistic forecasting | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Gael M. Martin |
Organizer: Gael M. Martin |
| C243: J. Geweke, G. Durham | |
| Improving asset price prediction when all models are false | |
| C105: T. Gneiting, R. Ranjan | |
| Combining predictive distributions | |
| C251: K. Wallis, G. Boero, J. Smith | |
| Properties of professional forecasters' probability forecasts | |
| C757: M. Furio, F. Climent | |
| Extreme value theory versus traditional GARCH approaches applied to financial data: A comparative evaluation | |
| C094: G. Martin, J. Ng, C. Forbes, B. McCabe | |
| Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models |
| Session CS35 | Room: B36 |
| Modeling and inference on asset price bubbles | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Ivan Paya |
Organizer: Ivan Paya |
| C675: T. Engsted, B. Nielsen | |
| Rational bubbles in US stock prices: A co-explosive vector autoregressive approach | |
| C284: T. Jang, T. Lux | |
| Identification of social interaction effects in financial data: inference of herd behavior via Monte Carlo simulations | |
| C553: J. Bialkowski, M. Bohl, P. Stephan , T. Wisniewski | |
| A possible speculative bubble in the price of gold | |
| C275: I. Paya, E. Pavlidis, D. Peel | |
| Testing for asset price bubbles: the role of fat tails and endogeneity |
| Session CS40 | Room: B33 |
| Dynamic modelling of realized covariance matrices | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Giuseppe Storti |
Organizer: Giuseppe Storti |
| C095: B. Gribisch, V. Golosnoy, R. Liesenfeld | |
| Measuring volatility transmission between the US and German stock markets | |
| C145: F. Corsi, F. Audrino, S. Peluso | |
| A Kalman filter with EM approach for multivariate realized covariance estimation | |
| C177: R. Halbleib, V. Voev | |
| Forecasting covariance matrices: A mixed frequency approach | |
| C954: K. Sheppard, N. Shephard, A. Lunde | |
| Econometric analysis of vast covariance matrices using composite realized kernels | |
| C171: G. Storti, L. Bauwens | |
| CAW-DCC: A dynamic model for vast realized covariance matrices |
| Session CS55 | Room: G16 |
| Contributions in financial market and the macroeconomy | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Ana-Maria Fuertes |
Organizer: CFE 2011 |
| C042: A. Waters, J. Chadha | |
| Quantitative easing and bond yields: results from a macro-finance yield curve | |
| C647: B. Erdogan, K. Bernoth | |
| Sovereign bond yield spreads: A time-varying coefficient approach | |
| C699: C. Mueller-Kademann | |
| Volatility at very high frequencies: New estimates, new interpretations | |
| C871: P. Keblowski, A. Welfe | |
| A risk-driven approach to exchange-rate modelling | |
| C816: T. Katzschner, R. Jung | |
| Regulatory impact on price discovery in fragmented markets: the case of short selling constraints |
| Session CS76 | Room: B20 |
| Contributions in time series econometrics I | Saturday 17.12.2011 16:35 - 18:40 |
| Chair: Alessandra Amendola |
Organizer: CFE 2011 |
| C620: P. Catani, N. Ahlgren | |
| Wild bootstrap tests for autocorrelation in vector autoregressive models | |
| C469: H. Karlsen | |
| Unit root Markov models | |
| C732: T. Pantelidis, E. Panopoulou | |
| The Fisher effect in the presence of time-varying coefficients | |
| C799: J. Afonso Rodriguez | |
| On testing for a bilinear unit root in financial time series | |
| C788: S. Liu, E. Maharaj | |
| Polarization of forecast densities: A new approach to time series classification |
| Parallel session I: | Sunday 18.12.2011 | 11:05 - 12:45 |
| Session CSI02 | Room: Beveridge |
| Bayesian econometrics | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Gary Koop |
Organizer: CFE 2011 |
| C219: S. Fruehwirth-Schnatter | |
| Bayesian regularization in latent variable models through shrinkage priors | |
| C227: M. Steel, E. Ley | |
| Mixtures of $g-$priors for Bayesian model averaging with economic applications | |
| C427: J. Geweke | |
| Massively parallel posterior simulation for Bayesian inference |
| Session CS03 | Room: B34 |
| Large swings in macroeconomic time series | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Evi Pappa |
Organizer: Stephane Auray |
| C040: D. Giannone, M. Lenza, G. Primicer | |
| Prior selection for vector autoregressions | |
| C062: M. Paustian, A. Barnett | |
| Do sticky information models match survey data of inflation expectations? | |
| C074: S. Auray, A. Eyquem, F. Jouneau-Sion | |
| Riots, battles and cycles | |
| C024: E. Pappa, M. Bruckner | |
| For an olive wreath: Olympic Games and anticipation effects in macroeconomics |
| Session CS14 | Room: B33 |
| Empirical modelling of financial fragility | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Andrea Cipolini |
Organizer: Andrea Cipolini |
| C031: N. Aslanidis, C. Christiansen | |
| Quantiles of the realized stock-bond correlation | |
| C129: I. lo Cascio | |
| Wavelet analysis of financial contagion | |
| C128: S. Muzzioli | |
| Variance swaps, corridor variance swaps and the variance risk premium: evidence from the Italian market | |
| C396: A. Cipollini, I. lo Cascio | |
| Wavelet analysis of asset price misalignments |
| Session CS45 | Room: G16 |
| Univariate and multivariate volatility models | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Christos Savva |
Organizer: Christos Savva |
| C052: O. Martinez, N. Aslanidis | |
| A multiple threshold conditional correlation GARCH model | |
| C093: N. Pavlidis, E. Pavlidis | |
| Dynamic GARCH models | |
| C102: N. Koch | |
| Co-movements between carbon, energy and financial markets: A multivariate GARCH approach | |
| C414: C. Savva, P. Theodossiou | |
| Skewness and the relationship between risk and return |
| Session CS46 | Room: B35 |
| Financial market and the macroeconomy | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| C384: M. Gallegati, J. Ramsey | |
| On the forward-looking content of equity and bond markets for aggregate investments: a wavelet analysis | |
| C813: E. Ernst | |
| Employment projections with a matching-model Phillips curve | |
| C544: H. Dewachter, L. Iania, M. Lyrio | |
| Information in the yield curve: A macro-finance approach | |
| C541: W. Semmler, S. Mittnik | |
| Estimating a banking - macro model for the EU using a multi-regime VAR |
| Session CS53 | Room: B36 |
| Bayesian methods in econometric and financial applications | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Ioannis Vrontos |
Organizer: Ioannis Vrontos |
| C606: L. Meligkotsidou, E. Panopoulou, I. Vrontos, S. Vrontos | |
| A quantile regression approach to out-of sample equity premium prediction in the presence of model uncertainty | |
| C625: S. Vrontos, J. Vrontos, L. Meligkotsidou | |
| Performance evaluation of pension funds: The impact of non-normality and time-varying volatility | |
| C644: D. Giannikis, L. Meligkotsidou , I. Vrontos | |
| Multivariate regressions: An alternative modelling approach | |
| C908: I. Vrontos, L. Meligkotsidou, E. Tzavalis | |
| Bayesian analysis of autoregressive models with multiple structural breaks |
| Session CS61 | Room: B18 |
| Long memory time series models | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Anne Philippe |
Organizer: Anne Philippe |
| C472: F. Lavancier, R. Leipus, A. Philippe, D. Surgailis | |
| Detection of non constant long-memory parameter | |
| C561: L. Giraitis, K. Abadir, W. Distaso | |
| Seasonal modeling by SARFIMA and near unit root models | |
| C085: J. Arteche | |
| Semiparametric estimation of the volatility in long memory in stochastic volatility models | |
| C682: A. Rackauskas | |
| Linear processes with space varying memory |
| Session CS64 | Room: B20 |
| Efficient MCMC algorithms for Bayesian financial econometric models | Sunday 18.12.2011 11:05 - 12:45 |
| Chair: Nicolas Chopin | Organizer: Antonietta Mira |
| C500: S. Peluso, F. Corsi, A. Mira | |
| A Bayesian estimator of the multivariate covariance of noisy and asynchronous returns | |
| C624: G. Kastner, S. Fruehwirth-Schnatter | |
| Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models | |
| C903: N. Chopin, P. Jacob, O. Papaspiliopoulos | |
| $SMC^2$: A sequential Monte Carlo algorithm with particle Markov chain Monte Carlo updates |
| Parallel session J: | Sunday 18.12.2011 | 14:15 - 16:20 |
| Session CS07 | Room: B33 |
| Advances in computational methods for DSGE models | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Filippo Ferroni |
Organizer: Fabio Canova |
| C026: C. Matthes, T. Cogley, A. Sbordone | |
| Optimal disinflation under learning | |
| C087: F. Ferroni, C. Cantore, M. Leon-Ledesma | |
| Interpreting the hours-technology time varying relationship | |
| C111: E. Castelnuovo, G. Ascari , N. Branzoli | |
| Trend inflation, wage indexation and determinacy in the U.S. | |
| C130: A. Ormeno | |
| Using survey data on inflation expectations in the estimation of learning and rational expectations models |
| Session CS38 | Room: B36 |
| Signal extraction and forecasting | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Pilar Poncela |
Organizer: Pilar Poncela |
| C189: A. Garcia-Ferrer, M. Bujosa, A. de Juan | |
| Coincident and leading indicators using factor linear dynamic harmonic regression models | |
| C190: D. Delle Monache, A. Harvey | |
| Specification and misspecification of models for measuring the output gap. | |
| C261: C. Cuerpo, P. Poncela | |
| Forecasting with multivariate models | |
| C481: E. Gonzalez-Prieto, A. Garcia-Ferrer, D. Pena | |
| Blind source separation for non-Gaussian time series using higher-order statistics | |
| C582: C. Croux, S. Gelper | |
| Time series least angle regression for selecting predictive economic sentiment series |
| Session CS42 | Room: G16 |
| Dynamic correlation models | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Jeroen Rombouts |
Organizer: Jeroen Rombouts |
| C364: P. Fryzlewicz, R. von Sachs | |
| Locally constant modelling of multivariate volatilities via unbalanced Haar wavelets | |
| C462: F. Javed | |
| Volatility spillover in EU markets using DCC-MIDAS | |
| C257: A. Dufays, L. Bauwens, J. Rombouts | |
| Multivariate Markov-Switching and change-point GARCH models | |
| C609: K. Boudt, J. Cornelissen, C. Croux | |
| Jump robust daily covariance estimation by disentangling variance and correlation components | |
| C255: F. Audrino | |
| Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks |
| Session CS50 | Room: B34 |
| Bayesian model averaging in econometrics | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Mark Steel |
Organizer: Mark Steel |
| C097: J. Crespo Cuaresma, P. Hofmarcher, B. Gruen | |
| Fishing economic growth determinants using Bayesian elastic nets | |
| C115: E. Moral-Benito | |
| Dynamic panels with predetermined regressors: likelihood-based estimation and Bayesian averaging with an application to cross-country growth | |
| C209: C. Christofides , T. Eicher, C. Papageorgiou | |
| Assessing early warning indicators of economic crises | |
| C359: M. Feldkircher, S. Zeugner | |
| Growth determinants, data revisions and supermodels | |
| C435: S. Karlsson, S. Ding | |
| Model averaging and variable selection in VAR-models |
| Session CS63 | Room: B35 |
| Computational and econometric methods in derivatives applications | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Panayiotis Andreou |
Organizer: Panayiotis Andreou |
| C260: J. Kuo, Y. Shi | |
| Market efficiency, information flows and hedging performance in European and US carbon markets | |
| C408: P. Meier, F. Audrino | |
| Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines or trees | |
| C416: A. Kagkadis, P. Andreou, D. Philip | |
| Investor sentiments, rational beliefs and option prices | |
| C530: P. Andreou | |
| A volatility smirk that defaults: The case of the S\&P 500 index options | |
| C617: D. Ronchetti | |
| An empirical study of stock and American option prices |
| Session CS69 | Room: B20 |
| Measuring systemic risk | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Monica Billio |
Organizer: Monica Billio |
| C075: D. Veredas, M. Dungey, M. Luciani | |
| Wrapping it up: Risk exposures, spillovers, contagion and systemic risk | |
| C122: B. Schwaab, S. Koopman, A. Lucas | |
| Systemic risk diagnostics: coincident indicators and early warning signals | |
| C320: S. Darolles, J. Emmanuelle, D. Patrick | |
| $l^q$-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis | |
| C448: M. Kremer, D. Hollo, M. Lo Duca | |
| CISS - A composite indicator of systemic stress in the financial system | |
| C489: M. Billio, L. Frattarolo, L. Pelizzon | |
| Network analysis: Contagion and systemic risk |
| Session CS92 | Room: B18 |
| Financial econometrics II | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Lorenzo Trapani |
Organizer: CFE 2011 |
| C049: S. Novak | |
| Measures of financial risk | |
| C652: J. Gorka | |
| Option pricing under Sign RCA-GARCH models - A comparative study | |
| C390: M. Doan, H. Mitchell, R. Heaney | |
| A test of the efficiency of asset returns in the four-moment framework: An international study | |
| C594: L. Trapani | |
| Testing for (In)Finite Moments |
| Session CP03 | Room: Chancellor's |
| Posters session III | Sunday 18.12.2011 14:15 - 16:20 |
| Chair: Cristian Gatu |
Organizer: CFE 2011 |
| C694: O. Awe | |
| An econometric analysis of selected economic indicators in Nigeria: A vector autoregressive (VAR) modeling approach | |
| C700: F. Rosa-Gonzalez, E. Gonzalez-Davila | |
| Estimation and sensitivity analysis of business efficiency under free distribution methodology. | |
| C756: A. Polymenis | |
| Bootstrap techniques for estimating the number of components in mixture analyses | |
| C782: M. Barunikova, J. Barunik | |
| Information content of various realized volatility and jump estimators on the model-free implied volatility | |
| C797: K. Osiewalski, J. Osiewalski | |
| Missing observations in volatility contagion analysis. Bayesian approach using the MSV-MGARCH framework | |
| C888: R. Corradini | |
| Advanced estimates of regional accounts: A mixed approach nesting spatial errors into State Space Models | |
| C918: A. Mabrouk, M. Elsherif | |
| Monetary policy and inflation targeting in Egypt: An empirical study | |
| C919: A. De Waal, R. Van Eyden | |
| The monetary transmission mechanism in South Africa: A VECM augmented with foreign variables | |
| C968: F. Venmans | |
| Capital market response to emission allowance prices: a multivariate GARCH approach |
| Parallel session K: | Sunday 18.12.2011 | 16:50 - 18:30 |
| Session CS01 | Room: Bloomsbury |
| Modelling multivariate financial time series | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Alessandra Amendola |
Organizer: Alessandra Amendola |
| C107: C. Brownlees, D. Kristensen, Y. Shin | |
| Smooth filtering and likelihood inference in dynamic latent variables models | |
| C164: G. Sucarrat, J. Marin | |
| Financial density selection | |
| C199: N. Loperfido, C. Franceschini | |
| Modelling predictive asymmetry in multivariate financial time series | |
| C540: G. Calzolari, G. Aielli, G. Fiorentini | |
| Fast indirect estimation of latent factor models with conditional heteroskedasticity |
| Session CS24 | Room: Woburn |
| Bayesian empirical macroeconomics | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Gary Koop |
Organizer: Gary Koop |
| C453: M. Jochmann, F. Casalin | |
| Robust modeling of IPO market cycles using a regime switching model with an unknown number of regimes | |
| C507: A. Garratt, J. Mitchell, S. Vahey | |
| Density forecasts with opinion pools and dependent models | |
| C587: C. Mastromarco, U. Woitek | |
| Efficiency measurement in a DSGE framework | |
| C766: D. Kim, Y. Yamamoto | |
| Time instability of the U.S. monetary system: Multiple break tests and reduced rank TVP VAR |
| Session CS21 | Room: Jessel |
| Macro-finance interface | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Herman Van Dijk |
Organizer: Lennart Hoogerheide |
| C586: N. Basturk, A. Zellner, T. Ando, L. Hoogerheide, H. van Dijk | |
| Direct and indirect Monte Carlo for simultaneous equations, instrumental variables and errors in variables models | |
| C636: H. van Dijk, L. Hoogerheide, L. Gatarek | |
| Bayesian factor model averaging and industry momentum strategies | |
| C391: L. Krippner | |
| A theoretical foundation for the Nelson and Siegel class of yield curve models | |
| C741: N. Mirkov | |
| International financial transmission of the US monetary policy: An empirical assessment |
| Session CS44 | Room: Court |
| Volatility estimation and forecasting | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Simona Sanfelici |
Organizer: Simona Sanfelici |
| C092: F. Viens, A. Chronopoulou | |
| On stochastic volatility models with long-memory in discrete and continuous time | |
| C305: J. Woerner | |
| Inference for stochastic volatility models with jumps | |
| C331: A. Gloter, E. Clement | |
| Limit theorems in the Fourier transform method for the estimation of volatility | |
| C291: M. Mancino, S. Sanfelici | |
| Estimation of quarticity with high frequency data |
| Session CS59 | Room: Torrington |
| Volatility, heavy tails and risk | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Jean-Michel Zakoian |
Organizer: Jean-Michel Zakoian |
| C096: O. Wintenberger, S. Cai | |
| Parametric inference and forecasting in continuously invertible volatility models | |
| C335: C. Francq, J. Zakoian | |
| Estimating the marginal distribution of heavy tailed time series | |
| C382: G. Lepage, C. Francq, J. Zakoian | |
| Maximum likelihood estimator for a conditional heteroscedastic model with alpha-stable innovation | |
| C657: G. Mero, S. Darolles, G. Le Fol | |
| Tracking illiquidities in intradaily and daily characteristics |
| Session CS65 | Room: Gordon |
| Financial markets contagion | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Gaelle Le Fol |
Organizer: Gaelle Le Fol |
| C032: L. Wagalath, R. Cont | |
| Running for the exit: Distressed selling and endogenous correlation in financial markets | |
| C316: J. Dudek, G. Le Fol, S. Darolles | |
| Liquidity contagion: A look at emerging markets | |
| C330: M. Rockinger, E. Jondeau, E. Jurczenko | |
| Moment component analysis: An illustration with international stock markets | |
| C246: P. Gagliardini, S. Darolles, C. Gourieroux | |
| Survival of hedge funds: Frailty vs contagion |
| Session CS70 | Room: Bedford |
| Evaluating financial performances | Sunday 18.12.2011 16:50 - 18:30 |
| Chair: Bertrand Maillet |
Organizer: Monica Billio |
| C352: M. Costola, M. Caporin | |
| The dependence between performance measures and the construction of a composite performance index | |
| C577: G. Jannin, M. Caporin, F. Lisi, B. Maillet | |
| A survey on the four families of performance measures | |
| C576: B. Maillet, M. Billio, G. Jannin, L. Pelizzon | |
| Towards a generalized performance measure | |
| C697: P. Grau-Carles, L. Doncel, J. Sainz | |
| Different mutual fund reward-to-risk performance measures |
| Parallel session L: | Monday 19.12.2011 | 09:05 - 10:25 |
| Session CS02 | Room: Jessel |
| Realized volatility in applications | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Francesco Audrino |
Organizer: Francesco Audrino |
| C100: S. Xanthopoulos, D. Louzis, A. Refenes | |
| Realized volatility models and alternative Value at Risk prediction strategies | |
| C117: N. Fusari, F. Corsi, D. La Vecchia | |
| Realizing smiles: option pricing with realized volatility | |
| C221: G. Velo | |
| Realized volatility: estimation, forecasting and option trading |
| Session CS81 | Room: Senate |
| Computational econometrics and applications I | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Monica Billio |
Organizer: CFE 2011 |
| C560: A. Dubey | |
| Time scales, wavelet realized volatility and jump variation: An empirical investigation for India | |
| C679: L. Aguiar-Conraria, M. Soares | |
| The continuous wavelet transform: A primer | |
| C776: O. Grothe, F. Schmid, J. Schnieders, J. Segers | |
| Measuring association between random vectors | |
| C713: F. Karame, Y. Fondeur | |
| Analizing if Google helps to predict French youth unemployment |
| Session CS98 | Room: S261 |
| Financial econometrics IV | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Michael Creel |
Organizer: CFE 2011 |
| C802: N. Kourogenis, N. Pittis | |
| Persistent stochastic betas and the statistical properties of stock returns | |
| C827: M. Matilla-Garcia | |
| Nonparametric tests for selecting significant lags | |
| C779: F. Bec, M. Ben Salem | |
| Inventory investment and french business cycles | |
| C629: M. Creel | |
| Indirect likelihood estimation: Specification testing and model selection |
| Session CS48 | Room: Bloomsbury |
| Continuous time financial models | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Leopold Soegner |
Organizer: Leopold Soegner |
| C307: J. Pelenis, L. Soegner | |
| Parameter estimation of Heston type stochastic volatility models | |
| C353: J. Sass | |
| Continuous-time hidden Markov models: robust filters, estimation and portfolio optimization | |
| C254: L. Soegner | |
| Method of moments estimation and affine term structure models |
| Session CS57 | Room: S264 |
| Real-time modelling with mixed frequencies | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Tommaso Proietti |
Organizer: CFE 2011 |
| C853: S. Lui, J. Mitchell | |
| Nowcasting euro-area GDP growth using a mixed frequency Global VAR model | |
| C879: R. Scheufele, K. Drechsel | |
| A comparison of bottom-up approaches and direct forecasts of German GDP in a data-rich environment | |
| C666: B. Siliverstovs | |
| On the prediction of GDP revisions: Evidence for Switzerland | |
| C824: V. Kvedaras, V. Zemlys | |
| Testing the functional restrictions on parameters in the MIDAS regressions |
| Session CS91 | Room: Gordon |
| Computational econometrics | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Alessandra Amendola |
Organizer: CFE 2011 |
| C648: T. Selland Kleppe, R. Liesenfeld | |
| Efficient high-dimensional importance sampling in mixture frameworks | |
| C664: G. Weiss, M. Padberg | |
| Automated vine copula calibration using genetic algorithms | |
| C671: M. Restaino, A. Amendola, L. Sensini | |
| Variable selection in competing risks model for corporate exit | |
| C678: P. Richard | |
| Optimal and data driven smoothing for simuation-based inference |
| Session CS05 | Room: Torrington |
| Contributions in multivariate financial time series | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Alain Hecq |
Organizer: CFE 2011 |
| C632: V. Berenguer-Rico, J. Gonzalo | |
| Co-summability: From linear to non-linear co-integration | |
| C686: J. Stoeber, C. Czado | |
| Time varying dependence in high dimensional financial data sets | |
| C795: J. Osiewalski, K. Osiewalski | |
| General hybrid MSV--MGARCH models of multivariate volatility - Bayesian analysis | |
| C774: A. Hecq, J. Issler | |
| Permanent transitory decompositions under short and long-run present value model restrictions |
| Session CS43 | Room: Bedford |
| Contributions in derivative pricing | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Paolo Foschi |
Organizer: CFE 2011 |
| C191: M. Fengler, L. Hin | |
| Semi-nonparametric estimation of the call price surface under no-arbitrage constraints | |
| C736: A. Vaello-Sebastia, U. Ansejo, A. Bergara | |
| Capturing skewness and kurtosis by fitting the QQ-plot: A simple approach with an application to option pricing | |
| C821: C. Epprecht, M. Pereira, A. Veiga | |
| Option pricing via nonparametric Esscher transform | |
| C861: P. Foschi | |
| Pricing of American options in local volatility models |
| Session CS66 | Room: Court |
| Contributions to Bayesian econometrics | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Rachida Ouysse |
Organizer: CFE 2011 |
| C516: S. Zeugner, M. Feldkircher | |
| Benchmark priors revisited: On adaptive shrinkage and the supermodel E ect in Bayesian model averaging | |
| C596: R. Ouysse | |
| Bayesian moving average and principal components forecasts for large dimensional factor models | |
| C738: C. Cakmakli | |
| Bayesian semiparametric dynamic Nelson-Siegel model | |
| C912: M. Moser | |
| Interaction terms and restricted model spaces in Bayesian model averaging |
| Session CS75 | Room: Woburn |
| Contributions in time series and panel data econometrics | Monday 19.12.2011 09:05 - 10:25 |
| Chair: Jean-Pierre Urbain |
Organizer: CFE 2011 |
| C695: W. Wan Yaacob, M. Lazim, B. Yap | |
| Individual size and time period effects on the unconditional fixed effects negative binomial regression estimator | |
| C750: A. Raknerud, B. Vatne, K. Rakkestad | |
| How banks' funding costs affect interest margins | |
| C875: G. Everaert | |
| A panel analysis of the Fisher effect with an unobserved I(1) world real interest rate | |
| C812: J. Urbain, S. Smeekes | |
| On the applicability of the sieve bootstrap in time series panels |
| Parallel session N: | Monday 19.12.2011 | 10:55 - 12:35 |
| Session CSI04 | Room: Beveridge |
| Financial time series modelling | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Christian Francq |
Organizer: CFE 2011 |
| C179: F. Drost, I. Becheri, B. Werker | |
| Asymptotic equivalence of continuously and discretely sampled jump-diffusion models | |
| C297: J. Zakoian, C. Francq | |
| Testing strict stationarity in GARCH models | |
| C563: A. Rahbek | |
| Reduced rank autoregression with volatility induced stationarity |
| Session CS09 | Room: Court |
| High frequency data modeling | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Massimiliano Caporin |
Organizer: Massimiliano Caporin |
| C206: K. Wohlrabe, S. Mittnik, N. Robinzonov | |
| Market uncertainty and macroeconomic announcements: High-frequency evidence from the German DAX | |
| C272: M. Caporin, A. Ranaldo, G. Velo | |
| Stylized facts and information asymmetry on high frequency precious metals spot prices | |
| C347: E. Rossi, P. Santucci de Magistris | |
| Indirect inference for long memory stochastic volatility model with high-frequency data | |
| C160: P. Santucci de Magistris, S. Grassi | |
| A dynamic multifactor model for high an low frequency volatility activity |
| Session CS18 | Room: S261 |
| Bayesian financial risk management | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Richard Gerlach |
Organizer: Richard Gerlach |
| C172: B. Choy, N. Wichitaksorn, J. Wang, R. Gerlach | |
| Stochastic volatility models and quantile regression using asymmetric Laplace error distribution via uniform scale mixtures | |
| C220: G. Tsiotas | |
| Evaluating value at risk and expected shortfall using generalised asymmetric volatility models | |
| C389: G. Peters, M. Briers, P. Shevchenko, A. Doucet | |
| Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts | |
| C833: B. Hudson, R. Gerlach | |
| Estimating portfolio value at risk using a skew-t copula-GARCH model |
| Session CS20 | Room: Senate |
| Non linearity and business cycles | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Dominique Guegan |
Organizer: Dominique Guegan |
| C370: P. Rakotomarolahy, D. Guegan | |
| Variable selection for prediction purpose of real economic activity | |
| C517: P. Addo, D. Guegan | |
| A test for a new modelling: The univariate MT-STAR model | |
| C368: L. Cales, M. Billio, D. Guegan | |
| A rank-based approach to cross-sectional analysis | |
| C659: M. Pourroy, B. Carton, D. Coulibaly | |
| Monetary policy, food inflation and the business cycle. |
| Session CS23 | Room: S264 |
| Identification-robust inference and large models | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Lynda Khalaf |
Organizer: Lynda Khalaf |
| C603: R. Luger | |
| Testing for GARCH effects: An exact procedure based on quasi-likelihood ratios | |
| C604: B. Antoine, O. Boldea | |
| Efficient inference with time-varying identification strength | |
| C630: C. Yelou, J. Bernard, L. Khalaf, M. Kichian | |
| Exact inference with time varying parameters in linear models | |
| C601: L. Khalaf, G. Kapetanios, M. Marcellino | |
| Factor based identification-robust inference in IV regressions |
| Session CS29 | Room: Woburn |
| Modelling and forecasting financial risk | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Stefan Mittnik |
Organizer: Michael McAleer |
| C318: K. Andres, A. Harvey | |
| Score-based range models | |
| C380: I. Ishida, M. McAleer, K. Oya | |
| Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S\&P500 and VIX | |
| C431: P. Araujo Santos, J. Jimenez-Martin, M. McAleer, T. Perez Amaral | |
| Optimal combination of risk forecasts under the Basel accord | |
| C790: S. Mittnik | |
| Solvency II calibrations: Where curiosity meets curiosity |
| Session CS30 | Room: Jessel |
| Quantitative assessment of financial stability and macro-policies | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Costas Milas |
Organizer: Costas Milas |
| C498: A. Audzeyeva, K. Schenk-Hoppe | |
| The risk of default and the term-structure of sovereign yield spreads | |
| C286: M. Uddin, A. Boateng, R. Naraidoo | |
| A forecasting analysis of the inward cross-border mergers and acquisitions in the UK: A macroeconomic perspective | |
| C381: T. Sekhposyan, M. Owyang | |
| Stabilization effects of the Euro area monetary policy | |
| C084: C. Milas, G. Legrenzi | |
| Debt sustainability and financial crises: Evidence from the GIIPS |
| Session CS33 | Room: Bloomsbury |
| Bayesian econometrics and applications | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Teruo Nakatsuma |
Organizer: Yasuhiro Omori |
| C140: J. Nakajima, M. West | |
| Bayesian analysis of latent threshold dynamic models | |
| C296: K. McAlinn, T. Nakatsuma | |
| GPGPU parallel computing for Bayesian portfolio selection with massive number of assets | |
| C388: S. Shirota, T. Hizu, Y. Omori | |
| Realized stochastic volatility with leverage and long memory | |
| C727: G. Kobayashi, H. Kozumi | |
| Transdimensional approximate Bayesian computation for model choice |
| Session CS41 | Room: Bedford |
| Derivative pricing | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Jeroen Rombouts |
Organizer: Jeroen Rombouts |
| C022: A. Taamouti, B. Feunou, J. Fontaine, R. Tedongap | |
| The equity premium and the maturity structure of uncertainty | |
| C184: F. Violante, J. Rombouts, L. Stentoft | |
| Testing and evaluating dynamic correlations in terms of Dow Jones industrial average index options pricing | |
| C419: L. Stentoft, J. Rombouts | |
| Empirical performance of GARCH option pricing models: Evidence from 139,879 individual stock options |
| Session CS51 | Room: Gordon |
| Financial econometrics modelling | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Elias Tzavalis |
Organizer: Elias Tzavalis |
| C538: M. Lof | |
| Noncausality and asset pricing | |
| C550: C. Louca, P. Andreou, C. Savva | |
| Influence of market conditions on event-study: The case of merger and acquisition announcement effects | |
| C961: G. Kapetanios, N. Bailey, H. Pesaran | |
| Exponent of cross-sectional dependence: Estimation and inference | |
| C193: E. Tzavalis, L. Rompolis | |
| Retrieving risk neutral moments and expected quadratic variation from option prices |
| Session CS60 | Room: Torrington |
| Econometrics with R | Monday 19.12.2011 10:55 - 12:35 |
| Chair: Achim Zeileis |
Organizer: Achim Zeileis |
| C452: C. Lupi | |
| Panel covariate augmented Dickey-Fuller tests with R | |
| C454: G. Piras | |
| More on spatial models in R: spse | |
| C467: C. Kleiber | |
| punitroots: Infrastructure for panels with unit roots | |
| C480: G. Millo | |
| ML estimation of spatially and serially correlated panels with random effects: an estimation framework and a software implementation |
| Parallel session O: | Monday 19.12.2011 | 14:05 - 15:45 |
| Session CS77 | Room: S264 |
| Contributions in time series econometrics II | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Alessandra Luati |
Organizer: CFE 2011 |
| C581: J. Abril, M. Abril | |
| Saddlepoint approximations to the distribution of the estimator of the parameter in a non-stationary AR(1) model | |
| C608: K. Akdogan, M. Chadwick | |
| Nonlinearities in CDS-bond basis | |
| C649: M. Meitz, P. Saikkonen | |
| Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity | |
| C742: E. Pavlidis, I. Paya, D. Peel | |
| Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study | |
| C725: A. Noriega, D. Ventosa-Santaularia | |
| A simple test for spurious regressions |
| Session CS80 | Room: Court |
| Econometric modelling and applications II | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Paolo Foschi |
Organizer: CFE 2011 |
| C033: G. Liu | |
| Covariance and variance transform for unimodal distribution with applications to options | |
| C041: M. Bannour, Y. Fahmi, M. Slouma , S. Ben Jabeur | |
| Predicting corporate financial distress based on PLS discriminant analysis and neural networks technique | |
| C055: J. Murteira, E. Ramalho, J. Ramalho | |
| Regression analysis of multivariate fractional data | |
| C289: S. Wagner, S. Kloessner | |
| Quantifying the impact of monetary policy operations on commercial bank rates | |
| C939: F. Galli, A. Cosma | |
| A nonparametric ACD model |
| Session CS94 | Room: Gordon |
| Financial applications | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Patrick Burns |
Organizer: CFE 2011 |
| C680: L. Hass, D. Schweizer, D. Cumming | |
| Private equity benchmarks and portfolio optimization | |
| C780: F. Fernandez-Rodriguez, E. Acosta-Gonzalez, R. Armas-Herrera | |
| Index tracking, cointegration and picking up stocks with genetic algorithms | |
| C185: O. Nneji, C. Brooks, C. Ward | |
| A study of equity and housing bubbles spillover to REITs | |
| C607: P. Burns | |
| Portfolio optimization inside out |
| Session CS10 | Room: S261 |
| Contributions in applied financial econometrics | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Christopher Baum |
Organizer: CFE 2011 |
| C734: F. Ziegelmann, O. Silva Filho, M. Dueker | |
| Modeling dependence dynamics through copulas with regime switching | |
| C740: D. Tafin Djoko, C. Starica | |
| Hedge fund replication: A Dynamic performance-adaptive local linear regression approach | |
| C264: I. Andrievskaya, H. Penikas | |
| Copula-based Russian banking system capital adequacy modelling within Basel II IRB framework | |
| C373: H. Basse Mama | |
| The informative role of stock markets in firm investment decisions |
| Session CS06 | Room: Bedford |
| Filtering | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Tommaso Proietti |
Organizer: CFE 2011 |
| C294: M. Belmonte, O. Papaspiliopoulos, M. Pitt | |
| Particle filter estimation of duration-type models | |
| C667: J. Polanco-Martinez, J. Fernandez-Macho | |
| An empirical analysis of some peripheral EU stock market indices: A wavelet correlation approach | |
| C763: P. Zahradnik | |
| Extracting latent price and volatility processes through particle filtering | |
| C900: J. Kingeski Galimberti, M. Moura | |
| Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts | |
| C825: M. Rindisbacher, J. Detemple | |
| A Structural model of dynamic market timing: Theory and estimation |
| Session CS31 | Room: Woburn |
| Contributions in Bayesian econometrics and applications | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Richard Gerlach |
Organizer: CFE 2011 |
| C642: P. Solibakke | |
| Forecasting carbon phase II moments using stochastic volatility models | |
| C748: H. Shang, X. Zhang | |
| Bayesian bandwidth estimation for local linear fitting in a nonparametric regression model | |
| C820: H. Wagner, L. Jacobi, S. Fruehwirth-Schnatter | |
| Bayesian treatment effects models for panel outcomes with stochastic variable selection | |
| C841: R. Solgi, A. Mira | |
| A Bayesian semiparametric multiplicative error model for realized volatility | |
| C665: D. Gefang | |
| Forecasting with the double adaptive elastic-net Lasso - A Bayesian approach |
| Session CS36 | Room: Torrington |
| Forecasting Value-at-Risk | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Rodney Wolff |
Organizer: CFE 2011 |
| C056: J. Fermanian | |
| The limits of granularity adjustments | |
| C645: A. Fuertes, J. Olmo | |
| Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction | |
| C876: A. Dias | |
| Market value in the estimation of equity Value-at-Risk | |
| C864: R. Wolff, K. Marumo | |
| Non-parametric estimation of copulae | |
| C441: S. Henzel, J. Mayr | |
| The mechanics of VAR forecast pooling: A DSGE model based Monte Carlo study |
| Session CS49 | Room: Jessel |
| Contributions in volatility estimation and forecasting | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Simona Sanfelici |
Organizer: CFE 2011 |
| C877: S. Nagata | |
| Consistent estimation of integrated volatility using intraday absolute returns for SV jump diffusion processes | |
| C911: M. Heiden | |
| Forecasting the realized covariance matrix: A comparative approach | |
| C458: F. Spazzini, E. Rossi, P. Santucci de Magistris | |
| A Copula-DCC model with daily range | |
| C610: H. Veiga, C. Breto | |
| Forecasting volatility: Continuous time vs discrete time | |
| C945: R. Mohnot | |
| On the effect of crisis on stock market predictability: The case of the Spanish stock market |
| Session CS47 | Room: Bloomsbury |
| Financial time series | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Michele La Rocca |
Organizer: CFE 2011 |
| C163: T. Lee, B. Seo | |
| Estimated quasi-maximum likelihood estimator for GARCH models based on non-parametric MLE | |
| C461: M. Gatumel, F. Ielpo | |
| The number of regimes accross asset returns: Identification and economic value | |
| C548: A. Lawrance | |
| Volatility graphics for financial time series and volatility modeling | |
| C747: B. Koo, O. Linton | |
| Robust estimation of semiparametric multiplicative volatility models | |
| C887: S. Han, K. Triantafyllopoulos | |
| Adaptive filtering for algorithmic pairs trading |
| Session CS67 | Room: Senate |
| Financial modeling | Monday 19.12.2011 14:05 - 15:45 |
| Chair: Panayiotis Andreou |
Organizer: CFE 2011 |
| C619: L. Ramprasath, T. Durairajan | |
| A simple property for estimators of diffusion models | |
| C775: L. Cutillo, A. Orlando, M. Carfora | |
| Modelling the European Central Bank official rate: a stochastic approach | |
| C916: S. Jacob Leal | |
| Fundamentalists, chartists and asset pricing anomalies | |
| C036: C. Baumeister, G. Peersman | |
| The role of time-varying price elasticities in accounting for volatility changes in the crude oil market | |
| C223: T. Shibata, M. Nishihara | |
| Investment timing under debt issuance constraint |
| Parallel session P: | Monday 19.12.2011 | 16:15 - 17:35 |
| Session CS78 | Room: S261 |
| Stochastic volatility | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Alessandra Luati |
Organizer: CFE 2011 |
| C503: F. Venditti , M. Marcellino, M. Porqueddu | |
| Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility | |
| C681: P. Veerhuis, G. Peters, R. Gerlach | |
| A timely analysis of unconventional monetary policy via dynamic Nelson Seigel models | |
| C710: E. Ortega, J. Alonso | |
| Measuring the trading volume in heterogeneous markets with stochastic volatility | |
| C803: A. Antypas, N. Kourogenis | |
| Annualizing volatility under long memory in high frequency variance |
| Session CS13 | Room: Torrington |
| Bayesian quantile regression | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Boris Choy |
Organizer: Cathy Chen |
| C104: K. Yu | |
| Bayesian methods in quantile regression: a review | |
| C188: R. Gerlach, C. Chen, L. Lin | |
| Bayesian estimation and forecasting for semi-parametric conditional expected shortfall models | |
| C552: Z. Lu | |
| Bayesian copula-based skewed-EWMA quantile forecasting for portfolios |
| Session CS79 | Room: B20 |
| Financial markets | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Ana-Maria Fuertes |
Organizer: CFE 2011 |
| C616: V. Zakamulin | |
| Long-term mean reversion and predictability of the US stock market returns | |
| C673: Y. Zhao, X. Xia, H. Xiao, Y. Wang | |
| Private equity placements, cash dividend and tunneling: Empirical evidences from listed companies in China |
| Session CS22 | Room: Bedford |
| Density forecasting using realized measures | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Florian Ielpo |
Organizer: Florian Ielpo |
| C154: S. Laurent, C. Lecourt, F. Palm | |
| Testing for jumps in GARCH models, a robust approach | |
| C167: B. Sevi, J. Chevallier, F. Ielpo | |
| The contribution of jumps for forecasting the density of returns | |
| C178: D. Noureldin, N. Shephard, K. Sheppard | |
| Multivariate high-frequency-based volatility (HEAVY) models |
| Session CS27 | Room: Gordon |
| Analysis of large-dimensional datasets: recent advances | Monday 19.12.2011 16:15 - 17:55 |
| Chair: Marco Lippi |
Organizer: Marco Lippi |
| C241: G. Motta, M. Barigozzi, M. Lippi | |
| Recent advances in factor analysis: from stationary to evolutionary | |
| C242: A. Conti, M. Barigozzi, M. Luciani | |
| Do Euro area countries respond asymmetrically to the common monetary policy? | |
| C504: B. Funovits, E. Felsenstein, B. Anderson, M. Deistler, W. Chen | |
| Generalized dynamic factor models and singular ARMA models |
| Session CS82 | Room: S264 |
| Computational econometrics and applications II | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Roderick McCrorie |
Organizer: CFE 2011 |
| C101: J. Juneja | |
| Validating the CPC model using parametric and non-parametric inference based empirical algorithmic methods | |
| C643: S. Kriete-Dodds, D. Maringer | |
| Overconfidence and credit cards | |
| C901: R. McCrorie, C. Liang | |
| Computational methods for pricing Asian options: An evaluation | |
| C745: M. Vermorken, F. Medda, T. Schroeder | |
| ICA based asset allocation |
| Session CS62 | Room: B35 |
| Financial econometrics for risk management | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Chung-Ming Kuan |
Organizer: Chung-Ming Kuan |
| C791: H. Chuang, C. Kuan | |
| Predicting defaults with regime switching intensity: Model and empirical evidence | |
| C077: K. Kato | |
| Weighted-Nadaraya Watson estimation of conditional expected shortfall | |
| C783: A. Fernandez-Perez, A. Fuertes, J. Miffre | |
| Idiosyncratic risk-based commodity strategies | |
| C613: J. Yeh, M. Yun | |
| Identification of price jumps, cojumps and tail dependence in financial asset prices |
| Session CS71 | Room: B33 |
| Regression trees and structural breaks | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Marco Reale |
Organizer: Marco Reale |
| C317: S. Grassi, P. Santucci de Magistris | |
| When long memory meets the Kalman filter: A comparative study | |
| C491: M. Reale, W. Rea, L. Oxley, J. Brown | |
| Estimators for long range dependence: a simulation study | |
| C658: L. Kristoufek | |
| Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations |
| Session CS58 | Room: G16 |
| Contributions in econometrics and financial markets | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Massimiliano Caporin |
Organizer: CFE 2011 |
| C162: C. Zedan | |
| Competition and cascades in the financial markets: An agent-based network model of endogenous mergers | |
| C896: P. Donati | |
| Modelling spillovers and measuring their persistence: Application to credit default swap premia | |
| C831: C. Pakel | |
| Bias reduction in GARCH panels, with an analysis of hedge fund volatility | |
| C628: M. Asai | |
| Heterogeneous markets effects for asymmetric dynamic conditional correlation model with stock return and range |
| Session CS73 | Room: B34 |
| Short-term macroeconomic forecasting: lessons from the crisis | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Laurent Ferrara |
Organizer: Laurent Ferrara |
| C200: J. Castle, M. Clements, D. Hendry | |
| Forecasting by factors, by variables, by both, or neither | |
| C146: M. Mogliani, L. Ferrara, M. Marcellino | |
| The return of non-linearity: Macroeconomic forecasting during the Great Recession | |
| C091: L. Ferrara, F. Bec, O. Bouabdallah | |
| The possible shapes of recoveries in Markov-switching models |
| Session CS74 | Room: B36 |
| Computer intensive methods in econometrics | Monday 19.12.2011 16:15 - 17:35 |
| Chair: Oliver Scaillet |
Organizer: Dimitrios Thomakos |
| C180: J. Maheu, M. Jensen | |
| Bayesian semiparametric multivariate GARCH modeling | |
| C194: O. Scaillet, P. Gagliardini, E. Ossola | |
| Time-varying risk premium in large cross-sectional equity datasets | |
| C252: M. La Rocca, F. Giordano, C. Perna | |
| Neural network sieve bootstrap for nonlinear time series analysis |
