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Apologies for cross-posting
Program of the Conference "FRONTIERS IN TIME SERIES ANALYSIS" Olbia, Italy - May 29-31, 2005 SUNDAY MAY 29 8:45 AM Registration
9:00 AM Conference Opening
10:00-11:30 AM Session 1: PANEL
COINTEGRATION
Invited lecture: Jean-Pierre Urbain, tba Anindya Banerjee, Josep Lluís Carrion-i-Silvestre, Breaking panel data cointegration 11:30-12:00 AM Coffee Break
12:00-1:30 AM Session 2: STRUCTURAL BREAKS Bertrand Candelon, Gianluca Cubadda, Testing for Parameter Stability in Dynamic Models across Frequencies Raffaella Giacomini, Barbara Rossi, Detecting and Predicting Forecast Breakdowns Stepana Lazarova, Javier Hidalgo, Inference on the time of break 1:30-3:00 PM Lunch
3:00-4:30 PM Session 3: NON-LINEARITY
Invited lecture: Jesús Gonzalo, tba Laura Mayoral, Is the observed persistence spurious or real? A test for fractional integration versus structural Breaks 4:30-5:00 PM Coffee Break 5:00-6:30 PM Session 3:
NON-LINEARITY
Paolo Giordani, Robert Kohn, Dick van Dijk, A Unified Approach to Nonlinearity, Structural Change and Outliers Andres Gonzalez Gomez, Timo Teräsvirta, Simulation-based finite-sample linearity test against smooth transition models Changli He, Rickard Sandberg, Dickey-Fuller type of Tests against Nonlinear Dynamic Models 7:00 PM Visit to wine Museum
MONDAY MAY 30 9:00-11:00 AM Session 4: VOLATILITY
Invited lecture: Robert F. Engle (with J. Gonzalo Rangel), The spline GARCH Model for Unconditional Volatitlity and its Global Macroeconomic Causes Jeremy Large, Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment Dennis Kristensen, Anders Rahbek, Asymptotics of the QMLE for the General ARCH(q) Model 11-1:30 AM POSTER Session + Coffee Break
Guillaume Chevillon, ‘Weak’ trends for inference and forecasting in finite samples Birgit Strikholm, Determining the number of breaks in a piecewise linear regression model using Multiple Smooth Transition Regression Iolanda Lo Cascio, S.Pollock, Comparative Economic Cycles Bertrand Candelon, Jan Piplack, Stefan Straetmans, How synchronized are European Business Cycles? A finite sample concordance test approach Fabio Busetti, Silvia Fabiani, Andrew Harvey, Convergence of prices and rates of inflation Tommi A. Vuorenmaa, A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility Christine Choirat, Raffaello Seri, Asymptotic Properties of Growth Rates Fabrizio Iacone, Local Whittle Estimation of the Memory Parameter in Presence of Deterministic Components Gultekin Isiklar, Structural VAR identification in asset markets using short-run market inefficiencies Carl Chiarella, Hing Hung, Thuy-Duong To, The volatiliry structure of the fixed income market under the hjm framework: a nonlinear filtering approach Imed Drine, Christophe Rault, Can the Balassa-Samuelson theory explain long-run real exchange rate movements in OECD countries? Alessandro Palandri, Sequential conditional correlations: inference and evaluation Francisco Maeso-Fernandez, Chiara Osbat, Bernd Schnatz, Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective Alessandra Amendola, Marcella Niglio, Cosimo Vitale, Multi-step ahead predictors of SETARMA models Emanuela Marrocu, An investigation of the effects of data transformation on nonlinearity Livia De Giovanni, Maurizio Naldi, A comparative evaluation of semiparametric long memory estimators Carmela Cappelli, Marco Reale, Atheoretical Regression Trees for detecting breaks in lake mean water levels: an application to Lake Michigan-Huron data Ken Erickson, Luciano Gutierrez, Tests for cointegration in panels with regime shifts Robert M. Kunst, Approaches for the joint evaluation of hypothesis tests: classical testing, Bayes testing, and joint confirmation Fabio Bacchini, Anna Ciammola, Monica Gentile, Comparing European industrial production forecasting using Factor based Forecasts Pilar Poncela, Eva Senra, Forecast Combination through Factor Models 1:30-2:30 PM Lunch
2:30-3:30 PM Session 4:
VOLATILITY
Giuseppe Cavaliere, A.M. Robert Taylor, Testing for unit roots in time series models with non-stationary volatility Ananda Chanda, Robert F. Engle, Magdalena E. Sokalska, High frequency multiplicative component GARCH 3:30-6:30 PM Tour
9:00 PM Conference Dinner
TUESDAY MAY 31
9:00-10:30 AM Session 5
Invited lecture: Siem Jan Koopman, A review of State Space Methods for application in Economics and Finance Fabio Busetti, Andrew Harvey, Testing for Drift in a Time Series 10:30-11:00 AM Coffee Break
11:00-12:30 AM Session 6:
FILTERING
Stephen Pollock, Econometric Methods of Signal Extraction Tommaso Proietti, On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates Hiroyuki Kawakatsu, Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models 12:30-2:00 PM Lunch
2:00-4:30 PM Session 7: VAR MODELS AND
COINTEGRATION
Vanessa Berenguer-Rico, Josep Lluís Carrion-i-Silvestre, A statistical analysis of multicointegration relationships with regime shifts Paolo Paruolo, A LR test for valid normalization of cointegrating vectors Marcus Chambers , Roderick McCrorie, Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems Andrea Carriero, Resurrecting the Expectation Hypothesis: How to Extract Additional Information From the Term Structure of Interest Rates Dietmar Bauer, Martin Wagner, A Canonical Form for Unit Root Processes in the State Space Framework 4:30-5:30 PM Farewell Cocktail
For detailed information on registration, accommodation, and conference venue, please refer to the Conference website: http://www.uniolbia.it/frontier/ |