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Conference on Robust Econometric Methods for Modelling Economic and Financial Variables

The Bank of Portugal and the Center for Advanced Studies in Management and Economics (CEFAGE-UE) are organising a conference on Robust Econometric Methods for Modelling Economic and Financial Variables, which will be held in Lisbon, Portugal on 7-8 September 2012.

The conference will explore new developments of robust econometric methods in the face of data characteristics which are typically viewed as violations of specific assumptions. The scope of the conference includes research in any field of Econometrics or Empirical Econometrics.

 Keynote Speakers

Roger Koenker (University of Illinois)
Richard Smith (University of Cambridge)
Robert Taylor (University of Nottingham)
Zhijie Xiao (Boston College)

Organising Committee

Mário Centeno
Álvaro Novo
Paulo Rodrigues

Scientific Committee

Mário Centeno
José Machado
Álvaro Novo
Joaquim Ramalho
Paulo Rodrigues
Robert Taylor


Conference schedule 

Friday, September 7
08.15 - 08.45 Registration
08.50 - 09.00 Welcome address

Carlos Costa, Governor of Banco de Portugal
Session 1 - Chair: Mário Centeno (Banco de Portugal)
09.15 - 10.00 Keynote Presentation

Additive Models for Quantile Regression: Model Selection and Confidence Bands

Roger Koenker
(University of Illinois)
Session 2 - Chair: Mário Centeno (Banco de Portugal)
10.00 - 10.30 Quantile Regression for Long Memory Testing: A Case of Realized Volatility  
 
Uwe Hassler (Goethe University Frankfurt)
Paulo Rodrigues (Banco de Portugal)
Antonio Rubia (University of Alicante)
10.30 - 11.00 ML Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence 

Yunus Emre Ergemen (Universidad Carlos III de Madrid)
Carlos Velasco (Universidad Carlos III de Madrid)
11.00 - 11.30 Coffee break
Session 3 - Chair: Álvaro Novo (Banco de Portugal) 
11.30 - 12.00 Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change  

Liudas Giraitis
(Quenn Mary, University of London)
George Kapetanios (Bank of England and Quenn Mary, University of London)
Simon Price (Bank of England and City University London)
12.00 - 12.30 An Analysis of the Performance of Structural Change Tests in OLS Regressions

Brendan McCabe (University of Liverpool)
Yao Rao (University of Liverpool)
12.30 - 14.00 Lunch
Session 4 - Chair: Paulo Rodrigues (Banco de Portugal)
14.00 - 14.45 Keynote Presentation

Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks Using Minimum Dickey-Fuller Statistics

Robert Taylor
(University of Nottingham)
Session 5 - Chair: Paulo Rodrigues (Banco de Portugal)
14.45 - 15.15 Unit Root Vector Autoregression with Volatility Induced Stationarity

Anders Rahbek
(University of Copenhagen)
Heino Bohn Nielsen (University of Copenhagen)
15.15 - 15.45 A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors   

Chu-An Liu
(National University of Singapore)
15.45 - 16.15 Coffee break
Session 6 - Chair: Paulo Rodrigues (Banco de Portugal)
16.15 - 16.45 Instrumental Variable and Variable Addition Based Inference in Predictive Regressions

Jörg Breitung (University of Bonn)
Matei Demetrescu (University of Bonn)
16.45 - 17.15 Differencing Transformations and Robust Inference in Predictive Regression Models

Lorenzo Camponovo
(University of St. Gallen)
17.15 - 17.45 The Cross-Quantilogram and Testing Directional Predictability between Time Series

Heejoon Han (National University of Singapore)
Tatsushi Oka (National University of Singapore)
Yoon-Jae Whang (Seoul National University)
20.00 - 22.00 Dinner


Saturday, September 8
Session 7 - Chair: Álvaro Novo (Banco de Portugal)
09.00 - 09.45 Keynote Presentation

Efficient Regression Estimation via Quantile Regressions

Zhijie Xiao
(Boston College) 
Session 8 - Chair: Álvaro Novo (Banco de Portugal)
09.45 - 10.15 Confidence Intervals for an Autoregressive Coefficient Near One Based on Optimal Selection of Sequences of Point Optimal Tests

Muhammad Saqib
(The University of Melbourne)
David Harris (Monash University)
10.15 - 10.45 Asymptotic Analysis of the Forward Search 

Søren Johansen (University of Copenhagen)
Bent Nielsen (University of Oxford)
10.45 - 11.15 Coffee break
Session 9 - Chair: Álvaro Novo (Banco de Portugal) 
11.15 - 11.45 Are University Admissions Academically Efficient?

Debopam Bhattacharya
(University of Oxford)
Shin Kanaya (University of Oxford)
Margaret Stevens (University of Oxford)
11.45 - 12.15 Identification and Estimation of Nonparametric Panel Data Regressions with Measurement Error

Daniel Wilhelm
(University College London)
12.15 - 12.45 A New Semiparametric Volatility Model

Jiangyu Ji
(VU University Amsterdam)
André Lucas (Duisenberg School of Finance and Tinbergen Institute)
12.45 - 14.15 Lunch
Session 10 - Chair: Esmeralda Ramalho (CEFAGE-Universidade de Évora)
14.15 - 15.00 Keynote Presentation

Exogeneity in Semiparametric Moment Condition Models

Richard Smith
(University of Cambridge)
Session 11 - Chair: Esmeralda Ramalho (CEFAGE-Universidade de Évora)
15.00 - 15.30 Overnight News and Daily Equity Trading Risk Limits

Katja Ahoniemi (Aalto University School of Economics) 
Ana-Maria Fuertes (Cass Business School, City University London)
Jose Olmo (Centro Universitario de la Defensa, Zaragoza)
15.30 - 16.00 Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Leonidas Tsiaras
(Aston University)
16.00 - 16.30 Influences of Trading Volume on Financial Return Distributions: A Reassessment and a Step Further

Hung Do
(Monash University)
Robert Brooks (Monash University)
Sirimon Treepongkaruna (The University of Western Australia)
Eliza Wu (University of Technology Sydney)


Participants

António Antunes  (Banco de Portugal)

Tomás Barrio  (University of the  Balearic Islands)

Debopam Bhattacharya  (University of Oxford)

Lorenzo Camponovo  (University St Gallen)

Mário Centeno  (Banco de Portugal)

Clara Cordeiro  (Universidade do Algarve)

Matei Demetrescu  (University of Bonn)

Hung Do  (Monash University)

Yunus Emre Ergemen  (Universidad Carlos III de Madrid)

Maria da Conceição Figueiredo  (ISCTE - IUL)

Liudas Giraitis  (Queen Mary, University of London)

Jiangyu Ji  (VU University Amsterdam)

Roger Koenker  (University of Illinois)

Renata Latocha  (WestLB Mellon)

Chu-An Liu  (National University of Singapore)

Marta Lopes  (Nova School of Business and Economics)

José Machado  (Nova School of Business and Economics)

Luís Martins  (ISCTE - IUL)

Bent Nielsen  (University of Oxford)

Álvaro Novo  (Banco de Portugal)

Tatsushi Oka  (National University of Singapore)

Jose Olmo  (University of Zaragoza) 

Frank Magalhães de Pinho  (Ibmec - Belo Horizonte)

Anders Rahbek  (University of Copenhagen)

Esmeralda Ramalho  (Universidade de Évora)

Joaquim Ramalho  (Universidade de Évora)

Yao Rao  (University of Liverpool)

Paulo Rodrigues  (Banco de Portugal)

António Rua  (Banco de Portugal)

António Rubia  (University of Alicante)

Martín Saldías  (Banco de Portugal)  

Muhammad Saqib  (University of Melbourne)

Richard Smith  (University of Cambridge)

Marta Soares  (Tilburg University)

Robert Taylor  (University of Nottingham)

Leonidas Tsiaras  (Aston University)

Daniel Wilhelm  (University College London)

Zhijie Xiao  (Boston College)

Conference venue

The conference venue is located in the Largo de São Julião, an historical part of Lisbon. The conference will take place in:

Edificio do Banco de Portugal
Largo de São Julião
1200-417 Lisboa

A computer (Windows 7) and video projector will be provided for participants' use.


Meals

Lunches, as well as dinner on Friday, will be provided by the organization. Special dietary requests can be accommodated if indicated in advance in the registration form.

Currency

The euro is the currency in circulation. Major credit cards are accepted in most establishments. Banks are open from 8.30 am to 3.00 pm, Monday to Friday.   

Weather

Lisbon has an Atlantic climate. In September the average daytime temperature is usually around 26º C (79º F) and the nighttime temperature around  17º C (65º F).

Getting to the conference

The Lisbon Airport is located close to the city centre.

Taxis are a fast way to reach the city centre and can be found outside the arrivals terminal.

Several buses also stop right outside the arrivals terminal. Buses 44, 745, or 83 run past the major avenues uptown and end up in the old city centre. 

It has recently opened a subway station at the airport with connection to downtown.

If you have large luggage you should take either the AeroBus or AeroShuttle bus services which run between the airport and the city centre every 20 or 30 minutes. A ticket may be purchased directly from the driver. 



Contacts

For information please contact:

Maria Soledade Sartóris
Economics and Research Department
Banco de Portugal
Av. Almirante Reis, 71, 6th floor 
1150-012 Lisboa
Portugal
Tel: 351 21 313 0425
Email: conferences@bportugal.pt

Submission

Submission of full length articles on theoretical or empirical contributions are welcome.

Paper submissions should be sent by email in pdf format to conferences@bportugal.pt.  There is no registration fee, however for logistic purposes we require that you also submit the registration form provided (Registration Form).

To attend the conference (if no paper submission is made) please complete the registration form (Registration Form) and submit it to conferences@bportugal.pt. Places at the conference will be confirmed by 30 June 2012.

Given the limited number of places available, priority will be given to researchers who submit a paper, and the remaining places allocated by order of registration.

The deadline for submissions is 15 June 2012.

Decisions on accepted papers will be made by 30 June 2012.

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