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Conference on New Trends and Developments in Econometrics

22 jun. 2018 a 23 jun. 2018

The Banco de Portugal is organising its 2nd Conference on New Trends and Developments in Econometrics.
The complex environment in which banks nowadays operate, the complexity of financial instruments, the functioning of markets and institutions, and the important challenges central banks have to face require adequate analytical tools for analysis. This conference will focus on new developments and assessment of econometric methods for use in banking, finance, macroeconomics and microeconomics. The scope of the conference encompasses research in any field of Econometrics or Empirical Econometrics.

Questions about arrangements should be addressed to Maria Soledade Sartóris to conferences@bportugal.pt.

Invited speakers

Keynote addresses:

Manuel Arellano, CEMFI
Federico Bandi, Johns Hopkins Carey Business School
Bruce Hansen, University of Wisconsin-Madison

Perter Boswijk, University of Amsterdam
Joerg Breitung, University of Cologne
Matei Demetrescu, Christian-Albrechts-University of Kiel
Uwe Hassler, Goethe University Frankfurt
José Ferreira Machado, Nova SBE, Universidade Nova de Lisboa
Bent Nielsen, University of Oxford
Martin Wagner, Technical University Dortmund and Bank of Slovenia

Programme

Friday, June 22
09.15 - 09.30	Welcome
Session 1
09.30 - 10.15	Forecasting under strong persistence Uwe Hassler (Goethe-University Frankfurt)
10.15 - 11.00	Residual-augmented IVX predictive regression Matei Demetrescu (Christian-Albrechts-University of Kiel) and Paulo M.M. Rodrigues (Banco de Portugal and Nova SBE, Universidade Nova de Lisboa)
11.00 - 11.30	Coffee Break
Session 2
11.30 - 13.00	Out-of-sample time-frequency predictability of the equity premium Gonçalo Faria (Católica Porto Business School) and Fabio Verona (Bank of Finland and Universidade do Porto CEFUP)
	Modelling time-varying volatility interactions with an application to volatility contagion Cristina Amado and Susana Martins (Universidade do Minho)
	Monitoring value-at-risk and expected shortfall forecasts Matei Demetrescu (Christian-Albrechts-University of Kiel) and Yannick Hoga (University of Duisburg-Essen)
13.00 - 14.30	Lunch
Session 3
14.30 - 15.15	Systematic staleness Federico Bandi (Johns Hopkins Carey Business School)
15.15 - 16.00	Bootstrapping non-stationary stochastic volatility Peter Boswijk (University of Amsterdam)
16.00 - 16.30	Coffee Break
Session 4
16.30 - 17.30	Fractional cointegration and EMU government bond market integration Christian Leschinski, Philipp Sibbertsen and Michelle Voges (Leibniz University Hannover)
	Uncertainty-driven comovements in booms and busts: a structural interpretation Giovanni Caggiano (Monash University and University of Padova), Efrem Castelnuovo (University of Melbourne and University of Padova) and Giovanni Pellegrino (University of Melbourne)

Saturday, June 23
Session 5
09.30 - 10.15	The exact distribution of the t-ratio with robust and clustered standard errors Bruce Hansen (University of Wisconsin - Madison)
10.15 - 11.00	Asymmetric impulse responses Benjamin Born (University of Bonn) and Joerg Breitung(University of Cologne)
11.00 - 11.30	Coffee Break
Session 6
11.30 - 12.15	Testing linear cointegration against smooth transition cointegration Martin Wagner (Technical University Dortmund and Banka Slovenije)
12.15 - 13.00	Asymptotic theory of outlier detection algorithms for linear time series regression models Søren Johansen (University of Copenhagen and CREATES, Aarhus University) and Bent Nielsen (University of Oxford)
13.00 - 14.30	Lunch
Session 7
14.30 - 15.15	Recovering latent variables by matching Manuel Arellano (CEMFI) and Stéphane Bonhomme (University of Chicago)
15.15 - 16.00	Quantiles via moments José Ferreira Machado (NOVA SBE, Universidade Nova de Lisboa) and João Santos Silva (University of Surrey)
16.00 - 16.45	The returns to schooling unveiled Ana Rute Cardoso (IAE, CSIC and Barcelona GSE), Paulo Guimarães (Banco de Portugal and Universidade do Porto), Pedro Portugal (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa) and Hugo Reis (Banco de Portugal and Católica Lisbon School of Business & Economics)
16.45 - 17.15	Coffee