23/24 March 2017 – Erasmus School of Economics
Click here to view full program in pdf
Organisation: Jörg Breitung, Michael Massmann, and Andreas Pick
Thursday, 23 March, Room CB-2
| 12:00-13:00 | Registration |
| Session 1 | Chair: Andreas Pick |
| 13:00-13:30 | Siem Jan Koopman (VU Amsterdam) Long term forecasting of El Nino events via dynamic factor simulations |
| 13:30-14:00 | Dominik Wied (University of Cologne) Residual-based inference on moment hypotheses, with an application to testing for constant correlation |
| 14:00-14:30 | Didier Nibbering (Erasmus University Rotterdam) A Bayesian infinite hidden Markov VAR model |
| 14:30-14:50 | Break |
| Session 2 | Chair: Michael Massmann |
| 14:50-15:20 | Matei Demetrescu (Christian-Albrechts-University of Kiel) Long autoregressions under asymmetric loss |
| 15:20-15:50 | Katarzyna Łasak (VU Amsterdam) On an alternative fractional model |
| 15:50-16:20 | Ying Lun Cheung (Goethe University Frankfurt) Long memory factor model: a semi-parametric approach |
| 16:20-16:40 |
Break |
| Session 3 | Chair: Siem Jan Koopman |
| 16:40-17:10 | Julia Schaumburg (VU Amsterdam) Bank business models at low interest rates |
| 17:10-17:40 |
Jörg Breitung (University of Cologne) Multivariate tests for speculative bubbles |
| 18:30 |
Dinner |
Friday, 24 March, Room C2-2
| Session 1 | Chair: Christoph Hanck |
| 9:30-10:00 | Peter Boswijk (University of Amsterdam) Bootstrapping non-stationary stochastic volatility |
| 10:00-10:30 | Onno Kleen (Universität Heidelberg) Volatility Forecasting Using Multiplicative Component Models |
| 10:30-11:00 | Tom Boot (University of Groningen) A near optimal test for structural breaks when forecasting under square error loss |
| 11:00-11:20 | Break |
| Session 2 | Chair: Matei Demetrescu |
| 11:20-11:50 | Charles Bos (VU Amsterdam) Quantile-based measures of variation: Testing for non-Gaussianity in HF data |
| 11:50-12:20 | Wendun Wang (Erasmus University Rotterdam) Heterogeneous structural breaks in panel data models |
| 12:20-13:20 | Lunch |
| Session 3 | Chair: Jörg Breitung |
| 13:20-13:50 | Christoph Hanck (Duisburg-Essen) House prices and interest rates: Bayesian evidence from Germany |
| 13:50-14:20 | Frank Kleibergen (University of Amsterdam) Subset inference in heteroscedastic linear IV regressions |
| 14:20-14:40 | Break |
| Session 4 | Chair: Wendun Wang |
| 14:40-15:10 | Hande Karabiyik (VU Amsterdam) Cross-section average based confidence intervals for diffusion index forecasts and inference for factor augmented regressions |
| 15:10-15:40 | Michael Massmann (WHU) Strong consistency of the least squares estimator in regression models withadaptive learning |
