Rotterdam Seminars Econometric Institute Archives

MAR142019

Can Academic Research Generate New Anomalies?
Rotterdam Seminars Econometric Institute

Speaker(s):

Alex Horenstein (University of Miami, United States)
FEB212019

Distribution Regression with Selection, with an Application to Wage Decompositions in the UK
Rotterdam Seminars Econometric Institute

Speaker(s):

Ivan Fernandez-Val (Boston University, United States)
NOV292018

Estimation of the Realized High-Order Moments
Rotterdam Seminars Econometric Institute

Speaker(s):

Ostap Okhrin (TU Dresden, Germany)
NOV222018

A Unified Framework for the Estimation and Inference in Linear Quantile Regression: A Local Polynomial Approach
Rotterdam Seminars Econometric Institute

Speaker(s):

Štepana Lazarova (Queen Mary University of London, United Kingdom)
NOV152018

Inference under Shape Restrictions
Rotterdam Seminars Econometric Institute

Speaker(s):

Joachim Freyberger (University of Wisconsin-Madison, United States)
NOV082018

Determination of Vector Error Correction Models in High Dimensions
Rotterdam Seminars Econometric Institute

Speaker(s):

Melanie Schienle (Karlsruhe Institute of Technology, Germany)
NOV012018

Prediction when fitting simple models to high-dimensional data
Rotterdam Seminars Econometric Institute

Speaker(s):

Hannes Leeb (University of Vienna, Austria)
OCT252018

Flexible Modelling of Multivariate Time Series
Rotterdam Seminars Econometric Institute

Speaker(s):

Jim Griffin (University of Kent, United Kingdom)
OCT182018

Two-Part Models are Robust to Endogenous Selection
Rotterdam Seminars Econometric Institute

Speaker(s):

David Drukker (STATA Corp, United States)
OCT042018

Understanding Potential Outliers using the O3 Plot
Rotterdam Seminars Econometric Institute

Speaker(s):

Antony Unwin (University of Augsburg, Germany)
SEP272018

Distribution Regression with Selection, with an Application to Wage Decompositions in the UK
Rotterdam Seminars Econometric Institute

Speaker(s):

Ivan Fernandez-Val (Boston University, United States)
JUN212018

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
Rotterdam Seminars Econometric Institute

Speaker(s):

Marcelo Cunha Medeiros (PUC Rio de Janeiro, Brasil)
JUN042018

Estimating Weak Factor Models
Rotterdam Seminars Econometric Institute

Speaker(s):

Takashi Yamagata (York University, Canada)
MAY182018

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty
Rotterdam Seminars Econometric Institute

Speaker(s):

Nikolaus Hautsch (University of Vienna, Austria)
MAY152018

Efficient Policy Learning
Rotterdam Seminars Econometric Institute

Speaker(s):

Stefan Wagner (Stanford University, United States)
MAY032018

Identification and Estimation of Dynamic Factor Models
Rotterdam Seminars Econometric Institute

Speaker(s):

Matei Demetrescu (Kiel University, Germany)
MAY012018

BANOVA: Bayesian Analysis of Experiments in Consumer Psychology
Rotterdam Seminars Econometric Institute

Speaker(s):

Michel Wedel (University of Maryland)
APR192018

Multiple Channels of Financial Contagion: A Network-Based Econometric Approach
Rotterdam Seminars Econometric Institute

Speaker(s):

Deniz Erdemlioglu (IESEG School of Management, France)
APR122018

Conditional Moment Restriction Models with Incomplete Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Valentin Patilea, (ENSAI, France)
MAR222018

On a Pseudo-Maximum Likelihood Estimator for the Extremal Index
Rotterdam Seminars Econometric Institute

Speaker(s):

Axel Bücher (Ruhr-Universitaet Bochum, Germany)
MAR152018

Empirical Asset Pricing via Machine Learning
Rotterdam Seminars Econometric Institute

Speaker(s):

Daicheng Xiu (University of Chicago, United States)
FEB082018

Robust Forecast Evaluation of Expected Shortfall
Rotterdam Seminars Econometric Institute

Speaker(s):

Johanna F. Ziegel (University of Bern, Switzerland)
FEB012018

Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk
Rotterdam Seminars Econometric Institute

Speaker(s):

Mingli Chen (Warwick University, United Kingdom)
DEC142017

Endogeneity in Semiparametric Threshold Regression
Rotterdam Seminars Econometric Institute

Speaker(s):

Andros Kourtellos (Cyprus University, Cyprus)
DEC122017

Modeling Temporally Evolving and Spatially Globally Dependent Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Emilio Porcu (Newcastle University, United Kingdom & University Federico Santa Maria, Spain)
DEC072017

Title to be announced
Rotterdam Seminars Econometric Institute

Speaker(s):

George Kapetanios (Queen Mary University of London, United Kingdom)
NOV302017

Keeping up with Peers in India: A New Social Interactions Model of Perceived Needs
Rotterdam Seminars Econometric Institute

Speaker(s):

Arthur Lewbel (Boston College, United States)
NOV232017

Credit Conditions and the Effects of Economic Shocks: Amplification and Asymmetries
Rotterdam Seminars Econometric Institute

Speaker(s):

Ana Galvao (Warwick University, United Kingdom)
NOV162017

Time-Varying Vector Autoregressive Models with Structural Dynamic Factors
Rotterdam Seminars Econometric Institute

Speaker(s):

Julia Schaumburg (VU Amsterdam)
OCT262017

Quantile Spectral Analysis for Locally Stationary Time Series
Rotterdam Seminars Econometric Institute

Speaker(s):

Marc Hallin (Université libre de Bruxelles, Belgium)
OCT122017

The Seminar has been Cancelled
Rotterdam Seminars Econometric Institute

Speaker(s):

Arun Chandrasekhar (Stanford University, United States)
MAY302017

Fixed-Effect Regressions on Network Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Martin Weidner (University College London, United Kingdom)
MAY042017

Identifying Latent Grouped Structures in Nonlinear Panels
Rotterdam Seminars Econometric Institute

Speaker(s):

Liangjun Su (Singapore Management University, Singapore)
APR202017

Monetary Policy Uncertainty and Economic Fluctuations
Rotterdam Seminars Econometric Institute

Speaker(s):

Drew Creal (University of Chicago, United States)
APR062017

A Uniform Vuong Test for Semi/Nonparametric Models
Rotterdam Seminars Econometric Institute

Speaker(s):

Zhipeng Liao (University of California, Los Angeles, United States)
MAR162017

Efficient Estimation with a Finite Number of Simulation Draws per Observation
Rotterdam Seminars Econometric Institute

Speaker(s):

Kirill Evdokimov (Princeton University, USA)
DEC082016

Partial Identification in Moment Equality Models under Data Combination
Rotterdam Seminars Econometric Institute

Speaker(s):

Yanqin Fan (University of Washington, United States)
DEC012016

Uniform Inference in SVARS identified with External Instruments
Rotterdam Seminars Econometric Institute

Speaker(s):

Jose Montiel Olea (Columbia University, United States)
NOV172016

Counterfactual Prediction in Complete Information Games: Point Prediction under Partial Identification
Rotterdam Seminars Econometric Institute

Speaker(s):

Joris Pinkse (Penn State University , United States)
NOV102016

Time Series Analysis in Psychology
Rotterdam Seminars Econometric Institute

Speaker(s):

Casper Albers (University of Groningen)
NOV032016

Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Rotterdam Seminars Econometric Institute

Speaker(s):

Francesco Ravazzolo (Free University of Bozen/Bolzano)
OCT272016

Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure
Rotterdam Seminars Econometric Institute

Speaker(s):

Chu-Ann Liu (Academia Sinica, Taiwan)
OCT202016

Structural Modeling of Sales and Prices in the 2014 New Car Market in France
Rotterdam Seminars Econometric Institute

Speaker(s):

Matthieu de Lapparent (Ecole Polytechnique Fédérale de Lausanne, Switzerland)
SEP222016

Model-based Analysis of Purchase Behavior in Large Assortments
Rotterdam Seminars Econometric Institute

Speaker(s):

Bruno Jacobs (Erasmus University Rotterdam)
SEP012016

Significance Bands
Rotterdam Seminars Econometric Institute

Speaker(s):

Oscar Jorda
AUG182016

Three-valued Simple Games and Applications to Minimum Coloring Problems
Rotterdam Seminars Econometric Institute

Speaker(s):

Marieke Musegaas (Tilburg University, The Netherlands)
JUN022016

Consistent Estimation of Optimized Functions for the Analysis of Portfolio Strategies
Rotterdam Seminars Econometric Institute

Speaker(s):

Diego Ronchetti (University of Groningen, the Netherlands)
MAY262016

Deep Learning from Small Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Max Welling (University of Amsterdam)
MAY192016

Conditional Inference with a Functional Nuisance Parameter
Rotterdam Seminars Econometric Institute

Speaker(s):

Isaiah Andrews (Harvard University, United States)
MAY122016

Detecting Anomalous Data Cells
Rotterdam Seminars Econometric Institute

Speaker(s):

Peter Rousseeuw (KU Leuven, Belgium)
APR142016

In Search of a Nominal Anchor: What drives Long-Term Inflation Expectations?
Rotterdam Seminars Econometric Institute

Speaker(s):

Emanuel Moench (Deutsche Bundesbank, Germany)
APR072016

Testing no Cointegration in Large VARs
Rotterdam Seminars Econometric Institute

Speaker(s):

Alexei Onatskiy (University of Cambridge, United Kingdom)
MAR312016

Robust and Non-parametric Detection of Change-points in Time Series using U-statistics and U-quantiles
Rotterdam Seminars Econometric Institute

Speaker(s):

Roland Fried (Technical University Dortmund, Germany)
MAR212016

Robust Inference in Sample Selection Models
Rotterdam Seminars Econometric Institute

Speaker(s):

Mikhail Zhelonkin (University of Lausanne)
MAR112016

Multivariate Extreme Value Index: Hill and Moment-Based Estimators
Rotterdam Seminars Econometric Institute

Speaker(s):

Yves Dominicy (Universite Libre de Bruxelles, Belgium)
MAR042016

THIS SEMINAR HAS BEEN CANCELLED
Rotterdam Seminars Econometric Institute

Speaker(s):

Laurent Callot (VU University Amsterdam)
FEB162016

The Practice of FX Spot Trading and Competition amongst Liquidity Providers
Rotterdam Seminars Econometric Institute

Speaker(s):

Roel Oomen (University of Cambridge, United Kingdom)
JAN152016

The Impact of Evolving Consumer Behavior on a Dual-channel Retailer’s Service Levels
Rotterdam Seminars Econometric Institute

Speaker(s):

Nevin Mutlu (Virginia Polytechnic State University, United States)
DEC102015

Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes
Rotterdam Seminars Econometric Institute

Speaker(s):

Ryo Okui (Kyoto University, Japan)
DEC032015

Testing for Predictability in Panels with General Predictors
Rotterdam Seminars Econometric Institute

Speaker(s):

Joakim Westerlund (Lund University, Sweden)
NOV262015

Credit Ratings and the Pricing of Collateralized Debt Obligations
Rotterdam Seminars Econometric Institute

Speaker(s):

Maksim Isakin (University of Calgary, Canada)
NOV192015

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
Rotterdam Seminars Econometric Institute

Speaker(s):

Kris Boudt (Vrije Universiteit Brussel/Amsterdam, Europe)
NOV122015

Some Theoretical Results on Forecast Combinations
Rotterdam Seminars Econometric Institute

Speaker(s):

Laurent Pauwels (University of Sydney, Australia)
NOV052015

From Contextual Bandits to Conditional Treatment Effects
Rotterdam Seminars Econometric Institute

Speaker(s):

Thorsten Joachims (Cornell University, United States)
NOV032015

How does the Market view Bank Regulatory Capital Forbearance Policies?
Rotterdam Seminars Econometric Institute

Speaker(s):

XiaoXia Ye (Stockholm University, Sweden)
NOV022015

The Determinants of Equity Option Returns
Rotterdam Seminars Econometric Institute

Speaker(s):

Xiao Xiao (Erasmus University Rotterdam, the Netherlands)
OCT292015

Realized Factor GARCH
Rotterdam Seminars Econometric Institute

Speaker(s):

Peter Hansen (European University Institute, Italy)
OCT152015

Low-Frequency Asset Pricing Dynamics
Rotterdam Seminars Econometric Institute

Speaker(s):

Federico Bandi (Johns Hopkins University, United States)
OCT012015

Local Trends in Price-to-Dividend Ratios – Assessment, Predictive Value and Determinants
Rotterdam Seminars Econometric Institute

Speaker(s):

Fang Xu (University of Reading, United Kingdom)
SEP242015

A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Charles Bos (VU University Amsterdam, the Netherlands)
SEP102015

Optimal Long-Term Allocation with Pension Fund Liabilities
Rotterdam Seminars Econometric Institute

Speaker(s):

Michael Rockinger (University of Lausanne, Switzerland)
AUG272015

Controlled Shrinkage and Variable Selection
Rotterdam Seminars Econometric Institute

Speaker(s):

Tom Boot (Erasmus School of Economics, Erasmus University Rotterdam)
JUL092015

An Articial Counterfactual Approach for Aggregate Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Marcelo Medeiros (Pontificia Universidade Catolica, Brazil)
JUN182015

Long-term Mean Credit Spread Curves
Rotterdam Seminars Econometric Institute

Speaker(s):

Erik Hennink (Ortec, the Netherlands)
JUN112015

Weighted-Average Least Squares
Rotterdam Seminars Econometric Institute

Speaker(s):

Jan Magnus (VU University Amsterdam, the Netherlands)
JUN042015

Leontief Model: How to make the Economics Productive
Rotterdam Seminars Econometric Institute

Speaker(s):

Vladimir Yu. Protassov (Moskow State University, Russia)
MAY282015

Statistics of Heteroskedastic Extremes
Rotterdam Seminars Econometric Institute

Speaker(s):

Chen Zhou (Erasmus University Rotterdam, the Netherlands)
MAY212015

The Intrafirm Complexity of systemically Important Financial Institutions
Rotterdam Seminars Econometric Institute

Speaker(s):

Robin Lumsdaine (American University, Washington DC, United States)
MAY212015

Survey of the Theory of Extremal Problems
Rotterdam Seminars Econometric Institute

Speaker(s):

Vladimir Tikhomirov (Moscow State University, Russia)
MAY072015

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Rotterdam Seminars Econometric Institute

Speaker(s):

Xu Cheng (University of Pennsylvania, United States)
APR232015

ls a Normal Copula the Right Copula?
Rotterdam Seminars Econometric Institute

Speaker(s):

Dante Amengual (Universidad Internacional Menéndez Pelayo, Spain)
APR162015

A New Regression-Based Tail Index Estimator
Rotterdam Seminars Econometric Institute

Speaker(s):

Paulo Rodrigues (Bank of Portugal, Portugal)
MAR052015

Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables
Rotterdam Seminars Econometric Institute

Speaker(s):

Roman Liesenfeld (Universität Köln, Germany)
MAR032015

Outlier Detection Algorithms for Least Squares Time Series
Rotterdam Seminars Econometric Institute

Speaker(s):

Bent Nielsen (University of Oxford, United Kingdom)
FEB262015

Trends in Distributional Characteristics: Existence of Global Warming
Rotterdam Seminars Econometric Institute

Speaker(s):

Jesus Gonzalo Muñoz (Universidad Carlos III de Madrid, Spain)
FEB122015

A Flexible Framework for Regularized Low-rank Matrix Estimation
Rotterdam Seminars Econometric Institute

Speaker(s):

Julie Josse (Agrocampus Ouest, Rennes, France)
JAN292015

First-Passage-Time in Discrete Time
Rotterdam Seminars Econometric Institute

Speaker(s):

Marcin Jaskowski (Erasmus University Rotterdam, the Netherlands)
DEC112014

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
Rotterdam Seminars Econometric Institute

Speaker(s):

Christine Baumans (Bank of Canada, Canada)
DEC042014

Financial Crises and the State of the Real Economy: An Extreme Value Approach
Rotterdam Seminars Econometric Institute

Speaker(s):

Stefan Straetmans (Maastricht University, the Netherlands)
NOV202014

Trading Fast and Slow: Colocation and Liquidity
Rotterdam Seminars Econometric Institute

Speaker(s):

Bjorn Hagstromer (Stockholm University, Sweden)
NOV062014

Information Rigidities and the News-adjusted Output Gap
Rotterdam Seminars Econometric Institute

Speaker(s):

Anthony Garratt (The University of Warwick, United Kingdom)
OCT162014

Estimating Structural Parameters in Regression Models with Adaptive Learning
Rotterdam Seminars Econometric Institute

Speaker(s):

Michael Massmann (VU University Amsterdam, the Netherlands)
SEP252014

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Rotterdam Seminars Econometric Institute

Speaker(s):

Andrea Carriero (Queen Mary University, London, United Kingdom)
SEP182014

Bank Credit Risk Networks: Evidence from the Eurozone Crisis
Rotterdam Seminars Econometric Institute

Speaker(s):

Christian Brownlees (Pompeu Fabra, Spain)
SEP042014

How do Short-sale Costs affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands
Rotterdam Seminars Econometric Institute

Speaker(s):

Tse-Chun Lin (Hong Kong University, PR of China)
JUN252014

Modelling Uncertainty: Theory and Applications
Rotterdam Seminars Econometric Institute

Speaker(s):

Professors Didier Dubois; Trevor Martin; João M.C. Sousa; Peter Wakker; and Herman K. van Dijk
JUN122014

High-frequency Data Modeling using Hawkes Processes
Rotterdam Seminars Econometric Institute

Speaker(s):

Valerie Chavez Demoulin (HEC Lausanne, Switzerland)
MAY082014

An Exchange Rate Model with Market Pressures and Contagion Effect
Rotterdam Seminars Econometric Institute

Speaker(s):

Aleksander Welfe (University of Lødz and Warsaw School of Economics, Poland)
MAY012014

Profile-score Adjustments for Incidental-parameter Problems
Rotterdam Seminars Econometric Institute

Speaker(s):

Geert Dhaene (KU Leuven, Belgium)
APR172014

Exact Optimization using Simulated Annealing, Adaptive Temperature Reduction, and Sequential Monte Carlo
Rotterdam Seminars Econometric Institute

Speaker(s):

John Geweke (Erasmus University Rotterdam)
APR102014

Variance Components, Term Structures of Variance Risk Premia, and Expected Asset Returns
Rotterdam Seminars Econometric Institute

Speaker(s):

Jun Ye Li (University of Essex, United Kingdom)
APR032014

A Bayesian Approach for Robust Analysis of Choice Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Benoit Dries (Ghent University, Belgium)
MAR272014

Volatility Risk Premia and Exchange Rate Predictability
Rotterdam Seminars Econometric Institute

Speaker(s):

Pasqualle Della Corte (Imperial College London, United Kingdom)
MAR132014

A Nonparametric Estimator for the Covariance Function of Functional Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Alessio Sancetta (Royal Holloway University of London, United Kingdom)
MAR062014

Unexplained Factors and their Effects on Second Pass R-squared’s and t-tests
Rotterdam Seminars Econometric Institute

Speaker(s):

Frank Kleibergen (Brown University, United States of America)
FEB202014

The Contribution of Structural Break Models to Forecasting Macroeconomic Series
Rotterdam Seminars Econometric Institute

Speaker(s):

Jeroen Rombouts (HEC Montréal, Canada)
FEB072014

Modeling Preference Change through Brand Satiation
Rotterdam Seminars Econometric Institute

Speaker(s):

Nobuhiko Terui (Tohoku University, Japan)
FEB062014

Fiscal Spillovers in the Euro Area
Rotterdam Seminars Econometric Institute

Speaker(s):

Giugliemlo Caporale (Brunel University London, United Kingdom)
NOV282013

Latent Topic Modeling of Consumer Reviews: Linking Text Evaluations to Customer Satisfaction and Brands
Rotterdam Seminars Econometric Institute

Speaker(s):

Joachim Bueschken (Katholische Universität Eichstätt-Ingolstadt, Germany)
NOV212013

Assessing Asset Purchases within the ECB’s Securities Markets Programme
Rotterdam Seminars Econometric Institute

Speaker(s):

Bernd Schwaab (European Central Bank, Germany)
NOV142013

Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
Rotterdam Seminars Econometric Institute

Speaker(s):

Massimo Guidolin (Bocconi University, Italy)
OCT312013

A Unified Theory for Time Varying Models: Foundations and Applications in the Presence of Breaks and Heteroscedasticity (and Some Results on Companion and Hessenberg Matrices)
Rotterdam Seminars Econometric Institute

Speaker(s):

Menelaos Karanasos (Brunel University, United Kingdom)
OCT242013

Efficient Inference with Time-Varying Identification Strength
Rotterdam Seminars Econometric Institute

Speaker(s):

Otilia Boldea (University of Tilburg)
OCT102013

On Joint Dimension Reduction and Clustering of Categorical Data
Rotterdam Seminars Econometric Institute

Speaker(s):

Michel van de Velden (Erasmus University Rotterdam)
SEP242013

Idiosyncratic Cash Flows and Systematic Risk
Rotterdam Seminars Econometric Institute

Speaker(s):

Ilona Babenko (The University of Arizona, United States)
SEP192013

Forecasting with Many Predictors: Allowing for Non-linear Effects
Rotterdam Seminars Econometric Institute

Speaker(s):

Eran Raviv (Erasmus University Rotterdam)
JUN202013

Relaxing Monotonicity in the Identification of Local Average Treatment
Rotterdam Seminars Econometric Institute

Speaker(s):

Giovanni Mellace (University of St. Gallen, Switzerland)
JUN132013

A Kernel Based Bootstrap Method for Dependent Processes
Rotterdam Seminars Econometric Institute

Speaker(s):

Paolo Parente (University of Exeter, United Kingdom)
JUN062013

Testing for Level Shifts in a potentially Long Memory Framework: A State-Space Approach
Rotterdam Seminars Econometric Institute

Speaker(s):

Stefano Grassi (Aarhus University, Denmark)
MAY302013

How much do Children learn in Education Systems around the World?
Rotterdam Seminars Econometric Institute

Speaker(s):

Dinand Webbink (Erasmus University Rotterdam)
MAY232013

A Forward-Looking Model of the Term Structure of Interest Rates
Rotterdam Seminars Econometric Institute

Speaker(s):

Albert Lee Chun (University of Aarhus, Denmark)
MAY162013

An Almost Closed Form Estimator for the EGARCH Model
Rotterdam Seminars Econometric Institute

Speaker(s):

Christian Hafner (UC Louvain, Belgium)
APR182013

Dynamic Conditional Correlation Models for Realized Covariance Matrices
Rotterdam Seminars Econometric Institute

Speaker(s):

Luc Bauwens (Louvain)
APR042013

Non-Linear Panel Data Models with Expected a posterion Values of Correlated Random Effects
Rotterdam Seminars Econometric Institute

Speaker(s):

Amaresh Tiwari (Univ. of Liege)
FEB262013

Histogram Time Series Forecasting. An Application in Finance
Rotterdam Seminars Econometric Institute

Speaker(s):

Javier Arroyo, University of Madrid
JAN312013

Concept-based Bayesian Model Averaging and Growth Empirics
Rotterdam Seminars Econometric Institute

Speaker(s):

Wedun Wang (Tilburg)
JAN242013

Stemming the Big Crash: A Triple Hazard Analysis of Price and Sales Crashes of New Products
Rotterdam Seminars Econometric Institute

Speaker(s):

Georgios Effraimidis ( University of Southern Denmark)
NOV262012

Detecting Crises, Jumps, and Changes in Regime
Rotterdam Seminars Econometric Institute

Speaker(s):

Neil Ericsson (Federal Reserve Board)
NOV152012

Recalibrated Opinion Pools
Rotterdam Seminars Econometric Institute

Speaker(s):

James Mitchell (Warwick Business School)
JUN212012

Credit Spreads, Factors and Noise
Rotterdam Seminars Econometric Institute

Speaker(s):

Marcin Jaskowski (University of Vienna)
JUN072012

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Rotterdam Seminars Econometric Institute

Speaker(s):

Patrick Gagliardini (University of Lugano and Swiss Finance Institute)
JUN042012

Workshop on Recent Theory and Applications of DSGE Models
Rotterdam Seminars Econometric Institute

Speaker(s):

Keynote speaker: Frank Schorfheide (University of Pennsylvania)
MAY312012

Common Drifting Volatility in Large Bayesian VARs
Rotterdam Seminars Econometric Institute

Speaker(s):

Massimiliano Marcellino (European University Institute)
MAY242012

Symmetric Jackknife Instrumental Variable Estimation
Rotterdam Seminars Econometric Institute

Speaker(s):

Paul Bekker (University of Groningen)
MAY142012

An Endogenously Clustered Factor Approach to International Business
Rotterdam Seminars Econometric Institute

Speaker(s):

Michael Owyang (Federal Reserve Bank of St. Louis)
MAY112012

Massively Parallel Computing in Economics and Finance
Rotterdam Seminars Econometric Institute

Speaker(s):

John Geweke, Neil Shephard, Arnoud Doucet, Ron Gallant, Christophe Andrieu, Nicholas Chopin, and Drew Creal
MAY102012

Large Time-Varying Parameter VARs
Rotterdam Seminars Econometric Institute

Speaker(s):

Gary Koop (University of Strathclyde)
MAY092012

Massively Parallel Sequential Monte Carlo for Bayesian Inference
Rotterdam Seminars Econometric Institute

Speaker(s):

John Geweke (University of Technology Sydney, EUR and University of Colorado)
JAN272012

Bayesian Econometrics in Macroeconomics and Finance
Rotterdam Seminars Econometric Institute

Speaker(s):

Conference
DEC132011

Double Seminar
Rotterdam Seminars Econometric Institute

Speaker(s):

Christophe Croux (KU Leuven) and Niels Haldrup (CREATES)
DEC082011

Econometric Institute Seminar
Rotterdam Seminars Econometric Institute

Speaker(s):

John Rose (University of Sydney)
NOV242011

The Legacy of the Brethren of the Common Life
Rotterdam Seminars Econometric Institute

Speaker(s):

Bas ter Weel (Maastricht University, and CPB)
NOV172011

Quantile and Expectile Smoothing
Rotterdam Seminars Econometric Institute

Speaker(s):

Paul Eilers (Erasmus University Medical Centre)
NOV102011

Default, Liquidity and Crises: An Econometric Framework
Rotterdam Seminars Econometric Institute

Speaker(s):

Alain Monfort (CREST, DGEI-DEMFI Banque de France, and Maastricht University)
SEP222011

Optimal Partial-Profile Designs for Discrete Choice Experiments in the Presence of Many Attributes
Rotterdam Seminars Econometric Institute

Speaker(s):

Peter Goos (University of Antwerp, EUR)
APR152011

Reliability and Rankings
Rotterdam Seminars Econometric Institute

Speaker(s):

Bas Donkers - Martina Vandebroek - Richard Paap - Alberto Maydeu Olivares
NOV232010

An Econometric Approach to Neural Network Model Selection for Financial Time Series analysis
Rotterdam Seminars Econometric Institute

Speaker(s):

Nikos Thomaidis (Department of Financial Engineering & Management University of the Aegean)
DEC032009

ARIP: An Additive Random Item Parameter Model for Binary and Ordered-Category Data, with Random Induction and Random Sensitivity Parameters
Rotterdam Seminars Econometric Institute

Speaker(s):

Paul de Boeck (University of Amsterdam)
NOV262009

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation
Rotterdam Seminars Econometric Institute

Speaker(s):

Nikolaus Hautsch (Humboldt-Universitaet zu Berlin)
OCT222009

Parameter Identifiability, Model Equivalence and the Interpretation of Parameters in an Educational Measurement context
Rotterdam Seminars Econometric Institute

Speaker(s):

Gunter Maris (University of Amsterdam, and CITO)
OCT152009

Asymmetric Information In The Interbank Foreign Exchange Market
Rotterdam Seminars Econometric Institute

Speaker(s):

Dagfinn Rime (Norges Bank)
SEP172009

A Framework For Demand And Pricing Dynamics
Rotterdam Seminars Econometric Institute

Speaker(s):

Aviv Nevo (Northwestern University)
SEP032009

Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Rotterdam Seminars Econometric Institute

Speaker(s):

Jan Groen (Federal Reserve Bank of New York)
MAR182009

Using Backward Means to Eliminate Individual Effects from Dynamic Panels
Rotterdam Seminars Econometric Institute

Speaker(s):

Gerdie Everaert, Ghent University
NOV182008

2nd Annual Congress NGB Section Health Care Optimization
Rotterdam Seminars Econometric Institute

Speaker(s):

OPERATIONS RESEARCH & HEALTH CARE (17 - 18 November)

Tinbergen

Past Rotterdam Seminars Econometric Institute seminars

Can Academic Research Generate New Anomalies?

Distribution Regression with Selection, with an Application to Wage Decompositions in the UK

Estimation of the Realized High-Order Moments

A Unified Framework for the Estimation and Inference in Linear Quantile Regression: A Local Polynomial Approach

Inference under Shape Restrictions

Determination of Vector Error Correction Models in High Dimensions

Prediction when fitting simple models to high-dimensional data

Flexible Modelling of Multivariate Time Series

Two-Part Models are Robust to Endogenous Selection

Understanding Potential Outliers using the O3 Plot

Distribution Regression with Selection, with an Application to Wage Decompositions in the UK

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Estimating Weak Factor Models

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Efficient Policy Learning

Identification and Estimation of Dynamic Factor Models

BANOVA: Bayesian Analysis of Experiments in Consumer Psychology

Multiple Channels of Financial Contagion: A Network-Based Econometric Approach

Conditional Moment Restriction Models with Incomplete Data

On a Pseudo-Maximum Likelihood Estimator for the Extremal Index

Empirical Asset Pricing via Machine Learning

Robust Forecast Evaluation of Expected Shortfall

Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk

Endogeneity in Semiparametric Threshold Regression

Modeling Temporally Evolving and Spatially Globally Dependent Data

Title to be announced

Keeping up with Peers in India: A New Social Interactions Model of Perceived Needs

Credit Conditions and the Effects of Economic Shocks: Amplification and Asymmetries

Time-Varying Vector Autoregressive Models with Structural Dynamic Factors

Quantile Spectral Analysis for Locally Stationary Time Series

The Seminar has been Cancelled

Fixed-Effect Regressions on Network Data

Identifying Latent Grouped Structures in Nonlinear Panels

Monetary Policy Uncertainty and Economic Fluctuations

A Uniform Vuong Test for Semi/Nonparametric Models

Efficient Estimation with a Finite Number of Simulation Draws per Observation

Partial Identification in Moment Equality Models under Data Combination

Uniform Inference in SVARS identified with External Instruments

Counterfactual Prediction in Complete Information Games: Point Prediction under Partial Identification

Time Series Analysis in Psychology

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure

Structural Modeling of Sales and Prices in the 2014 New Car Market in France

Model-based Analysis of Purchase Behavior in Large Assortments

Significance Bands

Three-valued Simple Games and Applications to Minimum Coloring Problems

Consistent Estimation of Optimized Functions for the Analysis of Portfolio Strategies

Deep Learning from Small Data

Conditional Inference with a Functional Nuisance Parameter

Detecting Anomalous Data Cells

In Search of a Nominal Anchor: What drives Long-Term Inflation Expectations?

Testing no Cointegration in Large VARs

Robust and Non-parametric Detection of Change-points in Time Series using U-statistics and U-quantiles

Robust Inference in Sample Selection Models

Multivariate Extreme Value Index: Hill and Moment-Based Estimators

THIS SEMINAR HAS BEEN CANCELLED

The Practice of FX Spot Trading and Competition amongst Liquidity Providers

The Impact of Evolving Consumer Behavior on a Dual-channel Retailer’s Service Levels

Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

Testing for Predictability in Panels with General Predictors

Credit Ratings and the Pricing of Collateralized Debt Obligations

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Some Theoretical Results on Forecast Combinations

From Contextual Bandits to Conditional Treatment Effects

How does the Market view Bank Regulatory Capital Forbearance Policies?

The Determinants of Equity Option Returns

Realized Factor GARCH

Low-Frequency Asset Pricing Dynamics

Local Trends in Price-to-Dividend Ratios – Assessment, Predictive Value and Determinants

A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data

Optimal Long-Term Allocation with Pension Fund Liabilities

Controlled Shrinkage and Variable Selection

An Articial Counterfactual Approach for Aggregate Data

Long-term Mean Credit Spread Curves

Weighted-Average Least Squares

Leontief Model: How to make the Economics Productive

Statistics of Heteroskedastic Extremes

The Intrafirm Complexity of systemically Important Financial Institutions