Rhenish Multivariate Time Series Econometrics (RMSE)

Date: 23 and 24 March 2017
Location: CB-02

Thursday, 23 March, Room CB-2

 

12.00-13.00  

Registration

 

 

Session 1

Chair: Andreas Pick

13.00-13.30

Siem Jan Koopman (VU)

Long term forecasting of El Nino events via dynamic factor simulations

13.30-14.00

Dominik Wied (Köln)
Residual-based inference on moment hypotheses, with an application to testing for constant correlation

14.00-14.30

Didier Nibbering (ESE)

A Bayesian infinite hidden Markov VAR model

 

 

14.30-14.50

Break

 

 

Session 2

Chair: Michael Massmann

14.50-15.20

Matei Demetrescu (Kiel)

Long autoregressions under asymmetric loss

15.20-15.50

Katarzyna Łasak (VU)

On an alternative fractional model

15.50-16.20

Ying Lun Cheung (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)

Bank business models at low interest rates

17.10-17.40

Jörg Breitung (Köln)

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 (UvA)

Bootstrapping non-stationary stochastic volatility

10.00-10.30

Christian Conrad (Heidelberg)
Macroeconomic expectations and the time-varying stock-bond correlation: International evidence

10.30-11.00

Tom Boot (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)
Quantile-based measures of variation: Testing for non-Gaussianity in HF data

 

11.50-12.20

Wendun Wang (EUR)
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 (UvA)

Subset inference in heteroscedastic linear IV regressions

 

 

14.20-14.40

Break

 

 

Session 4

Chair: Wendun Wang

14.40-15.10

Hande Karabiyik (VU)

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 with adaptive learning