The conference starts on Friday June 12 after lunch, and ends on Saturday June 13 after lunch. The conference dinner takes place on Friday evening.

The program can found below, and is also available in PDF. The list of abstracts can be found here, or by clicking on the titles in the program below.

Several participants of the conference are interested in organizing a cycle ride on Saturday afternoon after the conference ends. See here for more information and to express your interest in joining.

Program

Friday June 12
Time Session Location

12:30 – 13:00 Registration Ad Fundum

13:00 – 13:05 Opening and Welcome Aula (H0.01)
Kees Jan van Garderen

13:05 – 14:20 Session 1: Panel Data 1 Aula (H0.01)
Chair: Kees Jan van Garderen
Geert Dhaene (KU Leuven)
Profile-score adjustments for incidental-parameter problems
Andrew Pua (University of Amsterdam)
The Role of Sparsity in Panel Data Models
Siem Jan Koopman (VU University Amsterdam)
Weighted Maximum Likelihood Estimator for Low Frequency Dynamic Factor Models
14:20 – 14:40 Coffee Break Ad Fundum
14:40 – 15:40 Keynote Lecture Aula (H0.01)
Chair: Stephan Smeekes
Ulrich Müller (Princeton University)
Ultra Low-Frequency Econometrics

15:40 – 17:00 Poster Session + Coffee Ad Fundum
Sander Barendse (Erasmus University Rotterdam)
Global Currency Hedging with Multivariate Dynamic Copulas
Andreea Bicu (Maastricht University)
Cross-border effects of fiscal policy in the Eurozone
Nicola Ciccarelli (Tilburg University)
Non-Elderly Health Insurance Coverage and Crime
Marina Friedrich (Maastricht University)
Bootstrap simultaneous confidence bands for time-varying coefficient models
Arturas Juodis (University of Amsterdam)
On Maximum Likelihood Estimation of Dynamic Panel Data Models
Hande Karabiyik (Lund University)
Testing for Predictability in Panels with General Predictors
Bart Keijsers (Erasmus University Rotterdam)
Long-term investing in a data-rich environment
Andrei Lalu (University of Amsterdam)
Asset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments
Katarzyna Lasak (VU University Amsterdam)
Long-run Identification and Inference in a Fractionally Cointegrated System
Yang Liu (University of Amsterdam)
Correlation Aggregation in Intraday Financial Data
Didier Nibbering (Erasmus University Rotterdam)
What Do Professional Forecasters Actually Predict?
Anne Opschoor (VU University Amsterdam)
Multivariate FIGAS Models for Fat-Tailed Returns and Realized Covariance Kernels
Alessandro Pollastri (Maastricht University)
Risk Measures with Volatility Risk
Renata Rabovic (Tilburg University)
Partial Maximum Likelihood Estimation of Spatial Sample Selection Models
Hanno Reuvers (Maastricht University)
A Focused Information Criterion for Locally Misspecified Autoregressive Models
Mario Rothfelder (Tilburg University)
Testing for a Threshold in Models with Endogenous Regressors
Kristiana Rozite (University of Groningen)
Combined measure of market sentiment and its relation to GDP growth
Julia Schaumburg (VU University Amsterdam)
Dynamic spatial models in financial econometrics
Eduard Suari-Andreu (University of Groningen)
The Effect of House Price Changes on Household Saving Behavior
Yutao Sun (KU Leuven)
Higher-order corrected likelihood
Sean Telg (Maastricht University)
Forecasting Inflation in Europe with Mixed Causal-Noncausal Models
Jianbin Wu (KU Leuven)
The risk-return tradeoff in international stock markets: One-step multivariate GARCH-M estimation with many assets
Zhaokun Zhang (VU University Amsterdam)
Forecasting U.S. Inflation using U.C. Phillips Curve Model
Bo Zhou (Tilburg University)
Semiparametrically optimal hybrid rank tests for unit roots

17:00 – 18:15 Session 2: Time Series Aula (H0.01)
Chair: Laura Spierdijk
Christoph Hanck (University of Duisburg-Essen & University of Groningen)
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility
Noud van Giersbergen (University of Amsterdam)
The Ability to Correct the Bias in the Stable AD(1,1) Model with a Feedback Effect
Pavel Cizek (Tilburg University)
Jump-Preserving Functional-Coefficient Models for Nonlinear Time Series

19:15 Dinner
At Restaurant Petit Bonheur, Achter de Molens 2, 6211 JC Maastricht
Route description via Google Maps

Saturday June 13

09:00 – 10:15 Session 3: Applications Aula (H0.01)
Chair: Siem Jan Koopman
Rogier Potter van Loon (Erasmus University Rotterdam)
Measuring ambiguity attitude: (extended) multiplier preferences for the American and the Dutch population
Pierre Mohnen (Maastricht University)
Inclusive growth and innovation: a random coefficient VAR model on a panel of countries
Diego Ronchetti (University of Groningen)
Comparing asset pricing models by the conditional Hansen-Jagannathan distance

10:15 – 10:35 Coffee Break Ad Fundum

10:35 – 11:50 Session 4: Panel Data 2 Aula (H0.01)
Chair: Geert Dhaene
Ryo Okui (VU University Amsterdam)
Panel Data Analysis with Heterogeneous Dynamics
Samuel Sender (Tilburg University)
Simply Pooling Nuisance Away: A simple pooled panel estimator for dynamic cointegrated panels, nuisance-parameter-free under fixed-b asymptotics
Wendun Wang (Erasmus University Rotterdam)
To pool or not to pool: What is a good strategy?

11:50 – 12:10 Coffee Break Ad Fundum

12:10 – 13:00 Session 5: VAR models Aula (H0.01)
Chair:
Alain Hecq (Maastricht University)
Serial Correlation Common Noncausal Features
Peter Reusens (KU Leuven)
Detecting time variation in the price puzzle: An improved prior choice for time varying parameter VAR models

13:00 – 14:00 Lunch Ad Fundum