Programme 2018 Annual Conference (PDF Version, Book of Abstracts)

University of Amsterdam
Amsterdam School of Economics
ABS, Plantage Muidergracht 12,
11018 TV Amsterdam, near Artis Zoo


9:00 – 9:50  Registration

9:50 – 9:55  Opening and Welcome

10:00 – 11:20  Session 1:  Financial Time Series

Erik Kole   Erasmus University Rotterdam
Spillovers in Markov Switching

Frank Kleibergen   University of Amsterdam
Robust Inference for Consumption-Based Asset Pricing

Maria Grith   Erasmus University Rotterdam
Graphical Models for Multivariate Time Series Using Wavelets

Nalan Basturk   Maastricht University
Bayesian Factor Modeling with Industry Momentum Strategies

11:20 – 11:40  Coffee
11:40 – 12:40  Invited Lecture

Peter C.B. Phillips  Yale University

Dynamic Panel Modeling of Climate Change

12:40 – 13:40  Lunch and posters
13:40 – 14:40  Session 3:  Precision Covariance

Mario P. Rothfelder  Tilburg University
Estimating Sparse Long-Run Precision Matrices for Linear Multivariate Time Series

Anne Opschoor  Vrije Universiteit, Amsterdam
Time-varying tail behavior for realized covariance matrices

Nicolas Tavenier  KU Leuven
Flexible shrinkage of large-dimensional covariance matrices

14:40 – 15:00  Coffee
15:00 – 16:00  Session 4:  Methods & Misspecification

Eleni Aristodemou  University of Amsterdam
A Discrete Choice Model for Horizontally and Vertically Differentiated Alternatives

Laura Spierdijk  University of Groningen
Moment conditions for the quadratic regression model with measurement error

Paolo Gorgi  Vrije Universiteit, Amsterdam
Missing observations in observation-driven time series models

16:00 – 17:00  Poster Session

Yicong Lin  Maastricht University
GLS Estimation and Confidence Sets for the Date of a Single Break in Models with Trends

Li Sun  Maastricht University
Detecting Time Irreversibility Using Quantile Autoregressive Models

Michael Gong  Erasmus University Rotterdam
Forecasting Implied Volatility Surface Using Put-Call Parity Deviations

Marc Nientker  Vrije Universiteit, Amsterdam
A Time-Varying Parameter Model for Local Explosions

Luca Margaritella  Maastricht University
Granger Causality test in High-dimensional VARs: a Post-Double-Selection Procedure

Kasia Lasak  University of Amsterdam
A FCVAR Model Analysis of Long-run Relationship and Price Discovery in the Foreign Exchange Market.

Jochem Oorschot  Erasmus University Rotterdam
Tail dependence of OLS

Hanan E.G. Ahmed  Tilburg University
Improved estimation of the extreme value index using related variables

Etiënne Wijler  Maastricht University
SPECS: An Automated Approach Towards Sparse Single Equation Cointegration Modelling

Caterina Schiavoni  Maastricht University
Realtime estimation of unemployment with dynamic factor and state space models

Bernd Schwaab  European Central Bank
Nonlinear dynamic factor models with interacting level and volatility

Alexander Heinemann  Maastricht University
A Justification of Conditional Confidence Intervals

Alaa Abi Morshed  Tilburg University
Test for structural breaks in the variance of OLS estimators

Oliver Wichert  Tilburg University
Liquidity premiums in various asset clases

Lingwei Kong  University of Amsterdam
Finite Sample Distributions of Identification Robust Factor Pricing Statistics

Agnieszka Borowska  Vrije Universiteit, Amsterdam
Partially Censored Posterior for Robust and Effcient Risk Evaluation

Sanna Stephan  University of Amsterdam
Maximum Likelihood Estimation of Information Diffusion in Dense Networks

17:00 – 18:00  Session 6:  Methods & Applications

Olivier De Groote  KU Leuven
The effects of high school curriculum. A model of program and effort choice

Tom Boot  University of Groningen
Confidence sets for averaging estimators

Julio A. Crego  Tilburg University
Endogenous Health Groups and Heterogeneous Dynamics of the Elderly

19:00  Dinner


1017 CV, Rembrandtplein 42,
Amsterdam, The Netherlands