11 sessions, 12 papers

Netherlands Econometric Study Group (NESG) 2009 Annual Conference
Complete List of All Sessions

Session 1: Registration, Coffee & Tea
Date: June 12, 2009
Time: 10:00 - 10:30

Session 2: Nonparametrics
Session Chair: Marius Ooms, VU University Amsterdam
Date: June 12, 2009
Time: 10:30 - 11:45
A Refined Bootstrap for Heavy Tailed Distributions
JEL codes: C12, C15
Presented by: Adriana Cornea, VU University
Nonparametric specification test of stochastic volatility models
Presented by: Yang Zu, University of Amsterdam
A consistent nonparametric bootstrap test of exogeneity
Presented by: Jinhyun Lee, UCL

Session 3: Coffee
Date: June 12, 2009
Time: 11:45 - 13:00

Session 4: Inference Based on Conditional Moment Inequalities, Donald Andrews, Yale University, Cowles Foundation
Session Chair: Kees Jan van Garderen, University of Amsterdam
Date: June 12, 2009
Time: 12:00 - 13:00
Inference Based on Conditional Moment Inequalities
JEL codes: C12, C15
Presented by: Donald Andrews, Yale University

Session 5: Lunch
Date: June 12, 2009
Time: 13:00 - 14:00

Session 6: Time Series
Session Chair: Dick van Dijk, Erasmus University Rotterdam
Date: June 12, 2009
Time: 14:00 - 15:15
Panel Error Correction Testing with Global Stochastic Trends
JEL codes: C12; C33
Presented by: Christian Gengenbach, Maastricht University
Fitting dynamic factor models to non-stationary time series
Presented by: Giovanni Motta, Maastricht University
Global warming and dimming: the statistical evidence
[slides]
Presented by: Chris Muris, Tilburg University

Session 7: Coffee
Date: June 12, 2009
Time: 15:15 - 15:35

Session 8: Financial Econometrics
Session Chair: Jean-Pierre Urbain, Universiteit Maastricht
Date: June 12, 2009
Time: 15:35 - 16:50
Time Variation in Asset Return Dependence: Strength or Structure?
JEL codes: G100, F3
Presented by: Thijs Markwat,
Macro, Industry, and Frailty Effects in Defaults during the 2008 Credit Crisis: A variance decomposition
Presented by: Bernd Schwaab, VU University Amsterdam
Dynamic stochastic copula models: Estimation, inference and applications
Presented by: Hans Manner, Maastricht University

Session 9: Coffee
Date: June 12, 2009
Time: 16:50 - 17:10

Session 10: Bayes
Session Chair: Jan R. Magnus, Tilburg University
Date: June 12, 2009
Time: 17:10 - 18:00
The Timing and Speed of New Product Price Landings
JEL codes: M30
Presented by: Carlos Mireles,
Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling
Presented by: Herman van Dijk, Econometric Institute

This program was last updated on 2009-10-16 4:54:21 EDT

Session 11: Dinner
Date: June 12, 2009
Time: 19:00 - 21:00