Society for Nonlinear Dynamics and Econometrics 16th Annual Symposium |
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Summary of All Sessions |
| # | Date/Time | Location | Title | Papers |
|---|---|---|---|---|
| 1 | April 3, 2008 9:00-10:30 | 4 East | Invited Session: Macro | 3 |
| 2 | April 3, 2008 9:00-10:30 | 4 West | Volatility Modeling | 3 |
| 3 | April 3, 2008 9:00-10:30 | Central 4A | Asset Pricing | 3 |
| 4 | April 3, 2008 9:00-10:30 | Central 4B | Dynamics | 3 |
| 5 | April 3, 2008 11:00-12:30 | Central 4B | Monetary Policy | 3 |
| 6 | April 3, 2008 11:00-12:30 | Central 4A | ARCH/GARCH | 3 |
| 7 | April 3, 2008 11:00-12:30 | 4 West | Advances in Business Cycle Analysis | 3 |
| 8 | April 3, 2008 11:00-12:30 | 4 East | Invited Session: Time Series | 3 |
| 9 | April 3, 2008 14:00-13:30 | 4 East | Invited Session: Econometrics | 3 |
| 10 | April 3, 2008 14:00-15:30 | 4 West | Asset Price Dynamics and Macro | 3 |
| 11 | April 3, 2008 14:00-15:30 | Central 4A | Unit Root Tests | 3 |
| 12 | April 3, 2008 14:00-15:30 | Central 4B | FX I | 3 |
| 13 | April 3, 2008 16:00-17:30 | Central 4B | Mutual and Hedge Funds | 3 |
| 14 | April 3, 2008 16:00-17:30 | Central 4A | Growth and the Equity Premium Puzzle | 3 |
| 15 | April 3, 2008 16:00-17:30 | 4 West | Nonlinear Time Series I | 3 |
| 16 | April 3, 2008 16:00-17:30 | 4 East | Macro Learning | 3 |
| 17 | April 4, 2008 9:00-10:30 | 4 East | Asset Prices, Indeterminacy, and Complex Dynamics | 3 |
| 18 | April 4, 2008 9:00-10:30 | 4 West | Inflation and the Great Moderation | 3 |
| 19 | April 4, 2008 9:00-10:30 | Central 4A | FX II | 3 |
| 20 | April 4, 2008 9:00-10:30 | Central 4B | Equity and Bond Markets | 3 |
| 21 | April 4, 2008 11:00-12:30 | Central 4B | Forecast Evaluation and Combination | 3 |
| 22 | April 4, 2008 11:00-12:30 | 4 West | Bubbles and Crashes | 3 |
| 23 | April 4, 2008 11:00-12:30 | Central 4A | High Frequency Finance | 3 |
| 24 | April 4, 2008 11:00-12:30 | 4 East | Long Memory | 3 |
| 25 | April 4, 2008 14:00-15:30 | 4 East | International Macro | 3 |
| 26 | April 4, 2008 14:00-15:30 | 4 West | Nonlinear Time Series II | 3 |
| 27 | April 4, 2008 14:00-15:30 | Central 4A | Nonlinear Macro | 3 |
| 28 | April 4, 2008 14:00-15:30 | Central 4B | Nuisance Parameters and ARCH/GARCH | 3 |
| 29 | April 4, 2008 16:00-17:30 | Central 4 | Craig Hiemstra Memorial Lecture | 1 |
29 sessions, 85 papers |
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Society for Nonlinear Dynamics and Econometrics 16th Annual Symposium |
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Complete List of All Sessions |
Session 1: Invited Session: Macro |
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| Session Chair: Russell Cooper, University of Texas at Austin |
| Date: April 3, 2008 |
| Time: 9:00 - 10:30 |
| Location: 4 East |
| Stability Theorems for Systems with Bayesian Learners |
| JEL codes: D84, E00, D83 |
| By James Bullard, Federal Reserve Bank of St. Louis Jacek Suda, Washington University in St. Louis |
| Presented by: Jacek Suda, Washington University in St. Louis |
| Monetary Policy and Shifts in TFP Growth |
| By Troy Davig, Federal Reserve Bank of Kansas City |
| Presented by: Troy Davig, Federal Reserve Bank of Kansas City |
| Regime-Switching in Rational Expectations Econometric Models |
| By William A. Branch, U.C. Irvine Giuseppe Ragusa, U.C. Irvine |
| Presented by: William Branch, University of California, Irvine |
Session 2: Volatility Modeling |
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| Session Chair: Anders Rahbek, University of Copenhagen |
| Date: April 3, 2008 |
| Time: 9:00 - 10:30 |
| Location: 4 West |
| A nonparametric approach to estimate volatility and correlation dynamics |
| JEL codes: C14, C22, C32 |
| By Vanessa Mattiussi and Giulia Iori, City University - London |
| Presented by: Vanessa Mattiussi, City University |
| Estimation of Stochastic Volatility Models by Nonparametric Filtering |
| By Dennis Kristensen, Columbia Shin Kanaya, University of WIsconsin |
| Presented by: Dennis Kristensen, Columbia University |
| Bayesian semiparametric stochastic volatility modeling |
| By Mark J Jensen, Federal Reserve Bank of Atlanta John M Maheu, University of Toronto |
| Presented by: Mark Jensen, Atlanta Federal Reserve Bank |
Session 3: Asset Pricing |
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| Session Chair: Michael Dueker, Federal Reserve Bank of St. Louis |
| Date: April 3, 2008 |
| Time: 9:00 - 10:30 |
| Location: Central 4A |
| Joint Modeling of Call and Put Implied Volatility |
| JEL codes: C32, C53, G13 |
| By Katja Ahoniemi, Helsinki School of Economics and HECER Markku Lanne, University of Helsinki and HECER |
| Presented by: Katja Ahoniemi, Helsinki School of Economics |
| Assets returns volatility and investment horizon: |
| By Frédérique Bec, CREST and THEMA University of Cergy-Pontoise, France Christian Gollier, Toulouse School of Economics, LERNA and IDEI, France |
| Presented by: Frederique Bec, CREST-ENSAE |
| A Non-parametric Investigation of Risk Premia |
| By Chiara Peroni University of East Anglia RCEA |
| Presented by: Chiara Peroni, university of east anglia |
Session 4: Dynamics |
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| Session Chair: Willi Semmler, New School University |
| Date: April 3, 2008 |
| Time: 9:00 - 10:30 |
| Location: Central 4B |
| Is Ignorance Bliss? The Cost of Business-Cycle Uncertainty |
| By Stefano d'Addona, University of Rome 3; Frode Brevik, St. Gallen University |
| Presented by: Stefano d'Addona, University of Rome 3 |
| Filtering Time Series with Penalized Splines |
| By Goeran Kauermann, University Bielefeld, Tatyana Krivobokova, Katholieke Universiteit Leuven, Willi Semmler, New School New York |
| Presented by: Goeran Kauermann, University Bielefeld |
| Econophysics and Economic Complexity |
| By J. Barkley Rosser, Jr. |
| Presented by: Barkley Rosser, James Madison University |
Session 5: Monetary Policy |
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| Session Chair: Carl Chiarella, University of Technology, Sydney |
| Date: April 3, 2008 |
| Time: 11:00 - 12:30 |
| Location: Central 4B |
| Optimal Backward and Forward Monetary Policy Under Rational Expectations |
| JEL codes: C61, C63, E52 |
| By Peter A. Zadrozny Bureau of Labor Statistics 2 Massachusetts Ave., NE, Room 3105 Washington, DC 20212 |
| Presented by: Peter Zadrozny, Bureau of Labor Statistics |
| Monetary Policy and Stock Market Booms and Busts in the 20th Century |
| By Michael Bordo, Rutgers Univ. Michael Dueker, St. Louis Fed David Wheelock, St. Louis Fed |
| Presented by: Michael Dueker, Federal Reserve Bank of St. Louis |
| Monetary policy and endogenous cycles with cost channel heterogeneity |
| By Marco Airaudo, Collegio Carlo Alberto, Italy Luis-Felipe Zanna, IMF |
| Presented by: Marco Airaudo, Collegio Carlo Alberto and University of Turin |
Session 6: ARCH/GARCH |
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| Session Chair: Richard Ashley, Virginia Tech |
| Date: April 3, 2008 |
| Time: 11:00 - 12:30 |
| Location: Central 4A |
| Addressing the IGARCH puzzle |
| JEL codes: C01, C13, C22 |
| By Anders Tolver Jensen, Department of Natural Sciences, University of Copenhagen Theis Lange, Department of Mathematical Sciences, University of Copenhagen |
| Presented by: Theis Lange, University of Copenhagen |
| Falsifying ARCH/GARCH Models using Bispectral Based Tests |
| By Melvin J. Hinich, The University of Texas at Austin |
| Presented by: Melvin Hinich, University of Texas at Austin |
| GARCH Process with Persistent Covariates |
| By Heejoon Han, Department of Economics and Risk Management Institute, National University of Singapore |
| Presented by: Heejoon Han, National University of Singapore |
Session 7: Advances in Business Cycle Analysis |
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| Session Chair: Troy Davig, Federal Reserve Bank of Kansas City |
| Date: April 3, 2008 |
| Time: 11:00 - 12:30 |
| Location: 4 West |
| Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application |
| By Russell Cooper, University of Texas John Haltiwanger, University of Maryland Jonathan Willis, Federal Reserve Bank of Kansas City |
| Presented by: Russell Cooper, University of Texas at Austin |
| Capital-Labor Substitution and Equilibrium Indeterminacy Under Increasing Returns to Scale |
| By Jang-Ting Guo: University of California, Riverside Kevin J. Lansing: Federal Reserve Bank of San Francisco |
| Presented by: Jang-Ting Guo, University of California, Riverside |
| Speculative Growth and Overreaction to Technology Shocks |
| By Kevin J. Lansing Federal Reserve Bank of San Francisco |
| Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco |
Session 8: Invited Session: Time Series |
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| Session Chair: Mark Jensen, Atlanta Federal Reserve Bank |
| Date: April 3, 2008 |
| Time: 11:00 - 12:30 |
| Location: 4 East |
| Bayesian Model Selection for Structural Break Models |
| By Andrew Levin (Federal Reserve Board) Jeremy Piger (University of Oregon) |
| Presented by: Jeremy Piger, |
| The Predictive Power of Output Gap Measures Generated by Nonlinear Models |
| By Richard Luger, Emory University David E. Rapach, Saint Louis University |
| Presented by: David Rapach, St. Louis University |
| The Asymmetric Business Cycle |
| By James Morley Washington University in St. Louis Jeremy Piger University of Oregon |
| Presented by: James Morley, Washington University in St. Louis |
Session 9: Invited Session: Econometrics |
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| Session Chair: Christian Dahl, University of Aarhus |
| Date: April 3, 2008 |
| Time: 14:00 - 13:30 |
| Location: 4 East |
| Classical and Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors |
| JEL codes: C11, C23, C25 |
| By Martin Burda, University of Toronto Roman Liesenfeld, Christian-Albrecht-Universität, Kiel Jean-François Richard, University of Pittsburgh |
| Presented by: Martin Burda, University of Toronto |
| Finite Sample Bias Corrected IV Estimation for Weak and Many Instruments |
| By Matthew Harding, Department of Economics, Stanford University Jerry Hausman, Department of Economics, MIT |
| Presented by: Matthew Harding, Stanford University |
| Money-Income Granger-Causality in Quantiles |
| By Tae-Hwy Lee, Univeristy of California, Riverside Weiping Yang, Capital One Financial Research |
| Presented by: Tae-Hwy Lee, University of California, Riverside |
Session 10: Asset Price Dynamics and Macro |
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| Session Chair: Sebastiano Manzan, Baruch College, CUNY |
| Date: April 3, 2008 |
| Time: 14:00 - 15:30 |
| Location: 4 West |
| Learning about the Interdependence between the Macroeconomy and the Stock Market |
| JEL codes: E32, E44, E52. |
| By Fabio Milani, University of California, Irvine |
| Presented by: Fabio Milani, University of California, Irvine |
| Measuring the Substitutability of Housing and Non-housing Consumption: A Structural Approach |
| By Wenli Li, Federal Reserve Bank of Philadelphia, Haiyong Liu, East Carolina University Rui Yao, Baruch College |
| Presented by: Wenli Li, Federal Reserve Bank of Philadelphia |
| Learning and Adaptation as a Source of Market Failure |
| By David Goldbaum, University of Technology Sydney |
| Presented by: David Goldbaum, University of Technology Sydney |
Session 11: Unit Root Tests |
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| Session Chair: Otilia Boldea, Tilburg U |
| Date: April 3, 2008 |
| Time: 14:00 - 15:30 |
| Location: Central 4A |
| A Nonlinear Panel Unit Root Test under Cross Sectional Dependence |
| JEL codes: C12, C15, C22, |
| By Mario Cerrato, London Metropolitan University. Nicholas Sarantis London Metropolitan University. Christian de Peretti, University of Evry-Val-d'Essonne, France. |
| Presented by: Mario Cerrato, london metropolitan university |
| Testing for a Unit Root in the Asymmetric Nonlinear Smooth Transition Framework |
| By Razvan Pascalau Department of Economics, Finance and Legal Studies University of Alabama |
| Presented by: Razvan Pascalau, University of Alabama |
| Panel LM Unit Root Tests with Trend Shifts |
| By Kyung-So Im, Federal Deposit Insurance Corporation Junsoo Lee, University of Alamaba Margie Tieslau, University of North Texas |
| Presented by: MARGIE TIESLAU, DEPARTMENT OF ECONOMICS |
Session 12: FX I |
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| Session Chair: Helinä Laakkonen, FDPE and University of Jyväskylä |
| Date: April 3, 2008 |
| Time: 14:00 - 15:30 |
| Location: Central 4B |
| Searching for Nonlinearities in Real Exchange Rates |
| JEL codes: F30 |
| By Yamin Ahmad, University of Wisconsin - Whitewater Stuart Glosser, University of Wisconsin - Whitewater |
| Presented by: Yamin Ahmad, University of Wisconsin - Whitewater |
| A Bayesian Analysis of Exchange Rate Dynamics |
| By Ming Chien Lo, St. Cloud State University James Morley, Washington University |
| Presented by: Ming Lo, St. Cloud State University |
| The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication |
| By Christian Conrad KOF Swiss Economic Institute, ETH Zurich Michael J. Lamla KOF Swiss Economic Institute, ETH Zurich |
| Presented by: Christian Conrad, ETH Zürich |
Session 13: Mutual and Hedge Funds |
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| Session Chair: Douglas Patterson, Virginia Tech |
| Date: April 3, 2008 |
| Time: 16:00 - 17:30 |
| Location: Central 4B |
| Time Evolution Of Mutual Fund Dynamics |
| JEL codes: c01,c12,c15,G23 |
| By Yonathan Schwarzkopf, California Institute of Technology and Santa Fe Institute J. Doyne Farmer, Santa Fe Institute |
| Presented by: Yonathan Schwarzkopf, Caltech and Santa Fe Institute |
| Hedge Funds Are Not Destabilizing |
| By Celso Brunetti, Johns Hopkins University Michael S. Haigh, Societe Generale |
| Presented by: Celso Brunetti, Johns Hopkins University |
| Realized Portfolio Selection in the Euro Area. |
| By Claudio Morana, Università del Piemonte Orientale and International Centre for Economic Research |
| Presented by: Claudio Morana, Universita' del Piemonte Orientale |
Session 14: Growth and the Equity Premium Puzzle |
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| Session Chair: Goeran Kauermann, University Bielefeld |
| Date: April 3, 2008 |
| Time: 16:00 - 17:30 |
| Location: Central 4A |
| Housing Prices and Growth |
| JEL codes: O4,R21,R31,E22 |
| By James A. Kahn, Federal Reserve Bank of New York and New York University |
| Presented by: James Kahn, Federal Reserve Bank of New York |
| Medium Term Growth Reversals |
| By Michal Jerzmanowski, Clemson University David Cuberes, Clemson University |
| Presented by: Michal Jerzmanowski, Clemson University |
| Idiosyncratic Production Risk and the Equity Premium Puzzle |
| By Geoffrey Dunbar Simon Fraser University |
| Presented by: Geoffrey Dunbar, Simon Fraser University |
Session 15: Nonlinear Time Series I |
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| Session Chair: Jeremy Piger, |
| Date: April 3, 2008 |
| Time: 16:00 - 17:30 |
| Location: 4 West |
| Likelihood-Based Inference in Nonlinear Error-Correction Models |
| JEL codes: C32; C51 |
| By Anders Rahbek, University of Copenhagen and CREATES Dennis Kristensen, Columbia University and CREATES |
| Presented by: Anders Rahbek, University of Copenhagen |
| The Additive Random Field Regression Model |
| By Christian M. Dahl, University of Aarhus Gloria Gonzalez-Rivera, University of California, Riverside Yu Qin, Countrywide Financial Corporation |
| Presented by: Christian Dahl, University of Aarhus |
| Estimation adn Inference in Unstable Nonlinear Least Squares Models |
| By Otilia Boldea, Tilburg U Alastair R. Hall, NCSU and Univ. of Manchester |
| Presented by: Otilia Boldea, Tilburg U |
Session 16: Macro Learning |
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| Session Chair: Cees Diks, |
| Date: April 3, 2008 |
| Time: 16:00 - 17:30 |
| Location: 4 East |
| Learning, Expectations Formation, and the Pitfalls of Optimal Control Monetary Policy |
| JEL codes: E5 |
| By John C. Williams Federal Reserve Bank of San Francisco Athanasios Orphanides Central Bank of Cyprus |
| Presented by: John Williams, Federal Reserve Bank of San Francisco |
| Bounded Rationality and State-Dependent Sticky Plans |
| By James Costain, Research Division, Bank of Spain Anton Nakov, Research Division, Bank of Spain |
| Presented by: James Costain, Banco de España |
| Monetary Policy, Model Uncertainty and Exchange Rate Volatility |
| By Agnieszka Markiewicz, Catholic University of Leuven |
| Presented by: Agnieszka Markiewicz, University of Leuven |
Session 17: Asset Prices, Indeterminacy, and Complex Dynamics |
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| Session Chair: Barkley Rosser, James Madison University |
| Date: April 4, 2008 |
| Time: 9:00 - 10:30 |
| Location: 4 East |
| Dynamic Consumption and Portfolio Decisions with Time Varying Asset Returns |
| By Lars Gruene (University of Bayreuth), Caroline Oehrlein (University of Bayreuth), and Willi Semmler (New School) |
| Presented by: Willi Semmler, New School University |
| Euler Equation Branching |
| By Brian Raines, Baylor University David R. Stockman, University of Delaware |
| Presented by: David Stockman, University of Delaware |
| Consistent Route to Randomness |
| By Maciej K. Dudek |
| Presented by: Maciej Dudek, National Bank of Poland and Main School of Commerce |
Session 18: Inflation and the Great Moderation |
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| Session Chair: Gerald Dwyer, FEDERAL RESERVE BANK OF ATLANTA |
| Date: April 4, 2008 |
| Time: 9:00 - 10:30 |
| Location: 4 West |
| A Resolution to the Price Puzzle |
| JEL codes: E52, E31, C32 |
| By Marcelle Chauvet Department of Economics, University of California, Riverside; email: chauvet@ucr.edu. |
| Presented by: Marcelle Chauvet, University of California |
| Oil and the Great Moderation |
| By Anton Nakov,BANCO DE ESPAÑA Andrea Pescatori, FEDERAL RESERVE BANK OF CLEVELAND |
| Presented by: Anton Nakov, Banco de España |
| Inflation Targeting in Canada: An Expected Loss Analysis by a DSGE Model with Trade Costs |
| By Hakan Yilmazkuday, Vanderbilt University |
| Presented by: HAKAN YILMAZKUDAY, VANDERBILT UNIVERSITY |
Session 19: FX II |
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| Session Chair: Yamin Ahmad, University of Wisconsin - Whitewater |
| Date: April 4, 2008 |
| Time: 9:00 - 10:30 |
| Location: Central 4A |
| Exchange Rate Volatility and First-Time Entry by Multinational Firms |
| JEL codes: F1,F2,F4 |
| By Katheryn Russ, University of California, Davis and NBER |
| Presented by: Katheryn Russ, University of California, Davis |
| Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times |
| By Helinä Laakkonen, University of Jyväskylä Markku Lanne University of Helsinki |
| Presented by: Helinä Laakkonen, FDPE and University of Jyväskylä |
| Stochastic Bifurcation Analysis of an Exchange Rate Model |
| By C. Chiarella, The University of Technology, Sydney X. He, The University of Technology, Sydney and M. Zheng, The University of Technology, Sydney |
| Presented by: Carl Chiarella, University of Technology, Sydney |
Session 20: Equity and Bond Markets |
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| Session Chair: Claudio Morana, Universita' del Piemonte Orientale |
| Date: April 4, 2008 |
| Time: 9:00 - 10:30 |
| Location: Central 4B |
| Testing and Modeling Threshold Asymmetries in Multivariate Distributions of U.S. Equity Returns |
| JEL codes: C12, C13, C32 |
| By Emre Yoldas, University of California, Riverside |
| Presented by: Emre Yoldas, University of California, Riverside |
| Nonlinear Mutual Prediction Test for Synchronization of Stock Markets |
| By Abdol S. SOOFI, Department of Economics, University of Wisconsin-Platteville, Li ZHE, School of Management, Harbin Institute of Technology, Xiaofeng HUI, School of Management, harbin Institute of Technology |
| Presented by: Abdol Soofi, University of Wisconsin-Platteville |
| Macroeconomic Variables, Euler Equation and Future Returns on Treasury Bonds: (Semi) Nonparametric Investigation |
| By Ai-ru (Meg) Cheng University of California at Santa Cruz Yuriy Kitsul Georgia State University |
| Presented by: Ai-ru Cheng, University of California at Santa Cruz |
Session 21: Forecast Evaluation and Combination |
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| Session Chair: Ming Lo, St. Cloud State University |
| Date: April 4, 2008 |
| Time: 11:00 - 12:30 |
| Location: Central 4B |
| Weighted likelihood ratio scores for evaluating density forecasts in tails |
| JEL codes: C12; C22; C52 |
| By Cees Diks, CeNDEF, University of Amsterdam Valentyn Panchenko, School of Economics, University of New South Wales Dick van Dijk, Econometric Institute, Erasmus University Rotterdam |
| Presented by: Cees Diks, |
| Multivariate Forecast Evaluation and Rationality Testing |
| By Michael Owyang, Federal Reserve Bank of St. Louis Ivana Komunjer, UCSD |
| Presented by: Michael Owyang, Federal Reserve Bank of St Louis |
| Time-Varying Combination of Volatility Forecasts: An Empirical Analysis for the Mexican Peso-US Dollar Exchange Rate |
| By Carlos Capistran, Banco de Mexico Guillermo Benavides, Banco de Mexico |
| Presented by: Carlos Capistrán, Banco de México |
Session 22: Bubbles and Crashes |
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| Session Chair: David Stockman, University of Delaware |
| Date: April 4, 2008 |
| Time: 11:00 - 12:30 |
| Location: 4 West |
| A Tension Model of Financial Crashes |
| JEL codes: A12, C11, G12 |
| By George Chang, Grand Valley State University James Feigenbaum, University of Pittsburgh |
| Presented by: James Feigenbaum, University of Pittsburgh |
| Did Herding cause the Stock Market Bubble of 1998-2001? |
| By Douglas M. Patterson, Virginia Tech Vivek Sharma, University of Michigan-Dearborn |
| Presented by: Douglas Patterson, Virginia Tech |
| Sovereign spreads, currency crises, and fundamentals: A non-linear analysis |
| By Melisso Boschi University of Essex University of Perugia |
| Presented by: Melisso Boschi, University of Essex |
Session 23: High Frequency Finance |
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| Session Chair: Celso Brunetti, Johns Hopkins University |
| Date: April 4, 2008 |
| Time: 11:00 - 12:30 |
| Location: Central 4A |
| Intraday overreaction of stock prices |
| JEL codes: C22, C52, G10 |
| By Martin Becker, Saarland University Ralph Friedmann, Saarland University Stefan Klößner, Saarland University |
| Presented by: Stefan Klößner, Universität des Saarlandes |
| The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform |
| By Michael Fleming, Federal Reserve Bank of New York Bruce Mizrach, Rutgers University |
| Presented by: Bruce Mizrach, Rutgers University |
| A new approach to understanding the market impact of large trading orders |
| By Austin Gerig, Santa Fe Institute J. Doyne Farmer, Santa Fe Institute and LUISS Guido Carli Fabrizio Lillo, Santa Fe Institute and INFM Unita di Palermo Henri Waelbroeck, Pipeline Financial Group, Inc. |
| Presented by: Austin Gerig, Santa Fe Institute |
Session 24: Long Memory |
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| Session Chair: Ivan Paya, Management School |
| Date: April 4, 2008 |
| Time: 11:00 - 12:30 |
| Location: 4 East |
| Semi parametric estimation of long memory: Holy Grail or poisoned chalice? |
| JEL codes: C22 |
| By Richard T Baillie (Michigan State University & QMUL) George Kapetanios (QMUL) |
| Presented by: Richard Baillie, Michigan State University |
| Estimating DSGE models with long memory dynamics |
| By Gianluca Moretti, Bank of Italy Giulio Nicoletti, Bank of Italy |
| Presented by: Gianluca Moretti, Bank of Italy |
| Dual Long Memory, Structural Breaks and the link between turnover and range based volatility. |
| By Menelaos Karanasos,Department of Economics, Brunel University, UK. Aris Kartsaklas, Department of Economics, University of York, UK. |
| Presented by: Aris Kartsaklas, Universit of York |
Session 25: International Macro |
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| Session Chair: Frederique Bec, CREST-ENSAE |
| Date: April 4, 2008 |
| Time: 14:00 - 15:30 |
| Location: 4 East |
| International Real Business Cycles and the Real Exchange Rate: A Nonlinear Perspective |
| JEL codes: F41, C32, C15 |
| By Themis Pavlidis, Lancaster University Management School Ivan Paya, Lancaster University Management School David Peel. Lancaster University Management School |
| Presented by: Ivan Paya, Management School |
| Monetary Policy in a Small Open Economy |
| By Enrique Martinez-Garcia Federal Reserve Bank of Dallas |
| Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas |
| Instability and nonlinearity in the Euro area Phillips curve |
| By Alberto Musso (ECB) Livio Stracca (ECB) Dick van Dijk (Erasmus University Rotterdam) |
| Presented by: Alberto Musso, ECB |
Session 26: Nonlinear Time Series II |
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| Session Chair: Chiara Peroni, university of east anglia |
| Date: April 4, 2008 |
| Time: 14:00 - 15:30 |
| Location: 4 West |
| Autocontours: Dynamic Specification Testing |
| JEL codes: C12, C15, C16, |
| By Gloria Gonzalez-Rivera, University of California, Riverside Zeynep Senyuz, University of California, Riverside Emre Yoldas, University of California, Riverside |
| Presented by: Emre Yoldas, University of California, Riverside |
| FACTOR DECOMPOSITION OF VARMA MODELS BASED ON WEIGHTED FORECAST-ERROR COVARIANCES: APPLIED TO FORECASTING QUARTERLY U.S. GDP AT MONTHLY INTERVALS |
| By Baoline Chen, Bureau of Economic Analysis, 1441 L Street, NW, Washington, DC 20230 Peter A. Zadrozny, Bureau of Labor Statistics, 2 Massachusetts Ave., NE, Washington, DC 20212 |
| Presented by: Baoline Chen, Bureau of Economic Analysis |
| A Threshold Model for Firms' Investment over the Business Cycle |
| By Juri Marcucci Bank of Italy Francesca Lotti Bank of Italy |
| Presented by: Juri Marcucci, Bank of Italy |
Session 27: Nonlinear Macro |
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| Session Chair: Michael Owyang, Federal Reserve Bank of St Louis |
| Date: April 4, 2008 |
| Time: 14:00 - 15:30 |
| Location: Central 4A |
| Estimating nonlinear DSGE model using approximate likelihood functions |
| By Giuseppe Ragusa (UCI) Raffaella Giacomini (UCL) Barbara Rossi (Duke) |
| Presented by: Giuseppe Ragusa, University of California, Irvine |
| Statistical Contributions of Business Cycle Indicators in Nowcasting Business Cycle Regimes |
| By Arabinda Basistha (West Virginia University) |
| Presented by: Arabinda Basistha, West Virginia University |
| Yield Curve in an Estimated Nonlinear Macro Model |
| By Taeyoung Doh (Federal Reserve Bank of Kansas City) |
| Presented by: Taeyoung Doh, Economic Research Dept. |
Session 28: Nuisance Parameters and ARCH/GARCH |
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| Session Chair: Katja Ahoniemi, Helsinki School of Economics |
| Date: April 4, 2008 |
| Time: 14:00 - 15:30 |
| Location: Central 4B |
| Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components |
| By Jun Ma, University of Alabama Charles R. Nelson, University of Washington |
| Presented by: Jun Ma, Department of Economics, Finance and Legal Studies |
| On the Origins of Conditional Heteroscedasticity in Time Series |
| By Richard Ashley |
| Presented by: Richard Ashley, Virginia Tech |
| The persistence in inflation and output growth and the importance of the latter for the performance-uncertainty link |
| By Menelaos Karanasos, Brunel University Ning Zeng,Brunel University |
| Presented by: menelaos karanasos, public |
Session 29: Craig Hiemstra Memorial Lecture |
|---|
| Date: April 4, 2008 |
| Time: 16:00 - 17:30 |
| Location: Central 4 |
| Regional Business Cycles |
| By James D. Hamilton, University of California, San Diego |
| Presented by: James Hamilton, University of California, San Diego |
This program was last updated on 2008-03-30 19:54:50 EDT