36 sessions, 101 papers, and 0 presentations with no associated papers

Society for Nonlinear Dynamics and Econometrics 20th Annual Symposium
Complete List of All Sessions

Session ID 1: Welcoming Session - Dr. Erdem Basci, The Governor of the Central Bank of Turkey
Date: April 5, 2012
Time: 9:00 - 9:45
Session ID 2: Forecasting Under Uncertainty
Session Chair: Sarah Zubairy, Bank of Canada
Date: April 5, 2012
Time: 9:45 - 11:15
Density Forecasts in the Presence of Instabilities
By Barbara Rossi; Duke University Tatevik Sekhposyan; Bank of Canada
Presented by: Barbara Rossi, Duke University
Discriminating between Different Kinds of Unpredictability
By Philip Bertram; University of Hanover
Presented by: Philip Bertram, University of Hanover
Forecasting the Probability of Exceeding the US Debt Ceiling
By Anthony Garratt; Birkbeck Shaun Vahey; Australian National University Liz Wakerly; CAMA
Presented by: Shaun Vahey, Australian National University
Session ID 3: Financial Market Behavior
Session Chair: Ivan Paya, Lancaster University Management School
Date: April 5, 2012
Time: 9:45 - 11:15
How to Identify and Predict Bull and Bear Markets?
By Erik Kole; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam
Presented by: Erik Kole, Erasmus University Rotterdam
Heterogeneous Beliefs in an Asset Pricing Model with Endogenous Fundamentals
By Mikhail Anufriev; University of Technology, Sydney
Presented by: Mikhail Anufriev, University of Technology, Sydney
Bubbles and Investment Horizons
By Erik Kole; Erasmus University Rotterdam Nadja Guenster; Maastricht University
Presented by: Erik Kole, Erasmus University Rotterdam
Session ID 4: Banking and Finance in Macroeconomics
Session Chair: Tino Berger, University of Cologne
Date: April 5, 2012
Time: 9:45 - 11:15
The Credit Cycle and the Business Cycle in Canada and the U.S.: Two Solitudes?
By Pierre Siklos; Wilfrid Laurier University
Presented by: Pierre Siklos, Wilfrid Laurier University
Bank Structure and International Capital Flows
By James Staveley-O'Carroll; Georgetown University
Presented by: James Staveley-O'Carroll, Georgetown University
Dynamic Stochastic General Equilibrium Model with Financial Frictions, Cost of Adjustment and Imperfection in the Banking Sector– the Brazilian Case
By Joaquim Andrade; Universidade de Bras���a
Presented by: Joaquim Andrade, Universidade de Bras���a
Session ID 5: Factor Models
Session Chair: Stefano Grassi, Aarhus University
Date: April 5, 2012
Time: 9:45 - 11:15
O the Issue of How Many Variables to Use When Estimating Common Factors Using the Kalman Filter
By Pilar Poncela; Universidad Autonoma de Madrid Esther Ruiz; Universidad Carlos III de Madrid
Presented by: Esther Ruiz, Universidad Carlos III de Madrid
Testing for Panel Cointegration using Common Correlated Effects Estimators
By Anindya Banerjee; University of Birmingham Josep Lluís Carrion-i-Silvestre; Universtity of Barcelona
Presented by: Josep Lluís Carrion-i-Silvestre, Universtity of Barcelona
Real Versus Nominal Cycles: A Unified Markov-Switching Dynamic Bi-Factor Analysis
By Danilo Leiva-León; Universidad de Alicante
Presented by: Danilo Leiva-Leon, Universidad de Alicante
Session ID 6: Tax Policy
Session Chair: Jacek Suda, Banque de France - Paris School of Economics
Date: April 5, 2012
Time: 9:45 - 11:15
An Extensive Look at Taxes: How Does Endogenous Retirement Affect Optimal Taxation?
By William Peterman; Federal Reserve Board of Governors
Presented by: William Peterman, Federal Reserve Board of Governors
Macroeconomic Effects of Alternative Tax Policies during Financial Crises
By Inci Gumus; Sabanci University
Presented by: Inci Gumus, Sabanci University
Pollution, Mortality and Optimal Environmental Policy
By Aditya Goenka; National University of Singapore Saqib Jafarey; City University William Pouliot; University of Birmingham
Presented by: William Pouliot, University of Birmingham
Session ID 7: Nowcasting
Session Chair: Sumru Altug, Koc University
Date: April 5, 2012
Time: 11:45 - 13:15
ECB Infrastructure for Short-Term Forecasting
By Vincent Labhard; European Central Bank (ECB)
Presented by: Vincent Labhard, European Central Bank (ECB)
The Second Generation Nowcast Systems
By Micke Andersson; Sveriges Riksbank
Presented by: Micke Andersson, Sveriges Riksbank
Now- and Forecasting GDP Growth with a Markov-Switching Factor MIDAS Model
By Marie Bessec; Banque de France Othman Bouabdallah; Banque de France
Presented by: Marie Bessec, Banque de France
Session ID 8: Finance and Econometrics
Session Chair: Bruce Mizrach, Rutgers University
Date: April 5, 2012
Time: 11:45 - 13:15
Optimal Trading Strategy in a Limit Order Market with Imperfect Liquidity
By Polina Kovaleva; City University London Giulia Iori; City University
Presented by: Polina Kovaleva, City University London
Trading Volume in General Equilibrium with Complete Markets
By Eric Aldrich; Federal Reserve Bank of Atlanta
Presented by: Eric Aldrich, Federal Reserve Bank of Atlanta
A New Way of Eliminating Weak Instruments
By Mehmet Caner; North Carolina State University
Presented by: Mehmet Caner, North Carolina State University
Session ID 9: Monetary Policy
Session Chair: James Morley, University of New South Wales
Date: April 5, 2012
Time: 11:45 - 13:15
Stabilization Effects of the Euro Area Monetary Policy
By Michael Owyang; Federal Reserve Bank of St Louis Tatevik Sekhposyan; Bank of Canada
Presented by: Tatevik Sekhposyan, Bank of Canada
Forecasting Fed Funds Target Changes with Large Datasets
By Travis Berge; University of California at Davis Michael Owyang; Federal Reserve Bank of St Louis
Presented by: Michael Owyang, Federal Reserve Bank of St Louis
Towards an Explanation of Cross-Country Asymmetries in Monetary Transmission
By Georgios Georgiadis; Goethe University Frankfurt
Presented by: Georgios Georgiadis, Goethe University Frankfurt
Session ID 10: Econometric Methods
Session Chair: Erik Kole, Erasmus University Rotterdam
Date: April 5, 2012
Time: 11:45 - 13:15
Piecewise Local Linear Estimation of Functional Equilibrium Relationships
By Anurag Banerjee; Durham University Jean-Yves Pitarakis; University of Southampton
Presented by: Jean-Yves Pitarakis, University of Southampton
Estimating Variance Matrices
By Karim Abadir; Imperial College London
Presented by: Karim Abadir, Imperial College London
Efficient Estimation of Parameters in Marginals in Semiparametric Multivariate Models
By Valentyn Panchenko; UNSW
Presented by: Valentyn Panchenko, UNSW
Session ID 11: Credit, Collateral, and the Business Cycle
Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank
Date: April 5, 2012
Time: 11:45 - 13:15
Credit Uncertainty Cycle
By Enrique Martinez-Garcia; Federal Reserve Bank of Dallas
Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Learning Leverage Shocks and the Great Recession
By Patrick Pintus; Aix-Marseille University and GREQAM-IDEP Jacek Suda; Banque de France - Paris School of Economics
Presented by: Jacek Suda, Banque de France - Paris School of Economics
Credit Decomposition and Business Cycles
By Berrak Bahadir; University of Georgia Inci Gumus; Sabanci University
Presented by: Berrak Bahadir, University of Georgia
Session ID 12: Nowcasting and Leading Indicators
Session Chair: Vincent Labhard, European Central Bank (ECB)
Date: April 5, 2012
Time: 14:30 - 16:00
Leading Indicators of Real Activity and Inflation for Turkey, 2001-2010
By Sumru Altug; Koc University Erhan Uluceviz; Bilgi University
Presented by: Sumru Altug, Koc University
Nowcasting with Daily Data
By Marta Banbura; European Central Bank Domenico Giannone; Université Libre de Bruxelles Michele Modugno; Universite libre de Bruxelles - ECARES Lucrezia Reichlin; London Business School
Presented by: Michele Modugno, Universite libre de Bruxelles - ECARES
Forecasting Economic Growth in the Euro Area During the Great Moderation and the Great Recession
By Marco Lombardi; European Central Bank
Presented by: Marco Lombardi, European Central Bank
Session ID 13: Financial Econometrics I
Session Chair: Serda Ozturk, Istanbul Bilgi University
Date: April 5, 2012
Time: 14:30 - 16:00
Testing for Jumps in GARCH Models, A Robust Approach
By Sébastien LAURENT; Maastricht University Christelle Lecourt; FUNDP Franz Palm; Maastricht University
Presented by: Sébastien LAURENT, Maastricht University
EGARCH Models with Fat Tails, Skewness and Leverage
By Genaro Sucarrat; BI Norwegian Business School Andrew Harvey; University of Cambridge
Presented by: Genaro Sucarrat, BI Norwegian Business School
Global, Regional and Country Factors for the World Economy: A Dynamic Factor Approach
By Stefano Grassi; Aarhus University Borus Jungbacker; VU University Amsterdam Siem Jan Koopman; VU University Amsterdam
Presented by: Stefano Grassi, Aarhus University
Session ID 15: Trends and Breaks
Session Chair: Jun Ma, University of Alabama
Date: April 5, 2012
Time: 14:30 - 16:00
Why are Shocks to Trend and Cycle So Commonly Negatively Correlated?
By Xiaohan Ma; The George Washington University Tara Sinclair; George Washington University
Presented by: Tara Sinclair, George Washington University
Testing for Broken Trends in Multivariate Time Series
By Nuno Sobreira; Nova School of Business and Economics Luis Nunes; Univ. Nova Lisboa
Presented by: Nuno Sobreira, Nova School of Business and Economics
Detecting Spurious Regressions Under Changes in Persistence
By Robinson Kruse
Presented by: Robinson Kruse, Leibniz University Hannover
Session ID 16: Fiscal Policy
Session Chair: Ming Lo, St. Cloud State University
Date: April 5, 2012
Time: 14:30 - 16:00
A Factor-Augmented VAR for Regional Analysis of the Effects of Fiscal Shocks
By Michael Owyang; Federal Reserve Bank of St Louis Sarah Zubairy; Bank of Canada
Presented by: Sarah Zubairy, Bank of Canada
Sovereign Risk in the Euro Area: Is it Mostly Fiscal or Financial?
By Giovanni Caggiano; University of Padua Luciano Greco; University of Padua
Presented by: Giovanni Caggiano, University of Padua
State-Dependent Effects of Fiscal Policy
By Steven Fazzari; Washington University in St. Louis James Morley; New South Wales Irina Panovska; Washington University in St. Louis
Presented by: James Morley, University of New South Wales
Session ID 17: Real-Time Forecasting
Session Chair: Shaun Vahey, Australian National University
Date: April 5, 2012
Time: 16:30 - 18:00
Real-Time Forecasts of the Real Price of Oil
By Christiane Baumeister; Bank of Canada Lutz Kilian; University of Michigan
Presented by: Christiane Baumeister, Bank of Canada
The Predictability of US Data Revisions: Comparing Surveys and Forecasting Models
By Michael Clements; UNIVERSITY OF WARWICK Ana Beatriz Galvao; Queen Mary, University of London
Presented by: Ana Beatriz Galvao, Queen Mary, University of London
Regime-switching Global Vector Autoregressive Models
By Marco Gross; European Central Bank Michael Binder; Goethe University Frankfurt
Presented by: Marco Gross, European Central Bank
Session ID 18: International Finance
Session Chair: Hakan Kara, Central Bank of Turkey
Date: April 5, 2012
Time: 16:30 - 18:00
Trend Shocks, Risk Sharing and Cross-Country Portfolio Holdings
By Yavuz Arslan; TCMB Gursu Keles; TCMB Mustafa Kilinc; Central Bank of Turkey
Presented by: Gursu Keles, TCMB
Common Movement of the Emerging Market Currencies
By Meltem Chadwick; Central Bank of Turkey Fatih Fazilet; Central Bank of Turkey Necati Tekatli; Central Bank of Turkey
Presented by: Meltem Chadwick, Central Bank of Turkey
Nonlinearities in CDS-Bond Basis
By Kurmas Akdogan; Central Bank of Turkey
Presented by: Kurmas Akdogan, Central Bank of Turkey
Closing Small Open Economy Models: A Comparison of Numerical Accuracy
By HUSEYIN OZBILGIN; Central Bank of Turkey (TCMB)
Presented by: HUSEYIN OZBILGIN, Central Bank of Turkey (TCMB)
Session ID 19: Business Cycles
Session Chair: Tara Sinclair, George Washington University
Date: April 5, 2012
Time: 16:30 - 18:00
Structural Changes and Jobless Recoveries
By Irina Panovska; Washington University in St. Louis
Presented by: Irina Panovska, Washington University in St. Louis
News About Taxes and Expectations-Driven Business Cycles
By Anca Ioana Sirbu; university of california in riverside
Presented by: Anca Ioana Sirbu, university of california in riverside
Employment Responses to Aggregate and Sectoral Technology Shocks
By Kangwoo Park; Korea National Open University
Presented by: Kangwoo Park, Korea National Open University
Session ID 20: Nonlinear Time Series I
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Date: April 5, 2012
Time: 16:30 - 18:00
Nonlinear Time Series Models and Model Selection
By Yamin Ahmad; University of Wisconsin - Whitewater Ming Lo; St. Cloud State University
Presented by: Ming Lo, St. Cloud State University
Inference in Semiparametric Partial Threshold Models
By Yundong Tu; University of California, Riverside
Presented by: Yundong Tu, University of California, Riverside
Fiducial Distribution Confidence Intervals for Threshold Models with an Application to Credit Market Crises
By Luiggi Donayre; University of Minnesota - Duluth
Presented by: Luiggi Donayre, University of Minnesota - Duluth
Session ID 21: Inflation
Session Chair: Joaquim Andrade, Universidade de Bras���a
Date: April 5, 2012
Time: 16:30 - 18:00
Is Forecasting Inflation Easier Under Inflation Targeting?
By Harun Özkan; Bilgi University
Presented by: Harun Özkan, Bilgi University
On the Redistributional Effects of Long-Run Inflation in a Cash-in-Advance Economy
By Venoo Kakar; University of California, Riverside
Presented by: Venoo Kakar, University of California, Riverside
Session ID 22: Combination, Misspecification, and Forecasting
Session Chair: Karin Loch, University of Heidelberg
Date: April 6, 2012
Time: 9:00 - 10:30
Threshold Autoregression under Misspecification and an Application to Forecasting
By Myung Hwan Seo; London School of Economics
Presented by: Myung Hwan Seo, London School of Economics
Is There an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle.
By Mehmet PINAR; Fondazione Eni Enrico Mattei Thanasis Stengos; University of Guelph M. Ege Yazgan; Istanbul Bilgi University
Presented by: Thanasis Stengos, University of Guelph
Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts a Real-Time Approach Based on Model Combination
By Pierre Guerin; Bank of Canada Laurent Maurin; ECB Matthias Mohr; European Central Bank
Presented by: Pierre Guerin, Bank of Canada
Session ID 23: Financial Econometrics II
Session Chair: Eric Aldrich, Federal Reserve Bank of Atlanta
Date: April 6, 2012
Time: 9:00 - 10:30
Effects of Outliers on Asymmetric GARCH Models
By M. Angeles Carnero; Universidad de Alicante Ana Perez; Universidad de Valladolid Esther Ruiz; Universidad Carlos III de Madrid
Presented by: M. Angeles Carnero, Universidad de Alicante
Wishart Affine Stochastic Correlation and Realized (Co)Variances: An Ordinary Least Squares Estimation Approach
By Jose Da Fonseca; Auckland University of Technology
Presented by: Jose Da Fonseca, Auckland University of Technology
Session ID 24: Commodity Markets
Session Chair: Christiane Baumeister, Bank of Canada
Date: April 6, 2012
Time: 9:00 - 10:30
Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation
By Claudio Morana; Department of Economics
Presented by: Claudio Morana, Department of Economics
Speculation in the Oil Market
By Ivan Petrella; Birkbeck College, University of London Luciana Juvenal; Federal Reserve Bank of St Louis
Presented by: Ivan Petrella, Birkbeck College, University of London
The Dynamics of Commodity Prices: A Clustering Approach
By Ozge Savascin; UNC-CH
Presented by: Ozge Savascin, UNC-CH
Session ID 25: Nonlinear Time Series II
Session Chair: Pierre Siklos, Wilfrid Laurier University
Date: April 6, 2012
Time: 9:00 - 10:30
A Powerful Entropy Test of Linearity
By Esfandiar Maasoumi; Emory
Presented by: Esfandiar Maasoumi, Emory
Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
By Timo Teräsvirta; Aarhus University
Presented by: Timo Teräsvirta, Aarhus University
Tests for Linearity in STAR Models: SupWald and LM-type Tests
By Rehim Kilic; Federal Reserve Bank - Atlanta
Presented by: Rehim Kilic, Federal Reserve Bank - Atlanta
Session ID 26: Housing
Session Chair: Gerald Dwyer, Federal Reserve Bank of Atlanta
Date: April 6, 2012
Time: 9:00 - 10:30
House Prices, Expectations, and Time-Varying Fundamentals
By Paolo Gelain; Norges Bank Kevin Lansing; Federal Reserve Bank of San Francisco and Norges Bank
Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco and Norges Bank
Housing Market Dynamics: Any News?
By Sandra Gomes; Bank of Portugal Caterina Mendicino; Banco de Portugal
Presented by: Caterina Mendicino, Banco de Portugal
Identifying the Source of Fluctuations in House Prices
By Olena Mykhaylova; University of Richmond
Presented by: Olena Mykhaylova, University of Richmond
Session ID 27: Forecasting and Finance
Session Chair: Ana Beatriz Galvao, Queen Mary, University of London
Date: April 6, 2012
Time: 11:00 - 12:30
Anticipating Long-Term Stock Market Volatility
By Christian Conrad; University of Heidelberg Karin Loch; University of Heidelberg
Presented by: Karin Loch, University of Heidelberg
Forecasting the Return Distribution Using High-Frequency Volatility Measures
By Jian Hua; Baruch College Sebastiano Manzan; Baruch College, CUNY
Presented by: Sebastiano Manzan, Baruch College, CUNY
Forecasting Mixed Frequency Time Series with ECM-MIDAS Models
By Thomas Götz; Maastricht University Alain Hecq; Maastricht University Jean-Pierre Urbain; Maastricht University
Presented by: Thomas Götz, Maastricht University
Session ID 28: Banking and Finance
Session Chair: Mikhail Anufriev, University of Technology, Sydney
Date: April 6, 2012
Time: 11:00 - 12:30
High Frequency Trading in the Equity Markets During Large-Scale Asset Purchases
By Cheng Gao; Rutgers University Bruce Mizrach; Rutgers University
Presented by: Bruce Mizrach, Rutgers University
The Cross-Section Analysis of Interbank Lending and Borrowing Rates:An Empirical Investigation Using Nonparametric Methods
By Burcu Kapar; City University Giulia Iori; City University Jose Olmo; City University London
Presented by: Burcu Kapar, City University
Lessons from the Evolution of Foreign Exchange Trading Strategies
By Christopher Neely; Federal Reserve Bank of St. Louis Paul Weller; University of Iowa
Presented by: Christopher Neely, Federal Reserve Bank of St. Louis
Session ID 29: Financial Crisis and Yields
Session Chair: Gerald Dwyer, Federal Reserve Bank of Atlanta
Date: April 6, 2012
Time: 11:00 - 12:30
Bayesian Semiparametric Dynamic Nelson-Siegel Model
By Cem Cakmakli; University of Amsterdam
Presented by: Cem Cakmakli, University of Amsterdam
Modelling Dynamic Dependencies between CDS and the Equity Market with Regime Switching Copulas
By Fei Fei; Cass Business School, City University London Ana-Maria Fuertes; Cass Business School, City University London Elena Kalotychou; Cass Business School, City University London
Presented by: Fei Fei, Cass Business School, City University London
Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
By Mardi Dungey; University of Tasmania Gerald Dwyer; Federal Reserve Bank of Atlanta Thomas Flavin; NUI Maynooth
Presented by: Gerald Dwyer, Federal Reserve Bank of Atlanta
Session ID 30: Nonlinear Time Series III
Session Chair: Claudio Morana, Department of Economics
Date: April 6, 2012
Time: 11:00 - 12:30
Nonlinear Causality Tests and Multivariate Conditional Heteroskedasticity: A Simulation Study
By Efthymios Pavlidis; Lancaster University Ivan Paya; Lancaster University Management School David Peel; Lancaster University Management School
Presented by: Ivan Paya, Lancaster University Management School
Simple Procedures for Specifying Transition Functions in Persistent Nonlinear Time Series Models
By Hendrik Kaufmann; Leibniz Universität Hannover Robinson Kruse; Leibniz University Hannover Philipp Sibbertsen; Leibniz Universitaet Hannover
Presented by: Hendrik Kaufmann, Leibniz Universität Hannover
Global Hemispheric Temperature Trends and Co--Trending: A Shifting Mean Vector Autoregressive Analysis
By Matthew Holt; Univesity of Alabama Timo Terasvirta; Aarhus University
Presented by: Matthew Holt, Univesity of Alabama
Session ID 31: Exchange Rates
Session Chair: YinWong Cheung, University of California, Santa Cruz and Cesifo, Munich
Date: April 6, 2012
Time: 11:00 - 12:30
The Contribution of Economic Fundamentals to Movements in Exchange Rates
By Nathan Balke; Southern Methodist University and Federal Reserve Bank of Dallas Jun Ma; University of Alabama Mark Wohar; University of Nebraska-Omaha
Presented by: Jun Ma, University of Alabama
Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
By Yongcheol Shin; University of York
Presented by: Yongcheol Shin, University of York
Exchange Rate Equations Based on Interest Rate Rules: In-Sample and Out-of-Sample Performance
By YinWong Cheung; University of California, Santa Cruz and Cesifo, Munich
Presented by: YinWong Cheung, University of California, Santa Cruz and Cesifo, Munich
Session ID 32: Long Memory
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Date: April 6, 2012
Time: 14:00 - 15:30
Learning Generates Long Memory
By Guillaume Chevillon; ESSEC & CREST-INSEE, Paris Sophocles Mavroeidis; Oxford University
Presented by: Guillaume Chevillon, ESSEC & CREST-INSEE, Paris
Multiple Breaks in Long Memory Time Series
By Heiko Rachinger; Universidad Carlos III de Madrid
Presented by: Heiko Rachinger, Universidad Carlos III de Madrid
Sovereign Default Swap Market Efficiency and Country Risk in the Euro Area
By orcun kaya; Goethe University Yalin Gunduz; Deutsche Bundesbank
Presented by: orcun kaya, Goethe University
Session ID 33: Finance Topics
Session Chair: Mehmet PINAR, Fondazione Eni Enrico Mattei
Date: April 6, 2012
Time: 14:00 - 15:30
Basket and Spread Options under Variance Gamma Model
By Svetlana Borovkova; Vrije Universiteit Amsterdam Ferry Permana; Universitas Katolik Parahyangan, Bandung
Presented by: Svetlana Borovkova, Vrije Universiteit Amsterdam
An Analysis of the Decision for Plunging Using Log-SNP Distributed Asset Returns
By Trino Niguez; University of Westminster Ivan Paya; Lancaster University Management School David Peel; Lancaster University Management School Javier Perote; University of Salamanca
Presented by: Trino Niguez, University of Westminster
A New Country Risk Index for Emerging Markets: A Stochastic Dominance Approach
By Elettra Agliardi; Universtiy of Bologna Rossella Agliardi; University of Bologna Mehmet PINAR; Fondazione Eni Enrico Mattei Thanasis Stengos; University of Guelph Nikolas Topaloglou; Athens University of Business and Economics
Presented by: Mehmet PINAR, Fondazione Eni Enrico Mattei
Session ID 34: Macro Uncertainties
Session Chair: Olena Mykhaylova, University of Richmond
Date: April 6, 2012
Time: 14:00 - 15:30
The Time-Varying Volatility of Earnings and Aggregate Precautionary Savings
By Lorenzo Pozzi; Erasmus University Rotterdam
Presented by: Lorenzo Pozzi, Erasmus University Rotterdam
Global Macroeconomic Uncertainty
By Tino Berger; University of Cologne Sibylle Herz; University of Muenster
Presented by: Sibylle Herz, University of Muenster
House Prices and Extrapolative Expectations in Canada
By Eleonora Granziera; Bank of Canada Sharon Kozicki; Bank of Canada
Presented by: Eleonora Granziera, Bank of Canada
Session ID 35: Nonlinear Time Series IV
Session Chair: Sebastiano Manzan, Baruch College, CUNY
Date: April 6, 2012
Time: 14:00 - 15:30
Stochastic Volatility and Leverage:Application to a Panel of S&P Stocks
By Serda Ozturk; Istanbul Bilgi University Jean-Francois Richard; University of Pittsburgh
Presented by: Serda Ozturk, Istanbul Bilgi University
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
By Mika Meitz Pentti Saikkonen; University of Helsinki
Presented by: Mika Meitz,
Bootstrap Refinements for Nonstationary Nonlinear Models
By Chi Nguyen; Tan Tao University
Presented by: Chi Nguyen, Tan Tao University
Session ID 36: International Macro
Session Chair: Christopher Neely, Federal Reserve Bank of St. Louis
Date: April 6, 2012
Time: 14:00 - 15:30
Estimating and Explaining the Equilibrium Rate of Employment for the G7
By Tino Berger; University of Cologne Hauke Vierke; University of Cologne
Presented by: Hauke Vierke, University of Cologne
A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate
By Gerdie Everaert; Ghent University
Presented by: Gerdie Everaert, Ghent University
On the Construction of Two-Country Cointegrated VAR Models with an Application to the UK and US
By Reinhold Heinlein; University of Kent Hans-Martin Krolzig; The University of Kent
Presented by: Reinhold Heinlein, University of Kent
Session ID 37: Craig Hiemstra Memorial Lecture: "Predictability of Asset Returns and the Efficient Market Hypothesis," with Prof. Hashem Pesaran, University of Cambridge
Date: April 6, 2012
Time: 16:00 - 17:30

This program was last updated on 2012-04-03 12:20:23 EDT