Summary of All Sessions |
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Click here for an index of all participants |
21 sessions, 57 papers, and 0 presentations with no associated papers |
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29th (EC)^2 on Big Data Econometrics with Applications |
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Detailed List of Sessions |
| Session 1: Registration December 13, 2018 8:30 to 9:00 |
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| Session Chair: Giuseppe Bruno, Bank of Italy |
| Session 2: Welcome Address - Senior Deputy Governor Salvatore Rossi December 13, 2018 9:00 to 9:15 |
| Session Chair: Stefano Siviero, Banca d'Italia |
| Session 3: Opening address December 13, 2018 9:15 to 9:25 |
| Session Chairs: |
| 1. Peter Hansen, University of North Carolina at CH |
| 2. Mehmet Caner, Ohio State University |
| 3. Giuseppe Cavaliere, University of Bologna |
| Session 4: Keynote Lecture - Stephen Hansen (Oxford University) - "Opening the Black-Box of Central Bank Communication" December 13, 2018 9:25 to 10:10 |
| Session Chair: Stefano Siviero, Banca d'Italia |
| Session 5: Coffee Break December 13, 2018 10:10 to 10:40 |
| Session 6: Financial Econometrics I December 13, 2018 10:40 to 12:20 |
| Session Chair: Giuseppe Cavaliere, University of Bologna |
| Factor Models for Portfolio Selection in Large Dimensions |
| By Gianluca De Nard; University of Zurich Olivier Ledoit; University of Zurich Michael Wolf; University of Zurich |
| presented by: Michael Wolf, University of Zurich |
| A Multi-Factor Realized GARCH with An Application to the Fama-French Model |
| By Ilya Archakov; University of Vienna Peter Hansen; University of North Carolina at CH Asger Lunde; Aarhus University |
| presented by: Ilya Archakov, University of Vienna |
| Incremental Factor Model for High Frequency Observations with Large Dimension and Long Span |
| By Ye Lu; University of Sydney Joon Park; Indiana University |
| presented by: Ye Lu, University of Sydney |
| Vector Autoregressive Model with Dynamic Factors |
| By Federico Carlini; Università della Svizzera Italiana Patrick Gagliardini; Università della Svizzera italiana |
| presented by: Federico Carlini, Università della Svizzera Italiana |
| Session 7: Lunch and Poster Session 1 December 13, 2018 12:20 to 14:10 |
| Prediction Bands for Yield Curves: A Dynamic Functional Factor Model Approach |
| By Sven Otto; University of Cologne Nazarii Salish; Universidad Carlos III de Madrid |
| presented by: Sven Otto, University of Cologne |
| External Validity in Fuzzy Regression Discontinuity Designs |
| By Marinho Bertanha; University of Notre Dame Guido Imbens; Stanford University |
| presented by: Marinho Bertanha, University of Notre Dame |
| Measuring Retail Trade Using Card Transactional Data |
| By Tomasa Rodrigo; BBVA |
| presented by: Tomasa Rodrigo, BBVA |
| Detection of rare events: a machine learning toolkit with an application to banking crises |
| By Jerome Coffinet; Banque de France |
| presented by: Jerome Coffinet, Banque de France |
| An automated approach towards sparse single-equation cointegration modelling |
| By Stephan Smeekes; Maastricht University Etienne Wijler; Maastricht University |
| presented by: Etienne Wijler, Maastricht University |
| On LASSO for Predictive Regression |
| By Ji Hyung Lee; University of Illinois Zhentao Shi; The Chinese University of Hong Kong |
| presented by: Zhentao Shi, The Chinese University of Hong Kong |
| Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling |
| By Ying Chen; National University of Singapore Simon Trimborn |
| presented by: Simon Trimborn, National University of Singapore |
| Testing for observation-dependent regime switching in mixture autoregressive models |
| By Mika Meitz; University of Helsinki Pentti Saikkonen; University of Helsinki |
| presented by: Mika Meitz, University of Helsinki |
| Inference in Misspecified Asset Pricing Models using a Large Matching Model |
| By Bertille Antoine; Simon Fraser University |
| presented by: Bertille Antoine, Simon Fraser University |
| Session 8: Keynote Lecture - Marcelo Medeiros (PUC, Rio) - "Forecasting Macroeconomic Variables with Big Data and Machine Learning Methods" December 13, 2018 14:10 to 14:55 |
| Session Chair: Malene Kallestrup-Lamb, Aarhus University |
| Session 9: High Dimensions in Econometrics December 13, 2018 14:55 to 16:35 |
| Session Chair: Viktor Todorov, Northwestern University |
| A regularization approach for estimation and variable selection in high dimensional regression |
| By Yiannis Dendramis; Athens University of Economics and Business Liudas Giraitis; Queen Mary University George Kapetanios; King's |
| presented by: Yiannis Dendramis, Athens University of Economics and Business |
| Locally Robust Semiparametric Estimation |
| By Juan Carlos Escanciano; Universidad Carlos III de Madrid |
| presented by: Juan Carlos Escanciano, Universidad Carlos III de Madrid |
| Recovering Social Networks from Panel Data: Identification, Simulations and an Application |
| By Pedro CL Souza; University of Warwick |
| presented by: Pedro CL Souza, University of Warwick |
| Penalized maximum likelihood estimation of finite mixture models |
| By Sofya Budanova; NRU HSE |
| presented by: Sofya Budanova, NRU HSE |
| Session 10: Coffee Break and Poster Session 2 December 13, 2018 16:35 to 17:45 |
| Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization |
| By Ancil Crayton; University College Dublin |
| presented by: Ancil Crayton, University College Dublin |
| Measuring Property Price Variations Using Online Property Advertisements |
| By Indranil Gayen; Reserve Bank of India |
| presented by: Indranil Gayen, Reserve Bank of India |
| Quantifying social segregation in large-scale networks |
| By Jo Thori Lind; University of Oslo |
| presented by: Jo Thori Lind, University of Oslo |
| Regime Changes in Large Dimensional Factor Models: A New Test with an Application to Portfolio Choice |
| By Daniele Massacci; Bank of England |
| presented by: Daniele Massacci, Bank of England |
| News and Consumer Card Payments |
| By Guerino Ardizzi; Banca d'Italia Simone Emiliozzi; Banca d'Italia Juri Marcucci; Bank of Italy Libero Monteforte; Parliamentary Budget Office |
| presented by: Simone Emiliozzi, Banca d'Italia |
| Concentration and Internet Advertising: The Rise of Buyer Power |
| By Francesco Decarolis; Bocconi University Gabriele Rovigatti; Universita' di Roma Tor Vergata |
| presented by: Gabriele Rovigatti, Universita' di Roma Tor Vergata |
| Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes |
| By Thomas Götz; Deutsche Bundesbank Alain Hecq; Maastricht University |
| presented by: Thomas Götz, Deutsche Bundesbank |
| Monetary Policy across Space and Time |
| By Katerina Petrova; University of St Andrews |
| presented by: Katerina Petrova, University of St Andrews |
| Estimating a Large-Dimensional Factor Model with Noisy High-Frequency Data |
| By Yucheng Sun; Capital University of Economics and Business Wen Xu; Capital University of Economics and Business |
| presented by: Wen Xu, Capital University of Economics and Business |
| A New Parametrization of Correlation Matrices |
| By Ilya Archakov; University of Vienna Peter Hansen; University of North Carolina at CH |
| presented by: Peter Hansen, University of North Carolina at CH |
| Session 11: Time Series and Networks December 13, 2018 17:45 to 19:00 |
| Session Chair: Gianluca Cubadda, Università di Roma |
| Community Detection in Large Vector Autoregressions |
| By Gudmundur Stefan Guðmundsson; CREATES and Department of Economics and Business Economics, Aarhus University Christian Brownlees; Universitat Pompeu Fabra |
| presented by: Christian Brownlees, Universitat Pompeu Fabra |
| Large scale panel choice model with unobserved heterogeneity |
| By Tomohiro Ando; University of Melbourne Jushan Bai; Columbia University |
| presented by: Tomohiro Ando, University of Melbourne |
| Bond Risk Premia with Machine Learning |
| By Daniele Bianchi; University of Warwick Matthias Buechner; University of Warwick andrea tamoni; LSE |
| presented by: Matthias Buechner, University of Warwick |
| Session 12: Social Dinner December 13, 2018 20:00 to 22:30 |
| Session 13: Social Media and Big Data for Policy December 14, 2018 9:00 to 10:15 |
| Session Chair: Cathy Yi-Hsuan Chen, Humboldt-Universität |
| Machine Learning in the Service of Policy Targeting: The Case of Public Credit Guarantees |
| By Monica Andini; Bank of Italy Michela Boldrini; University of Bologna Emanuele Ciani; Bank of Italy Alessio D'Ignazio; Bank of Italy Guido de Blasio; Bank of Italy Andrea Paladini; Università di Roma La Sapienza |
| presented by: Emanuele Ciani, Bank of Italy |
| Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values |
| By Keven Bluteau; University of Neuchâtel |
| presented by: Keven Bluteau, University of Neuchâtel |
| Can we measure inflation expectations using Twitter? |
| By Cristina Angelico; Bank of Italy Juri Marcucci Marcello Miccoli; Bank of Italy Filippo Quarta; Banca d'Italia |
| presented by: Cristina Angelico, Bank of Italy |
| Session 14: Coffee Break December 14, 2018 10:15 to 10:50 |
| Session 15: Keynote Lecture - Anders B. Kock (Oxford University) - "Power in High-Dimensional Testing Problems" December 14, 2018 10:50 to 11:35 |
| Session Chair: Mehmet Caner, Ohio State University |
| Session 16: Microeconometrics December 14, 2018 11:35 to 13:15 |
| Session Chair: Viktor Todorov, Northwestern University |
| The Role of the Propensity Score in Fixed Effect Models |
| By Dmitry Arkhangelsky; CEMFI Guido Imbens; Stanford University |
| presented by: Dmitry Arkhangelsky, CEMFI |
| Central Bank Policies and Financial Markets: Lessons from the Euro Crisis |
| By Ashoka Mody; International Monetary Fund Milan Nedeljkovic; National Bank of Serbia; CESifo |
| presented by: Milan Nedeljkovic, National Bank of Serbia; CESifo |
| Lassoing and Boosting The Causal Effects of The Retirement Decision on Health |
| By Nikolaj Hansen; Aarhus University Malene Kallestrup-Lamb; Aarhus University Anders Kock; University of Oxford |
| presented by: Nikolaj Hansen, Aarhus University |
| Bayesian dynamic tensor regression |
| By Monica Billio; Università Ca' Foscari Venezia Roberto Casarin; University Cà Foscari of Venice Sylvia Kaufmann; Study Center Gerzensee Matteo Iacopini; Ca' Foscari University of Venice |
| presented by: Matteo Iacopini, Ca' Foscari University of Venice |
| Session 17: Lunch and Poster Session 3 December 14, 2018 13:15 to 14:35 |
| A regularized structural factor-augmented vector autoregressive model |
| By Maurizio Daniele; University of Konstanz Julie Schnaitmann; University of Konstanz |
| presented by: Maurizio Daniele, University of Konstanz |
| The Heterogeneous Impact of Sugar Taxes on Cola Demand across Different Household Types |
| By Valerio Serse; UCLouvain |
| presented by: Valerio Serse, UCLouvain |
| Cluster-robust Standard Errors for Linear Regression Models with Many Controls |
| By Riccardo D'Adamo; University College London |
| presented by: Riccardo D'Adamo, University College London |
| Inflation and Economic Growth: Random Forest Methodology |
| By Sidika Basci; Yıldırım Beyazıt University, Ankara, Turkey and EISTI, Cergy, France Houcine Senoussi; Cergy, France |
| presented by: Sidika Basci, Yıldırım Beyazıt University, Ankara, Turkey and EISTI, Cergy, France |
| Shapley regressions: A tool for statistical inference on machine learning models |
| By Andreas Joseph; Bank of England |
| presented by: Andreas Joseph, Bank of England |
| ICOs success drivers: a textual and statistical analysis |
| By paola Cerchiello; University of Pavia Anca Toma; University of Pavia |
| presented by: Anca Toma, University of Pavia |
| Loan screening and default prediction with Machine Learning and Deep Neural Networks |
| By Jeremy Turiel; University College London Tomaso Aste; University College London |
| presented by: Jeremy Turiel, University College London |
| Variance Dynamics in Term Structure Models |
| By CISIL SARISOY; Board of Governors of the Federal Reserve System |
| presented by: CISIL SARISOY, Board of Governors of the Federal Reserve System |
| Session 18: Financial Econometrics II December 14, 2018 14:35 to 16:15 |
| Session Chair: Gianluca Cubadda, Università di Roma |
| Nonparametric Option-Implied Volatility |
| By Viktor Todorov; Northwestern University |
| presented by: Viktor Todorov, Northwestern University |
| The Cross-sectional Distribution of Mutual Fund Skill |
| By Laurent Barras; McGill University Patrick Gagliardini; Università della Svizzera italiana Oliver Scaillet; University of Geneve and Seiss Finance Institute |
| presented by: Laurent Barras, McGill University |
| Detecting Regimes of Predictability in the U.S. Equity Premium |
| By David Harvey; University of Nottingham Steve Leybourne; Nottingham University Robert Sollis; Newcastle University Robert Taylor; University of Essex |
| presented by: Robert Taylor, University of Essex |
| High-dimensional predictive regression in the presence of cointegration |
| By Bonsoo Koo; Monash University Heather Anderson; Monash University Myung Hwan Seo; Seoul National University Wenying Yao; Deakin University |
| presented by: Wenying Yao, Deakin University |
| Session 19: Coffee Break and Poster Session 4 December 14, 2018 16:15 to 17:25 |
| Home is where the ad is: online interest proxies housing demand |
| By Marco Pangallo; University of Oxford Michele Loberto; Banca d'Italia |
| presented by: Michele Loberto, Banca d'Italia |
| Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure |
| By Alain Hecq; Maastricht University Luca Margaritella; Maastricht University Stephan Smeekes; Maastricht University |
| presented by: Luca Margaritella, Maastricht University |
| A dynamic factor model approach to incorporate Big Data in state space models for official statistics. |
| By Caterina Schiavoni; Maastricht University Franz Palm; Maastricht University Stephan Smeekes; Maastricht University Jan van den Brakel; Statistics Netherlands |
| presented by: Caterina Schiavoni, Maastricht University |
| Cointegration in functional autoregressive processes |
| By Massimo Franchi; Sapienza University of Rome Paolo Paruolo; European Commission - Joint Research Centre |
| presented by: Massimo Franchi, Sapienza University of Rome |
| Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model |
| By Gianluca Cubadda; Università di Roma Barbara Guardabascio; Italian National italian Institute of Statistics (istat) |
| presented by: Gianluca Cubadda, Università di Roma |
| Classifying Firms with Text Mining |
| By Giacomo Caterini; University of Trento |
| presented by: Giacomo Caterini, University of Trento |
| Semiparametric estimation of the relationship between recessions and health |
| By Marta Boczon; University of Pittsburgh |
| presented by: Marta Boczon, University of Pittsburgh |
| An Orthogonal Approach to Inference for Deep Learning |
| By Alex Parret; UCI |
| presented by: Alex Parret, UCI |
| Session 20: Round Table: Publishing in Econometrics December 14, 2018 17:25 to 18:00 |
| Session Chair: Mehmet Caner, Ohio State University |
| Discussants: 1 Peter Hansen, University of North Carolina at CH 2 Viktor Todorov, Northwestern University 3 Giuseppe Cavaliere, University of Bologna 4 Juan Carlos Escanciano, Universidad Carlos III de Madrid 5 Robert Taylor, University of Essex 6 Marcelo Medeiros, Pontifical Catholic University of Rio de Janeiro |
| Session 21: Farewell and Aperitivo December 14, 2018 18:00 to 18:30 |
| Session Chairs: |
| 1. Mehmet Caner, Ohio State University |
| 2. Peter Hansen, University of North Carolina at CH |
| 3. Giuseppe Cavaliere, University of Bologna |
| # | Participant | Roles in Conference |
|---|---|---|
| 1 | Ando, Tomohiro | P11 |
| 2 | Angelico, Cristina | P13 |
| 3 | Antoine, Bertille | P7 |
| 4 | Archakov, Ilya | P6 |
| 5 | Arkhangelsky, Dmitry | P16 |
| 6 | Barras, Laurent | P18 |
| 7 | Basci, Sidika | P17 |
| 8 | Bertanha, Marinho | P7 |
| 9 | Bluteau, Keven | P13 |
| 10 | Boczon, Marta | P19 |
| 11 | Brownlees, Christian | P11 |
| 12 | Bruno, Giuseppe | C1 |
| 13 | Budanova, Sofya | P9 |
| 14 | Buechner, Matthias | P11 |
| 15 | Caner, Mehmet | C3, C15, C20, C21 |
| 16 | Carlini, Federico | P6 |
| 17 | Caterini, Giacomo | P19 |
| 18 | Cavaliere, Giuseppe | C3, C6, D20, C21 |
| 19 | Chen, Cathy Yi-Hsuan | C13 |
| 20 | Ciani, Emanuele | P13 |
| 21 | CL Souza, Pedro | P9 |
| 22 | Coffinet, Jerome | P7 |
| 23 | Crayton, Ancil | P10 |
| 24 | Cubadda, Gianluca | C11, C18, P19 |
| 25 | D'Adamo, Riccardo | P17 |
| 26 | Daniele, Maurizio | P17 |
| 27 | Dendramis, Yiannis | P9 |
| 28 | Emiliozzi, Simone | P10 |
| 29 | Escanciano, Juan Carlos | P9, D20 |
| 30 | Franchi, Massimo | P19 |
| 31 | Gayen, Indranil | P10 |
| 32 | Götz, Thomas | P10 |
| 33 | Hansen, Nikolaj | P16 |
| 34 | Hansen, Peter | C3, P10, D20, C21 |
| 35 | Iacopini, Matteo | P16 |
| 36 | Joseph, Andreas | P17 |
| 37 | Kallestrup-Lamb, Malene | C8 |
| 38 | Lind, Jo Thori | P10 |
| 39 | Loberto, Michele | P19 |
| 40 | Lu, Ye | P6 |
| 41 | Margaritella, Luca | P19 |
| 42 | Massacci, Daniele | P10 |
| 43 | Medeiros, Marcelo | D20 |
| 44 | Meitz, Mika | P7 |
| 45 | Nedeljkovic, Milan | P16 |
| 46 | Otto, Sven | P7 |
| 47 | Parret, Alex | P19 |
| 48 | Petrova, Katerina | P10 |
| 49 | Rodrigo, Tomasa | P7 |
| 50 | Rovigatti, Gabriele | P10 |
| 51 | SARISOY, CISIL | P17 |
| 52 | Schiavoni, Caterina | P19 |
| 53 | Serse, Valerio | P17 |
| 54 | Shi, Zhentao | P7 |
| 55 | Siviero, Stefano | C2, C4 |
| 56 | Taylor, Robert | P18, D20 |
| 57 | Todorov, Viktor | C9, C16, P18, D20 |
| 58 | Toma, Anca | P17 |
| 59 | Trimborn, Simon | P7 |
| 60 | Turiel, Jeremy | P17 |
| 61 | Wijler, Etienne | P7 |
| 62 | Wolf, Michael | P6 |
| 63 | Xu, Wen | P10 |
| 64 | Yao, Wenying | P18 |
This program was last updated on 2018-12-10 12:26:28 EDT