2018 European Seminar on Bayesian Econometrics - New Orleans

The New Orleans Branch of the Atlanta Federal Reserve Bank - New Orleans, Louisiana, USA

 
October 11, 2018
 
TimeLocationEvent
 
07:30 to 08:15 Breakfast, Crescent Room
 
 
08:15 to 08:30 Welcome & Greeting, Mississippi Room
 
 
08:30 to 09:30 Keynote Talk I, Mississippi Room
 
 
09:30 to 09:45 Coffee Break, Atchafalaya Room
 
 
09:45 to 11:15 Session I (Macro), Mississippi Room
 
 
11:15 to 11:30 Coffee Break, Atchafalaya Room
 
 
11:30 to 12:30 Invited Macro Session, Mississippi Room
 
 
12:30 to 14:00 Lunch & Posters I, Crescent & Atchafalaya Room
 
 
14:00 to 15:30 Session II (EFaB), Mississippi Room
 
 
15:30 to 14:45 Coffee Break, Atchafalaya Room
 
 
15:45 to 17:15 Session III (Predictability), Mississippi Room
 
 
17:15 to 17:30 Coffee Break, Atchafalaya Room
 
 
17:30 to 18:30 Keynote Talk II, Mississippi Room
 
 
18:30 to 20:00 Conference Reception, Board Dining Room
 
 
 
October 12, 2018
 
TimeLocationEvent
 
07:30 to 08:00 Breakfast, Crescent Room
 
 
08:00 to 09:00 Keynote Talk III, Mississippi Room
 
 
09:00 to 09:15 Coffee Break, Atchafalaya Room
 
 
09:15 to 10:15 Keynote Talk IV, Mississippi Room
 
 
10:30 to 12:00 Session IV (Methodology), Mississippi Room
 
 
12:00 to 13:30 Lunch & Posters II, Crescent & Atchafalaya Room
 
 
13:30 to 15:00see below Session V (Nonparametrics), Mississippi Room
 
 
15:00 to 15:15 Coffee Break, Atchafalaya Room
 
 
15:15 to 16:45 Invited Session II, Mississippi Room
 
 

 

Program Notes and Index of Sessions

Keynote Talk I
Location: Mississippi Room
October 11, 2018 08:30 to 09:30
 
Keynote Talk I, Mississippi Room

Session I (Macro)
Location: Mississippi Room
October 11, 2018 09:45 to 11:15
 
Session I (Macro), Mississippi Room

Invited Macro Session
Location: Mississippi Room
October 11, 2018 11:30 to 12:30
 
Invited Macro Session, Mississippi Room

Lunch & Posters I
Location: Crescent & Atchafalaya Room
October 11, 2018 12:30 to 14:00
 
Poster Session I, Atchafalaya Room

Session II (EFaB)
Location: Mississippi Room
October 11, 2018 14:00 to 15:30
 
Session II (EFaB), Mississippi Room

Session III (Predictability)
Location: Mississippi Room
October 11, 2018 15:45 to 17:15
 
Session III (Predictability), Mississippi Room

Keynote Talk II
Location: Mississippi Room
October 11, 2018 17:30 to 18:30
 
Keynote Talk II, Mississippi Room

Keynote Talk III
Location: Mississippi Room
October 12, 2018 08:00 to 09:00
 
Keynote Talk III, Mississippi Room

Keynote Talk IV
Location: Mississippi Room
October 12, 2018 09:15 to 10:15
 
Keynote Talk IV, Mississippi Room

Session IV (Methodology)
Location: Mississippi Room
October 12, 2018 10:30 to 12:00
 
Session IV (Methodology), Mississippi Room

Lunch & Posters II
Location: Crescent & Atchafalaya Room
October 12, 2018 12:00 to 13:30
 
Poster Session II, Atchafalaya Room

Session V (Nonparametrics)
Locations: listed below
October 12, 2018 13:30 to 15:00
 
Session V (Nonparametric), Mississippi Room

Invited Session II
Location: Mississippi Room
October 12, 2018 15:15 to 16:45
 
Invited Session II, Mississippi Room

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTypeTitlePapersOrganizer
October 11, 2018
8:30-9:30
Mississippi Room invited Keynote Talk I1Mark Jensen
October 11, 2018
9:45-11:15
Mississippi Room contributed Session I (Macro)3Mark Jensen
October 11, 2018
11:30-12:30
Mississippi Room contributed Invited Macro Session2Mark Jensen
October 11, 2018
12:30-14:00
Atchafalaya Room contributed Poster Session I6Mark Jensen
October 11, 2018
14:00-15:30
Mississippi Room contributed Session II (EFaB)3Mark Jensen
October 11, 2018
15:45-17:15
Mississippi Room invited Session III (Predictability)3Mark Jensen
October 11, 2018
17:30-18:30
Mississippi Room invited Keynote Talk II1Mark Jensen
October 12, 2018
8:00-9:00
Mississippi Room invited Keynote Talk III1Mark Jensen
October 12, 2018
9:15-10:15
Mississippi Room invited Keynote Talk IV1Mark Jensen
October 12, 2018
10:30-12:00
Mississippi Room contributed Session IV (Methodology)3
October 12, 2018
12:00-13:30
Atchafalaya Room contributed Poster Session II4Mark Jensen
October 12, 2018
13:30-15:00
Mississippi Room contributed Session V (Nonparametric)3Mark Jensen
October 12, 2018
15:15-16:45
Mississippi Room invited Invited Session II3
 

13 sessions, 34 papers, and 0 presentations with no associated papers


 

2018 European Seminar on Bayesian Econometrics - New Orleans

Detailed List of Sessions

 
Session: Keynote Talk I
October 11, 2018 8:30 to 9:30
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Session type: invited
 

"New" Bayesian SVAR Tools
   presented by: Juan Rubio-Ramirez, Emory
 
Session: Session I (Macro)
October 11, 2018 9:45 to 11:15
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Marco Del Negro, Federal Reserve Bank of New York
Session type: contributed
 

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations
   presented by: James Hamilton, University of California, San Diego
 

A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification
   presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
 

Large-Scale Dynamic Predictive Regressions
   presented by: Daniele Bianchi, University of Warwick
 
Session: Invited Macro Session
October 11, 2018 11:30 to 12:30
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Sylvia Kaufmann, Study Center Gerzensee
Session type: contributed
 

A Bayesian Approach for Inference on Probabilistic Surveys
[slides]
   presented by: Marco Del Negro, Federal Reserve Bank of New York
 

The Origins and Consequences of Macroeconomic Uncertainty
   presented by: Francesco Bianchi, Duke University
 
Session: Poster Session I
October 11, 2018 12:30 to 14:00
Atchafalaya Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session type: contributed
 

A Bayesian Time-Varying approach to density estimation
   presented by: Enrique ter Horst, Universidad de los Andes
 

A Bayesian Semiparametric Stochastic Volatility Model with Markovian Mixtures
   presented by: Chenxing Li, McMaster University
 

Dynamic Pooling using Bayesian Nonparametrics for U.S. Short-term T-Bill Rates
[slides]
   presented by: QIAO YANG, ShanghaiTech University
 

Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
   presented by: Martina Danielova Zaharieva, University of Münster
 

Forecasting Cryptocurrencies Under Model and Parameter Instability
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

Reverse Quantitative Easing: What are the macroeconomic consequences of shrinking the Federal Reserve's balance sheet?
   presented by: Kyle Rechard, Clemson University
 
Session: Session II (EFaB)
October 11, 2018 14:00 to 15:30
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Hedibert Lopes, insper
Session type: contributed
 

Monotonic Effects of Characteristics on Returns
   presented by: Jared Fisher, University of Texas at Austin
 

Dynamic Mixed Frequency Synthesis for Economic Nowcasting
   presented by: Kenichiro McAlinn, University of Chicago
 

Testing the Random Utility Hypothesis Directly
   presented by: William McCausland, Universite de Montreal
 
Session: Session III (Predictability)
October 11, 2018 15:45 to 17:15
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: John Maheu, McMaster
Session type: invited
 

Dynamic Function-on-Scalars Regression
   presented by: Daniel Kowal, Rice University
 

Mixed-Frequency Predictive Regressions
[slides]
   presented by: Hanlin Yang, University of Zurich
 

Modelling Structural Changes in Distribution
   presented by: Yong Song, University of Melbourne
 
Session: Keynote Talk II
October 11, 2018 17:30 to 18:30
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Tao Zha, Federal Reserve Bank of Atlanta
Session type: invited
 

A Likelihood Approach to Weighted Data: Basu's Elephants Revisited
   presented by: Christopher Sims, Princeton University
 
Session: Keynote Talk III
October 12, 2018 8:00 to 9:00
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Sylvia Fruhwirth-Schnatter, Vienna University of Economics and Business
Session type: invited
 

Posteriors on parameters from moment conditions
   presented by: Neil Shephard, Harvard University
 
Session: Keynote Talk IV
October 12, 2018 9:15 to 10:15
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Herman van Dijk, Tinbergen Institute, Erasmus University Rotterdam and Norges Bank
Session type: invited
 

Semiparametric Multivariate and Multiple Change-Point Modelling With an Application to Short-term Interest Rates
   presented by: Antonietta Mira, Università della Svizzera italiana, Lugano and Insubria University
 
Session: Session IV (Methodology)
October 12, 2018 10:30 to 12:00
Mississippi Room
 
Session Organizer: ,
Session Chair: Jared Fisher, University of Texas at Austin
Session type: contributed
 

Bayesian Inference for ARFIMA Models
   presented by: John Geweke, University of Technology Sydney
 

Hamiltonian Sequential Monte Carlo with Application to Consumer Choice Behavior
   presented by: Martin Burda, University of Toronto
 

Adaptive Bayesian Estimation of Mixed Discrete-Continuous Distributions under Smoothness and Sparsity
   presented by: Andriy Norets, Brown University
 
Session: Poster Session II
October 12, 2018 12:00 to 13:30
Atchafalaya Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session type: contributed
 

The Macroeconomic Impact of the ECB's Unconventional Monetary Policy Measures
   presented by: Garo Garabedian, Central Bank of Ireland, Ghent University
 

Flexible Stochastic Conditional Duration Model
   presented by: Samuel Gingras, Université de Montréal
 

Redistribution effect of monetary policy: evidence from Brazil.
[slides]
   presented by: Aishameriane Schmidt, Federal University of Santa Catarina
 

Liquidity From Two Lending Facilities
   presented by: Angela Vossmeyer, Claremont McKenna College
 
Session: Session V (Nonparametric)
October 12, 2018 13:30 to 15:00
Mississippi Room
 
Session Organizer: Mark Jensen, Atlanta Federal Reserve Bank
Session Chair: Mark Fisher, Federal Reserve Bank of Atlanta
Session type: contributed
 

Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models
   presented by: Kenichi Shimizu, Brown University
 

Nonparametric Dynamic Conditional Beta
[slides]
   presented by: John Maheu, McMaster
 

Factor Investing: A Bayesian Ensemble Learning
   presented by: Guanhao Feng, City University of Hong Kong
 
Session: Invited Session II
October 12, 2018 15:15 to 16:45
Mississippi Room
 
Session Organizer: ,
Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Session type: invited
 

Unique representations of sparse factor models
   presented by: Sylvia Kaufmann, Study Center Gerzensee
 

Predictive Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
   presented by: Herman van Dijk, Tinbergen Institute, Erasmus University Rotterdam and Norges Bank
 

Econometric Identification in Sparse Bayesian Factor Analysis
   presented by: Sylvia Fruhwirth-Schnatter, Vienna University of Economics and Business
 

13 sessions, 34 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Bianchi, DanieleP2
2Bianchi, FrancescoP3
3Bognanni, MarkP2
4Burda, MartinP10
5Danielova Zaharieva, MartinaP4
6Del Negro, MarcoC2, P3
7Feng, GuanhaoP12
8Fisher, JaredP5, C10
9Fisher, MarkC12
10Fruhwirth-Schnatter, SylviaC8, P13
11Garabedian, GaroP11
12Geweke, JohnP10
13Gingras, SamuelP11
14Hamilton, JamesP2
15Jensen, MarkC1, C13
16Kaufmann, SylviaC3, P13
17Kowal, DanielP6
18Li, ChenxingP4
19Lopes, HedibertC5
20Maheu, JohnC6, P12
21McAlinn, KenichiroP5
22McCausland, WilliamP5
23Mira, AntoniettaP9
24Norets, AndriyP10
25Ravazzolo, FrancescoP4
26Rechard, KyleP4
27Rubio-Ramirez, JuanP1
28Schmidt, AishamerianeP11
29Shephard, NeilP8
30Shimizu, KenichiP12
31Sims, ChristopherP7
32Song, YongP6
33ter Horst, EnriqueP4
34van Dijk, HermanC9, P13
35Vossmeyer, AngelaP11
36Yang, HanlinP6
37YANG, QIAOP4
38Zha, TaoC7

 

This program was last updated on 2018-10-12 08:45:21 EDT