Society for Nonlinear Dynamics and Econometrics 18th Annual Symposium

Summary of All Sessions

#Date/TimeLocationTitlePapers
1April 1, 2010
9:00-10:30
101 EMPIRICAL MACRO I3
2April 1, 2010
9:00-10:30
103 FINANCE I3
3April 1, 2010
9:00-10:30
201 FINANCE II3
4April 1, 2010
9:00-10:30
203 ECONOMETRICS I3
5April 1, 2010
11:00-12:30
101 EMPIRICAL MACRO II3
6April 1, 2010
11:00-12:30
103 MACRO THEORY I3
7April 1, 2010
11:00-12:30
201 FINANCIAL ECONOMETRICS3
8April 1, 2010
11:00-12:30
203 ECONOMETRICS II3
9April 1, 2010
14:00-15:30
101 FORECASTING I3
10April 1, 2010
14:00-15:30
103 EXPECTATIONS3
11April 1, 2010
14:00-15:30
201 EMPIRICAL MACRO III3
12April 1, 2010
14:00-15:30
203 ECONOMETRICS III2
13April 1, 2010
16:00-17:30
101 FORECASTING II3
14April 1, 2010
16:00-17:30
103 MACRO THEORY II3
15April 1, 2010
16:00-17:30
201 FINANCE & MACRO THEORY3
16April 1, 2010
16:00-17:30
203 NONLINEAR MODELLING3
17April 2, 2010
9:00-10:30
101 INFLATION DYNAMICS3
18April 2, 2010
9:00-10:30
103 MACRO THEORY III2
19April 2, 2010
9:00-10:30
201 TERM STRUCTURE & ASSET PRICING3
20April 2, 2010
9:00-10:30
203 FINANCE III2
21April 2, 2010
11:00-12:30
101 MONETARY & FISCAL POLICY3
22April 2, 2010
11:00-12:30
103 EMPIRICAL MACRO IV3
23April 2, 2010
11:00-12:30
201 FINANCE IV3
24April 2, 2010
11:00-12:30
203 FINANCIAL CRISIS3
25April 2, 2010
14:00-15:30
101 UNIT ROOTS & NONLINEARITY3
26April 2, 2010
14:00-15:30
103 BAYESIAN & DYNAMICS FACTOR MODELS3
27April 2, 2010
14:00-15:30
201 EMPIRICAL FINANCE3
28April 2, 2010
14:00-15:30
203 MACROECONOMICS3
29April 2, 2010
16:00-17:00
N/A CRAIG HIEMSTRA MEMORIAL LECTURE1
 

29 sessions, 82 papers


 

Society for Nonlinear Dynamics and Econometrics 18th Annual Symposium

Complete List of All Sessions


Session 1: EMPIRICAL MACRO I

Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Date: April 1, 2010
Time: 9:00 - 10:30
Location: 101
 

A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada
By Tino Berger, University of Muenster Bernd Kempa, University of Muenster
   Presented by: Tino Berger, University of Muenster
 

Inventory Mistakes and the Great Moderation
By James Morley; Washington University in St. Louis Aarti Singh; University of Sydney
   Presented by: James Morley, Washington University in St. Louis
 

Permanent and Transitory Macroeconomic Relationships between the US and China
By Yueqing Jia; George Washington University Tara M. Sinclair; George Washington University
   Presented by: Tara Sinclair, George Washington University

Session 2: FINANCE I

Session Chair: Kevin Lansing, Federal Reserve Bank of San Francisco
Date: April 1, 2010
Time: 9:00 - 10:30
Location: 103
 

Cross-listings and Time-Varying Arbitrage: A Trans-Niagra Tale
By Bart Frijns; Finance Group, Auckland University of Technology Remco C.J. Zwinkels; Erasmus School of Economics, Erasmus University Rotterdam
   Presented by: Remco Zwinkels, Erasmus University Rotterdam
 

Conventions in the Foreign Exchange Market: Can they really explain Exchange Rate Dynamics?
By Gabriele Di Filippo; LEDA-SDFi; University Paris IX Dauphine
   Presented by: Gabriele Di Filippo, Univ. Paris IX Dauphine
 

Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
By Jan De Gooijer; University of Amsterdam Cees Diks; University of Amsterdam Lukasz Gatarek; Erasmus University Rotterdam
   Presented by: Cees Diks, University of Amsterdam

Session 3: FINANCE II

Session Chair: Drew Creal, University of Chicago
Date: April 1, 2010
Time: 9:00 - 10:30
Location: 201
 

Spot Volatility Estimation Using Delta Sequences
By Vanessa Mattiussi; City University, London Roberto Renò; Università di Siena
   Presented by: Vanessa Mattiussi, City University
 

An Analysis of Intraday Market Behaviour
By Bruno D. Rodrigues;The University of Sydney Maxwell J. Stevenson;The University of Sydney
   Presented by: Maxwell Stevenson, The University of Sydney
 

AGGREGATION OF EXPONENTIAL SMOOTHING PROCESSES WITH AN APPLICATION TO PORTFOLIO RISK EVALUATION
By Giacomo Sbrana; BETA, Université de Strasbourg, France Andrea Silvestrini; Bank of Italy
   Presented by: Andrea Silvestrini, Bank of Italy

Session 4: ECONOMETRICS I

Session Chair: Cesare Robotti, Federal Reserve Bank of Atlanta
Date: April 1, 2010
Time: 9:00 - 10:30
Location: 203
 

Regime Specific Predictability in Predictive Regressions
By Jesus Gonzalo; Universidad Carlos III de Madrid Jean-Yves Pitarakis; University of Southampton
   Presented by: Jean-Yves Pitarakis, University of Southampton
 

Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
By F. BEC; THEMA, University of Cergy-Pontoise and CREST C. GOLLIER; Toulouse School of Economics and IDEI
   Presented by: Frederique BEC, University of Cergy-Pontoise
 

Semi-Nonparametric Estimation and Testing in Time-Varying Regression Models
By Dennis Kristensen, Columbia University
   Presented by: Dennis Kristensen, Columbia University

Session 5: EMPIRICAL MACRO II

Session Chair: Francesco Ravazzolo, Norges Bank
Date: April 1, 2010
Time: 11:00 - 12:30
Location: 101
 

Labor Market Dynamics over the Business Cycle: Evidence from Markov Switching Models
By Jeremy Schwartz; Loyola University Maryland
   Presented by: Jeremy Schwartz, Loyola University Maryland
 

Real and Nominal Business Cycles: New Evidence from a Generalized Unobserved Components Model
By Jun Ma; University of Alabama Mark E. Wohar; University of Nebraska at Omaha
   Presented by: Jun Ma, Department of Economics, Finance and Legal Studies
 

Apocalypse Now, Apocalypse Then: Economic Growth¸ Structural Breaks and Argentina (1886-2003)
By Nauro F. Campos; Brunel University and CEPR; Menelaos G. Karanasos; Brunel University; Michail Karoglou; University of Newcastle;
   Presented by: Michail Karoglou, University of Newcastle

Session 6: MACRO THEORY I

Session Chair: Christina Steiger, Northeastern University
Date: April 1, 2010
Time: 11:00 - 12:30
Location: 103
 

Time-Varying Effects of Fiscal Policy in the Euro Area
By Markus Kirchner; University of Amsterdam Jacopo Cimadomo; European Central Bank Sebastian Hauptmeier; European Central Bank
   Presented by: Jacopo Cimadomo, European Central Bank
 

Nonparametric Hybrid Phillips Curves Based on Subjective Expectations: Estimates for the Euro Area
By Marco Buchmann, Goethe University Frankfurt, Chair of International Macroeconomic and Macroeconometrics; European Central Bank, Econometric Modelling Division
   Presented by: Marco Buchmann, European Central Bank
 

The empirical relevance of Rational Inattention in consumption-savings decisions: a Bayesian approach
By Antonella Tutino; Federal Reserve Board Department of Research and Statistics
   Presented by: Antonella Tutino, Board of Governors of the Federal Reserve System

Session 7: FINANCIAL ECONOMETRICS

Session Chair: Daniel Rittler, University of Heidelberg
Date: April 1, 2010
Time: 11:00 - 12:30
Location: 201
 

BAND-LIMITED STOCHASTIC PROCESSES IN DISCRETE AND CONTINUOUS TIME
By D.S.G. Pollock Department of Economics University of Leicester United Kingddom
   Presented by: Stephen Pollock, University of Leicester
 

Financial Development and Convergence Clubs
By Nalan Basturk; Econometric Institute; Tinbergen Institute; Erasmus University Rotterdam Richard Paap; Econometric Institute Erasmus University Rotterdam Dick van Dijk; Econometric Institute Erasmus University Rotterdam
   Presented by: Nalan Basturk, Erasmus University
 

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
By Drew Creal; University of Chicago Booth School of Business Siem Jan Koopman; VU University Amsterdam Andre Lucas; VU University Amsterdam
   Presented by: Drew Creal, University of Chicago

Session 8: ECONOMETRICS II

Session Chair: Frederique BEC, University of Cergy-Pontoise
Date: April 1, 2010
Time: 11:00 - 12:30
Location: 203
 

Testing for Linearity in Cointegrating Vector Error Correction Models
By Anders Rahbek; University of Copenhagen Dennis Kristensen; University of Columbia, NY
   Presented by: Anders Rahbek, University of Copenhagen
 

Summability of Stochastic Processes: A Generalization of Integration and Co-integration valid for non-linear time series
By Vanessa Berenguer-Rico; Universidad Carlos III de Madrid Jesús Gonzalo; Universidad Carlos III de Madrid
   Presented by: Vanessa Berenguer-Rico, Universidad Carlos III de Madrid
 

On the Hansen-Jagannathan distance with a no-arbitrage constraint
By Nikolay Gospodinov; Concordia University Raymond Kan; University of Toronto Cesare Robotti; Federal Reserve Bank of Atlanta
   Presented by: Cesare Robotti, Federal Reserve Bank of Atlanta

Session 9: FORECASTING I

Session Chair: Tara Sinclair, George Washington University
Date: April 1, 2010
Time: 14:00 - 15:30
Location: 101
 

The power of weather
By Christian Huurman; Financial Engineering Associates Francesco Ravazzolo; Norges Bank Chen Zhou; De Nederlandsche Bank
   Presented by: Francesco Ravazzolo, Norges Bank
 

Modeling and forecasting wind speed intensity for weather risk management
By Massimiliano Caporin; University of Padova Juliusz Prés; West Pomeranian University of Technology
   Presented by: Massimiliano Caporin, Università degli Studi di Padova
 

Modeling and Forecasting Durations with Long-Memory Models
By Filip Zikes; Imperial College London Nikhil Shenai; Imperial College London
   Presented by: Filip Zikes, Imperial College London

Session 10: EXPECTATIONS

Session Chair: Antonella Tutino, Board of Governors of the Federal Reserve System
Date: April 1, 2010
Time: 14:00 - 15:30
Location: 103
 

Heterogeneous expectations and financial instability in a pure finance economy
By Serena Sordi; Department of Economic Policy, Finance and Development, University of Siena Alessandro Vercelli; Department of Economic Policy, Finance and Development, University of Siena
   Presented by: Serena Sordi, University of Siena
 

Heterogeneous Behavioral Expectations, Exchange Rate Dynamics and Monetary Policy Rules
By Christian R. Proaño; Macroeconomic Policy Institute (IMK)
   Presented by: Christian Proaño, Macroeconomic Policy Institute (IMK)
 

Escaping the Poverty Trap: Expectations, Adaptive Learning and Human Capital Acccumulation
By L. Christina Steiger; Northeastern University
   Presented by: Christina Steiger, Northeastern University

Session 11: EMPIRICAL MACRO III

Session Chair: James Morley, Washington University in St. Louis
Date: April 1, 2010
Time: 14:00 - 15:30
Location: 201
 

Real-time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty
By Alessandro Flamini; University of Sheffield Costas Milas; Keele University and Rimini Centre for Economic Analysis
   Presented by: Alessandro Flamini, University of Sheffield
 

Exploring the non-linear road from oil to consumer energy prices: no much asymmetry along the way
By Fabrizio Venditti; Banca d'Italia;
   Presented by: fabrizio venditti, banca d'Italia
 

What does Federal Reserve Target? Current or Expected Inflation
By Charbel Bassil; University of Cergy Pontoise France
   Presented by: Charbel Bassil, University of Cergy Pontoise

Session 12: ECONOMETRICS III

Session Chair: Dennis Kristensen, Columbia University
Date: April 1, 2010
Time: 14:00 - 15:30
Location: 203
 

Nonparametric Tests for Conditional Independence Using Conditional Distribution
By Taoufik Bouezmarni; McGill University Roch Roy; Université de Montréeal Abderrahim Taamouti; Universidad Carlos III de Madrid
   Presented by: Abderrahim Taamouti, Universidad Carlos III de Madrid
 

Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis
By Daniel Rittler; Department of Economics, University of Heidelberg
   Presented by: Daniel Rittler, University of Heidelberg

Session 13: FORECASTING II

Session Chair: Jeremy Schwartz, Loyola University Maryland
Date: April 1, 2010
Time: 16:00 - 17:30
Location: 101
 

Forecasting Recessions Using the Mixed Frequency Probit
By Michael T. Owyang; Federal Reserve Bank of St. Louis
   Presented by: Michael Owyang, Federal Reserve Bank of St Louis
 

Macroeconomic Forecasting using Robustified Diffusion Indexes
By Christian M. Dahl; CREATES and School of Economics and Management, Aarhus University Johannes Tang Kristensen; CREATES and School of Economics and Management, Aarhus University Allan Würtz; CREATES and School of Economics and Management, Aarhus University
   Presented by: Johannes Kristensen, Aarhus University
 

Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland
By Boriss Silivestovs; KOF ETH Zurich Konstantin Kholodilin; DIW Berlin
   Presented by: Boriss Siliverstovs, ETH Zurich

Session 14: MACRO THEORY II

Session Chair: Cees Diks, University of Amsterdam
Date: April 1, 2010
Time: 16:00 - 17:30
Location: 103
 

Precautionary price stickiness
By James Costain; Banco de España Anton Nakov; Banco de España
   Presented by: James Costain, Bank of Spain
 

Sticky information and Asset Prices in a DSGE model
By Marco Airaudo; Drexel University Roberta Cardani; Università di Parma Kevin Lansing; Federal Reserve of San Francisco
   Presented by: Roberta Cardani, Università degli Studi di Parma
 

Wage rigidities in an estimated DSGE model of the UK labour market
By Francesco Zanetti; Bank of England Renato Faccini; Bank of England Stephen Millard; Bank of England
   Presented by: Francesco Zanetti, Boston College

Session 15: FINANCE & MACRO THEORY

Session Chair: Serena Sordi, University of Siena
Date: April 1, 2010
Time: 16:00 - 17:30
Location: 201
 

Microfoundation of Conformism in a reduced form model with Social Interactions
By Emilio Barucci; Politecnico di Milano, Italy Marco Tolotti; University Ca' Foscari Venice, Italy
   Presented by: Marco Tolotti, University Ca' Foscari Venice
 

Repeated Moral Hazard and Recursive Lagrangeans
By Antonio Mele; University of Oxford and Nuffield College
   Presented by: Antonio Mele, University of Oxford and Nuffield College
 

The Structural Transformation Between Manufacturing and Services and the Decline in the U.S. GDP
By Alessio Moro; University of Cagliari
   Presented by: Alessio Moro, University of Cagliari; Bank of Spain

Session 16: NONLINEAR MODELLING

Session Chair: Jun Ma, Department of Economics, Finance and Legal Studies
Date: April 1, 2010
Time: 16:00 - 17:30
Location: 203
 

A latent time-varying threshold model with error-correction and endogeneity
By Michael Dueker; Russell Investments Michael Owyang; Federal Reserve Bank of St. Louis Martin Sola; University of London, BirkbeckCollege
   Presented by: Michael Dueker, Russell Investments
 

Identification problems in ESTAR models and a new model
By Philipp Sibbertsen, Leibniz University of Hannover Stefanie Donauer, Leibniz University of Hannover Florian Heinen, Leibniz University of Hannover
   Presented by: Philipp Sibbertsen, Leibniz University of Hannover
 

Nonlinearity, Economic Fundamentals and the Dollar Sterling Real Exchange Rate
By Hyeyoen Kim; Economics Dept, University of Leicester
   Presented by: Hyeyoen Kim, University of Leicester

Session 17: INFLATION DYNAMICS

Session Chair: Sebastiano Manzan, Baruch College, CUNY
Date: April 2, 2010
Time: 9:00 - 10:30
Location: 101
 

Does the cost channel matter for inflation dynamics? An identification robust structural analysis for the US and the Euro area
By Rolf Scheufele; Halle Institute for Economic Research (IWH)
   Presented by: Rolf Scheufele, Halle Institute for Economic Research
 

Modeling Volatility Spillovers between US Inflation Uncertainty and Output Variability: the UECCC GARCH Model
By Menelaos Karanasos; Brunel University Christian Conrad, Heidelberg University
   Presented by: menelaos karanasos, public
 

On the Transmission of Memory: Inflation Persistence and the Great Moderation
By Christian Conrad; University of Heidelberg Simone Elmer; KOF Swiss Economic Institute Menelaos Karanasos; Brunel University
   Presented by: Christian Conrad, University of Heidelberg

Session 18: MACRO THEORY III

Session Chair: Ming Lo, St. Cloud State University
Date: April 2, 2010
Time: 9:00 - 10:30
Location: 103
 

Threshold Effect, Financial Intermediation and Macroeconomic Performance
By Augier Université de La Rochelle Soerdarmono Université de Limoges
   Presented by: Wahyoe Soedarmono, Université de Limoges
 

Entry Costs, Industry Structure, and Cross-Country Income and TFP Differences
By Levon Barseghyan; Cornell University Riccardo DiCecio; FRB of St. Louis
   Presented by: Riccardo DiCecio, Federal Reserve Bank of St. Louis

Session 19: TERM STRUCTURE & ASSET PRICING

Session Chair: Bruce Mizrach, Rutgers University
Date: April 2, 2010
Time: 9:00 - 10:30
Location: 201
 

The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market
By Burak Saltoglu; Bogazici University M. Ege Yazgan; Istanbul Bilgi University
   Presented by: M. Ege Yazgan, Istanbul Bilgi University
 

RISK PREMIA AND WISHART TERM STRUCTURE MODELS
By Carl Chiarella; The University of Technology, Sydney Thuy Duong To; The University of New South Wales Chih-Ying Hsiao; The University of Technology, Sydney
   Presented by: Chih-Ying Hsiao, University of Technology Sydney
 

Testing habits in an asset pricing model
By Melisso Boschi; Ministry of Economy and Finance Stefano d'Addona; University of Rome 3 and Baruch College Aditya Goenka; National University of Singapore
   Presented by: Melisso Boschi, University of Essex

Session 20: FINANCE III

Session Chair: Claudio Morana, Universita' del Piemonte Orientale
Date: April 2, 2010
Time: 9:00 - 10:30
Location: 203
 

Understanding Liquidity Shortages During Severe Economic Downturns
By Manoj Atolia; Florida State University Tor Einarsson; University of Iceland Milton H. Marquis; Florida State University
   Presented by: John Gibson, Florida State University
 

Asset Pricing in a Capitalist-Worker Economy
By Kevin J. Lansing Federal Reserve Bank of San Francisco
   Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco

Session 21: MONETARY & FISCAL POLICY

Session Chair: Junsoo Lee, University of Alabama
Date: April 2, 2010
Time: 11:00 - 12:30
Location: 101
 

Monetary Policy and Asset Prices: A Regime-Switching Model for the Taylor Rule
By King Banaian; St. Cloud State University Ming Chien Lo; St. Cloud State University Ting Qin; St. Cloud State University
   Presented by: Ming Lo, St. Cloud State University
 

Fiscal policy evaluation with regime‐dependent cyclically‐adjusted budget balance 
By Melisso Boschi; Ministry of Economy and Finance, Italy and CAMA Stefano d'Addona; University of Rome 3 and Baruch College.
   Presented by: Melisso Boschi, University of Essex
 

The Market-Perceived Monetary Policy Rule
By James Hamilton (UCSD) Seth Pruitt (Federal Reserve Board) Scott Borger (Off of Immigration Statistics)
   Presented by: Seth Pruitt, Federal Reserve Board of Governors

Session 22: EMPIRICAL MACRO IV

Session Chair: Markus Jochmann, University of Strathclyde
Date: April 2, 2010
Time: 11:00 - 12:30
Location: 103
 

How Does Monetary Policy Change? Evidence on Inflation Targeting Countries
By Jaromír Baxa; Charles University, Prague Roman Horváth; Czech National Bank Borek Vasícek; Universitat Autonoma de Barcelona
   Presented by: Borek Vasicek, Universitat Autonoma de Barcelona
 

Differential Interpretation in the Survey of Professional Forecasters
By Sebastiano Manzan, Baruch College
   Presented by: Sebastiano Manzan, Baruch College, CUNY
 

Sources of the Volatility Puzzle in the Crude Oil Market
By Christiane Baumeister, Ghent University Gert Peersman, Ghent University
   Presented by: Christiane Baumeister, Ghent University

Session 23: FINANCE IV

Session Chair: Gerald Dwyer, FEDERAL RESERVE BANK OF ATLANTA
Date: April 2, 2010
Time: 11:00 - 12:30
Location: 201
 

Integration of the Global Emissions Trading Markets
By Bruce Mizrach; Rutgers University
   Presented by: Bruce Mizrach, Rutgers University
 

Cointegration versus Spurious Regression and Heterogeneity in Large Panels
By Lorenzo Trapani; Cass Business School, London
   Presented by: Lorenzo Trapani, Cass Business School
 

A Model of Commodity Prices after Sir Arthur Lewis Reconsidered
By Atanu Ghoshray; Department of Economics, University of Bath, UK. Ashira Perera; London, UK
   Presented by: Atanu Ghoshray, University of Bath

Session 24: FINANCIAL CRISIS

Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Date: April 2, 2010
Time: 11:00 - 12:30
Location: 203
 

The 2007-? financial crisis: a money market perspective
By Claudio Morana; Universita' del Piemonte Orientale Nuno Cassola; European Central Bank
   Presented by: Claudio Morana, Universita' del Piemonte Orientale
 

Financialization, crisis and commodity correlation dynamics.
By Annastiina Silvennoinen; Queensland University of Technology Susan Thorp; University of Technology, Sydney
   Presented by: Annastiina Silvennoinen, Queensland University of Technology
 

Technological Change and Timing Reductions in Greenhouse Gas Emissions
By Rolf Färe; Oregon State University Shawna Grosskopf; Oregon State University Dimitri Margaritis; AUT William L. Weber; Southeast Missouri State University
   Presented by: Dimitris Margaritis, Faculty of Business, AUT

Session 25: UNIT ROOTS & NONLINEARITY

Session Chair: Philipp Sibbertsen, Leibniz University of Hannover
Date: April 2, 2010
Time: 14:00 - 15:30
Location: 101
 

Nonlinearity and Nonstationarity in International Art Market Prices: Evidence from Markov-Switching ADF Unit Root Tests
By Emrah İsmail Çevik; Zonguldak Karaelmas University and University of Missouri-St. Louis Erdal Atukeren; ETH Zurich Turhan Korkmaz; Zonguldak Karaelmas University
   Presented by: Erdal Atukeren, ETH Zurich
 

IV Unit Root Tests Using the Dickey-Fuller Detrending Method
By Walter Enders; University of Alabama Kyung So Im; Federal Deposit Insurance Corporation Junsoo Lee; University of Alabama
   Presented by: Junsoo Lee, University of Alabama
 

Specification tests for nonlinear time series models
By Igor Kheifets; Carlos III de Madrid
   Presented by: Igor Kheifets, Carlos III de Madrid

Session 26: BAYESIAN & DYNAMICS FACTOR MODELS

Session Chair: Seth Pruitt, Federal Reserve Board of Governors
Date: April 2, 2010
Time: 14:00 - 15:30
Location: 103
 

Markov-switching dynamic factor models in real time
By Camacho, Maximo; Universidad de Murcia Perez-Quiros, Gabriel; Banco de España and CEPR Poncela, Pilar; Universidad Autónoma de Madrid}
   Presented by: Pilar Poncela, Universidad Autonoma de Madrid
 

Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach
By Markus Jochmann; University of Strathclyde
   Presented by: Markus Jochmann, University of Strathclyde
 

Estimating the Number Of Factors And Lags in High Dimensional Dynamic Factor Models
By Matthew Harding; Stanford University K. Krishnan Nair; Stanford University
   Presented by: Matthew Harding, Stanford University

Session 27: EMPIRICAL FINANCE

Session Chair: Annastiina Silvennoinen, Queensland University of Technology
Date: April 2, 2010
Time: 14:00 - 15:30
Location: 201
 

Expected Returns to Angel Investors
By Ramon P. DeGennaro University of Tennessee Gerald P. Dwyer Federal Reserve Bank of Atlanta University of Carlos III, Madrid
   Presented by: Gerald Dwyer, FEDERAL RESERVE BANK OF ATLANTA
 

Expected Returns Across Time Scales
By Christophe BOUCHER; A.A.Advisors-QCG (ABN AMRO), Variances and University of Paris-1 (CES/CNRS). Bertrand MAILLET; A.A.Advisors-QCG (ABN AMRO), Variances and University of Paris-1 (CES/CNRS and EIF)
   Presented by: Christophe Boucher, Université Paris-1
 

Derivatives trading and the volume-volatility link in the Indian stock market
By Sumon Kumar Bhaumik; Brunel University Menelaos Karanasos; Brunel University Aris Kartsaklas; Queen Mary University of London
   Presented by: Aris Kartsaklas, Universit of York

Session 28: MACROECONOMICS

Session Chair: Riccardo DiCecio, Federal Reserve Bank of St. Louis
Date: April 2, 2010
Time: 14:00 - 15:30
Location: 203
 

News and correlations: an impulse response analysis
By Yannick Le Pen ; Université de Nantes Benoît Sévi ; London Business School and Université d'Angers
   Presented by: Benoît Sévi, London Business School
 

Debt sustainability in selected euro area countries. Empirical evidence estimating time-varying parameters
By Bettina Fincke; Department of Business Administration and Economics, Bielefeld University, P.O. Box 100131, 33501 Bielefeld, Germany. Alfred Greiner; Department of Business Administration and Economics, Bielefeld University, P.O. Box 100131, 33501 Bielefeld, Germany.
   Presented by: Bettina Fincke, Bielefeld University
 

"Google it!" Forecasting the US unemployment rate with a Google job search index
By Francesco D'Amuri; Bank of Italy Juri Marcucci; Bank of Italy
   Presented by: Juri Marcucci, Bank of Italy

This program was last updated on 2010-03-29 12:35:41 EDT


Session 29: CRAIG HIEMSTRA MEMORIAL LECTURE

Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Date: April 2, 2010
Time: 16:00 - 17:00
 

Issues in Modeling Persistent TimeSeries and Impulse Response Estimation
By Richard Baillie; Michigan State University
   Presented by: Richard Baillie, Michigan State University