The Program and the Zoom links will be sent by email to the registered participants on Thursday December 10 THE CONFERENCE IS FULLY ONLINE ON ZOOM PLEASE DOWNLOAD THE LATEST RELEASE OF ZOOM (Version: 5.4.6) TO BE ABLE TO MOVE FLEXIBLY AROUND Overview:
All times are Continental European Winter Time (CET, GMT+1) To accommodate an online format, all sessions are shorter than usual, so we kindly ask all presenters to respect the timing precisely.
9:10 - 9:20 Introduction by the Conference Organizers 9:20 - 10:15 KEYNOTE SESSION 1 Chair: Roberto Reno Monica Billio, Universitá di Venezia (Italy) with R Casarin, M Iacopini, S Kaufmann 10:15 - 10:30 Break 10:30 - 11:20 Session 1A : Theory Chair: Anders Kock "The Factor Analytical Approach in Near Unit Root Interactive Effects Panels" Milda Norkute, Lund University (SE) with J Westerlund "Lasso Inference for High-Dimensional Time Series" Robert Adamek, Maastricht University (NL) with S Smeekes and Ines Wilms 11:20 - 11:30 Break 11:30 - 12:20 Session 1B : MACRO/FIN Chair: Alessandra Luati "Factor models with downside risk" Lorenzo Trapani, University of Nottingham (UK) with D Massacci and L Sarno "Impulse Response Analysis for Sparse High-Dimensional Time Series" Jonas Krampe, Mannheim University (DE) with C Trenkler 12:30 pm - 2:15 pm POSTER SESSION 1 13 posters in breakout rooms (see list below) 2:15 pm - 2:30 pm Break 2:30 pm - 3:20 pm Session 2A : THEORY Chair: Olivier Scaillet "Theoretical Comparison of the Functional Principal Component Analysis and Functional Partial Least Squares" Marine Carrasco, University of Montreal (CA) with I Tsafack "Inference on the dimension of the nonstationary subspace in functional time series" Morten Nielsen, Queen's University (CA) with WK Seo and D Seong 3:20 pm - 3:30 pm Break 3:30 pm - 4:20 pm Session 2B : MACRO/FIN Chair: Sébastien Laurent "Stochastic Revealed Preference A Non-Parametric Approach" Christopher Dobronyi, University of Toronto (CA) with C Gourieroux "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices" Peter Hansen, University of North Carolina (US) with I Archakov 4:20 pm - 4:30 pm Break 4:30 pm - 5:25 pm KEYNOTE SESSION 2 (not recorded) Chair: Frank Kleibergen "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities" Francis X. Diebold, University of Pennsylvania (US) 5:30 pm - 6:00 pm SOCIAL EVENT : Piano concert "It's all about interpretation!” by Lydie Solomon
10:20 - 11:15 KEYNOTE SESSION 3 Chair: Jean-Michel Zakoian Gary Koop, University of Strathclyde (UK) with F Huber, L Onorante, M Pfarrhofer and J Schreiner 11:15 - 11:30 Break 11:30 - 12:20 Session 3A : Forecasting Chair: Eric Hillebrand "Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data" Juan Antolin-Diaz, London Business School (UK) with D Thomas and I Petrella "Nowcasting Tail Risks to Economic Activity with Many Indicators" Massimiliano Marcellino, Universitá Bocconi (IT) with A Carriero and TE Clark 12:20 pm - 12:30 pm Break 12:30 pm - 1:20 pm Session 3B : Forecasting Chair: Christian Y. Robert "Dynamic Predictive Density Combinations for Large Financial Data Sets" Roberto Casarin, Universitá di Venezia (IT) with S Grassi, F Ravazzolo and HK van Dijk "Dynamic Factor Copula Models with Estimated Cluster Assignments" Andrew Patton, Duke University (US) with Dong Hwan Oh 1:20 pm - 1:30 pm Break 1:30 pm - 3:15 pm POSTER SESSION 2 13 posters in breakout rooms (see list below) 3:15 pm - 3:30 pm Break 3:30 pm - 4:25 pm KEYNOTE SESSION 4 Chair: Christian Francq Alexey Onatskiy, University of Cambridge (UK) 4:30 pm - 5:00 pm Acknowledgements, Announcements and Concluding Remarks by the Scientific Chair Christian Gourieroux, the (EC)^2 Director Peter Hansen and the Conference organizers Announcement of the “Young Author Best Paper Award”. The winning young scholar will be awarded a “research seminar city trip” to Paris once travel bans are lifted
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