The Program and the Zoom links will be sent by email to the registered participants on Thursday December 10


  • 4 keynote sessions (45 min presentation + 10 min discussion)
  • 3 topic sessions (Theory - Forecasting - Macro/Finance): 4 presentations of 20 min + 5 min per session
  • 2 poster sessions (13 posters per session): posters will be in breakout rooms, short presentations will be available beforehand.

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. 

Friday December 11   

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                                                

ChairAlessandra 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 

12:20 pm - 12:30 pm                                                               Break                                                                                                 

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 DobronyiUniversity 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

         Saturday December 12 

10:20 - 11:15                                    KEYNOTE SESSION 3                                                          

Chair: Jean-Michel Zakoian

                                                                                 "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
Gary KoopUniversity 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-DiazLondon 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

  • A repository with downloadable posters and short video presentations submitted by the presenters is available here
  • Direct links to the posters in pdf format and video presentations are provided in the lists below.  


  1. Forecasting commodity prices in a data-rich unstable environments (video)
    Anastasia Allayioti  (University of Warwick, UK) and F. Venditti (European Central Bank) 

  2. Factor and factor loading augmented estimators for panel regression  (poster) (video)
    Jad Beyhum (Toulouse School of Economics, FR) and E. Gautier (Toulouse School of Economics, FR) 

  3. The role of elementary schools in SARS-CoV-2 transmission (video)
    Otilia Boldea (Tilburg University, NL) and A. Alipoor (Tilburg University, NL) 

  4. Measuring and Hedging Geopolitical Risk (poster) (video)
    Susana Campos-Martins (University of Oxford, UK) and R.F. Engle (New York University, US) 

  5. Do jumps matter in realized volatility modeling and forecasting Empirical evidence and a new model (poster(video)
    Massimiliano Caporin (Universitá di Padova, IT) 

  6. Dimension Reduction for High Dimensional Vector Autoregressive Models (video)
    Gianluca Cubadda (Universitá di Roma "Tor Vergata", IT) and A. Hecq (Maastricht University, NL)

  7. Modeling and forecasting macroeconomic downside risk (poster) (video)
    Andrea De Polis (University of Warwick, UK), D. Delle Monache (Bank of Italy, IT) and I. Petrella (University of Warwick, UK)

  8. Another look into the factor model black box factor interpretation and structural instability
    Thomas Despois
    (Paris School of Economics, FR) and C. Doz (Paris School of Economics, FR) 

  9. Beta Adjusted Covariance Estimation (poster)
    Kirill Dragun (Vrije Universiteit Brussel, BE), K. Boudt (University of Gent, BE), O. Sauri (Aalborg University, DK) and S. Vanduffel (Vrije Universiteit Brussel, BE)

  10. The Time-Varying Multivariate Autoregressive Index Model (poster(video)
    Barbara Guardabascio (ISTAT, IT), G. Cubadda (Universitá di Roma "Tor Vergata", IT) and S. Grassi (Universitá di Roma "Tor Vergata", IT)

  11. Forecasting financial markets with semantic network analysis in the COVID19 crisis (poster)
    Stefano Grassi (Universitá di Roma "Tor Vergata", IT), A. Fronzetti Colladon (Universitá di Perugia, IT), F. Ravazzolo (Universitá di Bolzano, IT) and F. Violante (ENSAE, FR) 

  12. Higher-order Multi-cumulant Factor Analysis (poster(video)
    Guanglin Huang (Vrije Universiteit Brussel, BE), W. Lu (Chengdu University) and K. Boudt (University of Gent) 

  13. Modeling and forecasting serially dependent yield curves (poster) (video)
    Hao Li (University of Amsterdam, NL)


  1. The Macroeconomy as a Random Forest (video)
    Philippe Goulet-Coulombe
    (University of Pennsylvania, US)  

  2. Proper scoring rules for evaluating asymmetry in density forecasting (poster) (video)
    Matteo Iacopini
    (Universitá di Venezia, IT), F. Ravazzolo (Universitá di Bolzano, IT) and L. Rossini (Queen Mary University, UK) 

  3. Inference in Non-stationary High-Dimensional VARs (poster(video)
    Luca Margaritella 
    (Maastricht University, NL), A. Hecq (Maastricht University, NL) and S. Smeekes (Maastricht University, NL)

  4. Measuring Systematic Comovement with Approximate Threshold Group-Factor Models
    Daniele Massacci
    (King's College, UK), M. Rubin (EDHEC, FR) and D. Ruzzi (Bank of Italy, IT) 

  5. Robust Non-Gaussian Inference (poster) (video)
    Geert Mesters
    (Vrije Universiteit Amsterdam, NL) and A. Lee (Universitat Pompeu Fabra, ES)

  6. Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates 
    Jean-Yves Pitarakis
    (University of Southampton, UK) and J. Gonzalo (Carlos III University, ES) 

  7. Simulation-based multiple testing for many non-nested multivariate models (poster(video)
    Florian Richard
    (Carleton University, CA) and L. Khalaf (Carleton University, CA)

  8. Filtering the intensity of public concern from Social Media count data with jumps (poster)
    Carlo Santagiustina
    (Universitá di Venezia, IT) and M. Iacopini (Universitá di Pisa)

  9. Structured Regularization of High-Dimensional Panel Vector Autoregressions (video)
    Stephan Smeekes
    (Maastricht University, NL), L. Lieb (Maastricht University, NL) and M. Staudigl (Maastricht University, NL)

  10. Unifying Strong and Weak Cross-Sectional Dependence in Spatio-Temporal Analysis (poster) (video)
    Quint Wiersma
    (Vrije Universiteit Amsterdam, NL) and J. Shaumburg (Vrije Universiteit Amsterdam, NL) 

  11. Strategic judgement, its game-theoretic foundations, its econometric elicitation (poster)
    Emilio Zanetti Chini
    (Universitá di Roma "Sapienza", IT) 

  12. The power of text-based indicators in forecasting the Italian economic activity (poster)
     Juri Marcucci (Banca d'Italia, IT), V. Aprigliano (Banca d'Italia, IT), G. Guaitoli (University of Warwick, UK), A. Luciani (Banca d'Italia, IT), S Emiliozzi (Banca d'Italia, IT), Libero Monteforte (Banca d'Italia, IT)

  13. Dynamic portfolio selection with sector-specific regularization (poster) (video)
    Wangy Linqi
    (Université catholique de Louvain, BE) and C.M. Hafner (Université catholique de Louvain, BE) 

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