
5th Vienna Workshop on High Dimensional Time Series
in Macroeconomics and Finance
IHS, Vienna | June 9-10,2022
Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Session Overview |
Date: Thursday, 09/June/2022 | ||
8:00am - 8:25am |
Registration |
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8:25am - 8:30am |
Opening Chair: Klaus Neusser Opening of Workshop by Klaus Neusser |
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8:30am - 9:30am |
P1: Plenary Session 1 Location: Lecture Room Chair: Leopold Sögner Factor Models for High-Dimensional Functional Time Series University of Brussels |
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9:30am - 10:00am |
Coffee Break |
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10:00am - 12:00pm |
PS-1A: Parallel Session 1A Location: Lecture Room Factors Common to Individual Stock and Sorted Portfolio Returns 1: University of Cyprus and CEPR; 2: Università della Svizzera italiana, Lugano and Swiss Finance Institute; 3: University of North Carolina - Chapel Hill and CEPR; 4: EDHEC Business School, France Dynamic Factor Models with Sparse VAR Idiosyncratic Components 1: University of Mannheim, Germany; 2: Lund University, Sweden New Tests for the Number of Common Dynamic Factors 1: LUISS Guido Carli University, Italy; 2: EDHEC Business School, France Band-Pass Filtering in the Time Domain: Empirical Evidence on US GDP 1: University of L'Aquila, Italy; 2: Einaudi Institute of Economics and Finance (EIEF); 3: University of Rome Tor Vergata Causal Vector Autoregression Budapest University of Technology and Economics, Hungary Cross-Sectional Error Dependence in Panel Quantile Regressions 1: University of Kiel, Germany; 2: EBS University, Germany |
PS-1B: Parallel Session 1B Location: Seminar Room Star struck; Monetary policy and the neutral real rate Central Bank of Ireland, Ireland Financial volatility modeling with option-implied information and important macro-factors 1: Brunel University, United Kingdom; 2: Loughborough University Modeling extreme events: time-varying extreme tail shape 1: VU Amsterdam, The Netherlands; 2: European Central Bank, Germany; 3: Riksbank, Sweden Bayesian reconciliation of the return predictability. 1: University of Vienna, Austria; 2: Institute for Advanced Studies; 3: Vienna University of Economics and Business Monitoring the pandemic: A fractional filter for the COVID-19 contact rate 1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB) Nuremberg, Germany Identification of Non-Rational Risk Shocks 1: Vienna School of International Studies; 2: Vienna University of Economics and Business, Austria |
12:00pm - 1:15pm |
Lunch Break |
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1:15pm - 2:15pm |
P2: Plenary Session 2 Location: Lecture Room Chair: Martin Wagner Laudatio University of Brussels |
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2:20pm - 4:00pm |
PS-2A: Parallel Session 2A Location: Lecture Room Impulse response estimation via flexible local projections 1: Queen Mary University, United Kingdom; 2: Kings College London,United Kingdom Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence 1: Goethe Univery Frankfurt, Germany; 2: EBS University, Germany Nonlinear shrinkage estimation of large-dimensional covariance matrices using splines KU Leuven, Belgium Structural Estimation Combining Micro and Macro Data Aarhus University, Denmark Entropy and Kullback-Leibler formulas for rational densities. University College Cork, Ireland |
PS-2B: Parallel Session 2B Location: Seminar Room A Unified Framework to Estimate Macroeconomic Stars Federal Reserve Bank of Cleveland, United States of America Predicting Default Probabilities for Stress Tests: A Comparison of Models Oesterreichische Nationalbank (OeNB), Austria Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data 1: University of Mannheim, Germany; 2: UCL, United Kingdom; 3: Athens University of Economics, Greece; 4: University of Warwick, United Kingdom; 5: University of Manchester, United Kingdom; 6: Nanyang Technological University, Singapore A unified theory for ARMA models with varying coefficients: One solution fits all 1: University of Piraeus, Greece; 2: Brunel University London, UK; 3: University of Torino, Italy; 4: University of Southampton, UK |
4:00pm - 4:30pm |
Coffee Break |
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4:30pm - 6:00pm |
PS-3A: Parallel Session 3A Location: Lecture Room A stochastic parameter three pass regression filter 1: Athens University of Economics and Business; 2: Kings College; 3: Bocconi University Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Importance of Matrix Inequalities 1: Brunel University, United Kingdom; 2: Cardiff University, UK Large Dynamic Covariance Matrices: Enhancements Based On Intraday Data 1: University of Zurich, Switzerland; 2: New York University |
PS-3B: Parallel Session 3B Location: Seminar Room On Statistical Inference in Factor Analysis: Polynomial-Time Verification of the Anderson-Rubin Condition Wirtschaftsuniversität Wien, Austria Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models 1: University of Warsaw; 2: King's College London |
6:00pm - 7:00pm |
P3: Plenary Session 3 Location: Lecture Room Chair: Benedikt Pötscher, Universtät Wien Forecasting with panel data: estimation uncertainty versus parameter heterogeneity University of Southern California |
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7:15pm - 9:30pm |
Reception Vienna City Hall,
Rathauskeller,
https://wiener-rathauskeller.at |
Date: Friday, 10/June/2022 | ||
9:00am - 10:00am |
P4: Plenary Session 4 Location: Lecture Room Chair: Leopold Sögner Singular Stochastic Processes with Rational Spectrum: Applications to Macroeconometrics Universita' di Roma La Sapienza e EIEF |
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10:00am - 10:30am |
Coffee Break |
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10:30am - 12:10pm |
PS-4A: Parallel Session 4A Location: Lecture Room Regularity and low rank approximation of multidimensional weakly stationary time series Budapest University of Technology and Economics, Hungary Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction University Carlos III de Madrid, Spain REMIS for Generalised Dynamic Factor Models: Representation Theory 1: WU Wirtschaftsuniversität Vienna; 2: TU Vienna REMIS (Retrieval from Mixed Sampling) for VARs and VARMAs 1: Vienna University of Technology, Austria; 2: Vienna University of Business and Economics Generic Identifiability for REMIS: Cointegrated Unit Root VAR-Case 1: Vienna University of Technology, Austria; 2: Vienna University of Business and Economics; 3: Institute for Advanced Studies Vienna |
PS-4B: Parallel Session 4B Location: Seminar Room Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends! University of Klagenfurt, Austria Time-varying Risk Premia and Volatility Dynamics in Multi-Asset Class Returns 1: University of Klagenfurt; 2: Brandeis University; 3: University of California San Diego Bayesian modeling and clustering for spatio-temporal areal data 1: Universität Klagenfurt; 2: Politecnico di Milano; 3: Yale-NUS College; 4: Crayon AI Solutions Services Can Alternative Data Improve the Accuracy of Factor Model Nowcasts? High Frequency Evidence from the Euro Area University of Cambridge, United Kingdom |
12:10pm - 2:00pm |
Lunch Break |
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2:00pm - 3:45pm |
PS-5A: Parallel Session 5A Location: Lecture Room Spectral Analysis of High-Dimensional Time Series 1: University of Mannheim, Germany; 2: University of Cyprus Determining the number of factors in fractionally integrated factor models 1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB), Germany The Spectral Approach to Linear Rational Expectations Models Durham University Business School, United Kingdom Spectra, Dynamic PCs and Factors via Block Matrix Decompositions Budapest University of Technology and Economics, Hungary |
PS-5B: Parallel Session 5B Location: Seminar Room Adaptive Subspace Shrinkage with Mixture Functional Horseshoe Priors 1: University of Salzburg; 2: Vrije Universiteit Amsterdam, The Netherlands; 3: Tibergen Institute, The Netherlands; 4: University of Milan Dynamic factor models with common (drifting) stochastic trends Study Center Gerzensee, Switzerland What are the events that shake our world? Measuring and hedging GEOVOL University of Oxford, United Kingdom |
4:15pm - 5:30pm |
P5: Plenary Session 5 Location: Lecture Room Chair: Wolfgang Scherrer, TU Wien Linear System Theory Challenges and Insights arising in Dynamic Factor Models Australian National University |
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7:00pm - 9:00pm |
Dinner Glacis Beisl,
Breite Gasse 4,
1070 Wien,
https://glacisbeisl.at/ |
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