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).

 
 
Session Overview
Date: Thursday, 09/June/2022
8:00am
-
8:25am
Registration
8:25am
-
8:30am
Opening
Chair: Klaus Neusser
Opening of Workshop by Klaus Neusser
8:30am
-
9:30am
P1: Plenary Session 1
Location: Lecture Room
Chair: Leopold Sögner
 

Factor Models for High-Dimensional Functional Time Series

Marc Hallin

University of Brussels

9:30am
-
10:00am
Coffee Break
10:00am
-
12:00pm
PS-1A: Parallel Session 1A
Location: Lecture Room
 

Factors Common to Individual Stock and Sorted Portfolio Returns

Elena Andreou1, Eric Ghysels2, Patrick Gagliardini3, Mirco Rubin4

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

Jonas Krampe1, Luca Margaritella2

1: University of Mannheim, Germany; 2: Lund University, Sweden



New Tests for the Number of Common Dynamic Factors

Federico Carlini1, Mirco Rubin2

1: LUISS Guido Carli University, Italy; 2: EDHEC Business School, France



Band-Pass Filtering in the Time Domain: Empirical Evidence on US GDP

Alessandro Giovannelli1, Marco Lippi2, Tommaso Proietti3

1: University of L'Aquila, Italy; 2: Einaudi Institute of Economics and Finance (EIEF); 3: University of Rome Tor Vergata



Causal Vector Autoregression

Marianna Bolla

Budapest University of Technology and Economics, Hungary



Cross-Sectional Error Dependence in Panel Quantile Regressions

Matei Demetrescu1, Mehdi Hosseinkouchak2

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

Garo Garabedian

Central Bank of Ireland, Ireland



Financial volatility modeling with option-implied information and important macro-factors

Menelaos Karanasos1, Stavroula Yfanti2

1: Brunel University, United Kingdom; 2: Loughborough University



Modeling extreme events: time-varying extreme tail shape

Andre Lucas1, Bernd Schwaab2, Xin Zhang3

1: VU Amsterdam, The Netherlands; 2: European Central Bank, Germany; 3: Riksbank, Sweden



Bayesian reconciliation of the return predictability.

Borys Koval1, Leopold Sögner2, Sylvia Frühwirth-Schnatter3

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

Tobias Hartl1,2

1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB) Nuremberg, Germany



Identification of Non-Rational Risk Shocks

Maximilian Böck1,2

1: Vienna School of International Studies; 2: Vienna University of Economics and Business, Austria

12:00pm
-
1:15pm
Lunch Break
1:15pm
-
2:15pm
P2: Plenary Session 2
Location: Lecture Room
Chair: Martin Wagner
 

Laudatio

Marc Hallin

University of Brussels

2:20pm
-
4:00pm
PS-2A: Parallel Session 2A
Location: Lecture Room
 

Impulse response estimation via flexible local projections

Haroon Mumtaz1, Michele Piffer2

1: Queen Mary University, United Kingdom; 2: Kings College London,United Kingdom



Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence

Uwe Hassler1, Mehdi Hosseinkouchack2

1: Goethe Univery Frankfurt, Germany; 2: EBS University, Germany



Nonlinear shrinkage estimation of large-dimensional covariance matrices using splines

Geert Dhaene, Nicolas Tavernier

KU Leuven, Belgium



Structural Estimation Combining Micro and Macro Data

Luca Neri

Aarhus University, Denmark



Entropy and Kullback-Leibler formulas for rational densities.

Bernard Hanzon, Yen Trinh

University College Cork, Ireland

PS-2B: Parallel Session 2B
Location: Seminar Room
 

A Unified Framework to Estimate Macroeconomic Stars

Saeed Zaman

Federal Reserve Bank of Cleveland, United States of America



Predicting Default Probabilities for Stress Tests: A Comparison of Models

Martin Guth

Oesterreichische Nationalbank (OeNB), Austria



Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data

Giovanni Ballarin1, Petros Dellaportas2,3, Lyudmila Grigoryeva4, Marcel Hirt2, Sophie van Huellen5, Juan-Pablo Ortega6

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

Alexandros Paraskevopoulos1, Menelaos Karanasos2, Alessandra Canepa3, Anastasios Magdalinos4

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
4:30pm
-
6:00pm
PS-3A: Parallel Session 3A
Location: Lecture Room
 

A stochastic parameter three pass regression filter

Yiannis Dendramis1, George Kapetanios2, Massimiliano Marcellino3

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

Menelaos Karanasos1, Yongdeng Xu2

1: Brunel University, United Kingdom; 2: Cardiff University, UK



Large Dynamic Covariance Matrices: Enhancements Based On Intraday Data

Gianluca De Nard1, Rob Engle2, Olivier Ledoit1, Michael Wolf1

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

Sylvia Frühwirth-Schnatter, Darjus Hosszejni

Wirtschaftsuniversität Wien, Austria



Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models

Andrzej Kociecki1, Michele Piffer2

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

Hashem Pesaran

University of Southern California

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

Marco Lippi

Universita' di Roma La Sapienza e EIEF

10:00am
-
10:30am
Coffee Break
10:30am
-
12:10pm
PS-4A: Parallel Session 4A
Location: Lecture Room
 

Regularity and low rank approximation of multidimensional weakly stationary time series

Tamás Szabados

Budapest University of Technology and Economics, Hungary



Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction

Sven Otto, Nazarii Salish

University Carlos III de Madrid, Spain



REMIS for Generalised Dynamic Factor Models: Representation Theory

Philipp Gersing1,2, Christoph Rust1, Manfred Deistler2

1: WU Wirtschaftsuniversität Vienna; 2: TU Vienna



REMIS (Retrieval from Mixed Sampling) for VARs and VARMAs

Philipp Gersing1,2, Manfred Deistler1,2

1: Vienna University of Technology, Austria; 2: Vienna University of Business and Economics



Generic Identifiability for REMIS: Cointegrated Unit Root VAR-Case

Philipp Gersing1,2, Leopold Sögner2,3, Manfred Deistler1,2

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!

Luis Gruber, Gregor Kastner

University of Klagenfurt, Austria



Time-varying Risk Premia and Volatility Dynamics in Multi-Asset Class Returns

Gregor Kastner1, Davide Pettenuzzo2, Allan Timmermann3

1: University of Klagenfurt; 2: Brandeis University; 3: University of California San Diego



Bayesian modeling and clustering for spatio-temporal areal data

Alexander Mozdzen1, Gregor Kastner1, Alessandra Guglielmi2, Andrea Cremaschi3, Annalisa Cadonna4

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

Radu Gabriel Cristea

University of Cambridge, United Kingdom

12:10pm
-
2:00pm
Lunch Break
2:00pm
-
3:45pm
PS-5A: Parallel Session 5A
Location: Lecture Room
 

Spectral Analysis of High-Dimensional Time Series

Jonas Krampe1, Stathis Paparoditis2

1: University of Mannheim, Germany; 2: University of Cyprus



Determining the number of factors in fractionally integrated factor models

Dominik Ammon1, Tobias Hartl1,2, Rolf Tschernig1

1: University of Regensburg, Germany; 2: Institute for Employment Research (IAB), Germany



The Spectral Approach to Linear Rational Expectations Models

Majid Al Sadoon

Durham University Business School, United Kingdom



Spectra, Dynamic PCs and Factors via Block Matrix Decompositions

Marianna Bolla

Budapest University of Technology and Economics, Hungary

PS-5B: Parallel Session 5B
Location: Seminar Room
 

Adaptive Subspace Shrinkage with Mixture Functional Horseshoe Priors

Florian Huber1, Matteo Iacopini2,3, Rossini Luca4

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

Sylvia Kaufmann

Study Center Gerzensee, Switzerland



What are the events that shake our world? Measuring and hedging GEOVOL

Susana Campos Martins, Robert Engle

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

Brian Anderson

Australian National University

7:00pm
-
9:00pm
Dinner
Glacis Beisl, Breite Gasse 4, 1070 Wien, https://glacisbeisl.at/

 
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