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Conference Programme

The programme for the 25th Dynamic Econometrics Conference is listed below.  Please note this schedule may be subject to small changes in the run-up to the event.

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Thursday 13 April 2023

8:30 - 9:00am

Registration, and coffee/tea/pastries

9:00 - 9:05am

Welcoming Remarks & Announcements
Giovanni Urga and Neil R. Ericsson

9:05 - 10:35am

Forecasting and COVID-19 (Chair:  Neil R. Ericsson)

Neil R. Ericsson - “Labor Force Participation and Unemployment: Structural Change from the Pandemic?”

Antoni Espasa - “Tall Big Data Time Series of High Frequency: Stylized Facts and Econometric Modelling”
Gunnar Bårdsen - “Dynamic Time Series Modeling and Forecasting of COVID-19 in Norway”

10:35 - 11:00am

Coffee/Tea Break

11:00 - 12:00pm

SPEED Presentations (Chair: Andrew B. Martinez)
Muhammad Javid
- “Inter-Fuel Substitution in Industrial Sector of Saudi Arabia” 
Hugo Gobato Souto - “Realized Volatility Predictability through Neural Network and Financial Turbulence” 
Jeyhun Mikayilov - “Modeling and Projecting Regional Electricity Demand for Saudi Arabia”
Cindy Wang - “Forecasting Stock Returns: The Role of New Global Market Integration Indices” 

Constantin Burgi - “Overreaction Through Anchoring” 

12:00 - 13:00pm

Modeling Financial Processes (Chair: Sébastien Laurent):
Shifan Yu
- “Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times”
Sébastien Laurent - “Autoregressive Conditional Betas”

13:00 - 14:00pm


14:00 - 16:00pm

Challenges in Empirical Economic Modelling (Chair: Antoni Espasa):
Jonas Kurle
- “Testing for Outliers in Robust Two-Stage Least Squares Regressions” 
Siem Jan Koopman - “Finding the European Crime Drop Using a Panel Data Model with Stochastic Trends”
Fakhri Hassanov - “The Role of the Petrochemcial Sector's Exports in the Diversification of the Saudi Economy” 

Andrew Harvey - “Time Series Modelling of Epidemics: Leading Indicators, Control Groups and Policy Assessment”

16:00 - 16:30pm

Coffee/Tea Break

16:30 - 17:30pm

Round Table with OxMetrics Developers:
Jurgen A. Doornik, David F. Hendry, Sébastien Laurent, Siem Jan Koopman

18:30 - 19:00pm

Reception and Conference Dinner (contact Timberlake for details)

The Jugged Hare, 49 Chiswell Street, London EC1Y 4SA (a short 3-5 minute walk from Bayes Business School).

Friday 14 April 2023 

8:30 - 9:00am

Registration, and coffee/tea/pastries

9:00 - 9:05am

Announcements: Giovanni Urga and Neil R. Ericsson

9:05 - 10:35am

Climate Change and Economic Consequences (Chair: Ebba Mark):
Andrew B. Martinez
- “The Expected Dynamic Macroeconomic Impact of Tropical Cyclone Shocks”
Menghan Yuan - “Interactive Effects of Temperature and Precipitation on Global Economic Growth”
Ebba Mark - “Spatial-temporal Dynamics of Employment Shocks in Declining Coal Mining Regions and Potentialities of the ‘Just Transition’”

10:35 - 11:00am

Coffee/Tea Break

11:00 - 13:00pm

Empirical Modeling in Finance (Chair: Giovanni Urga):

Pedro Valls - “Exploring Co-explosive Dynamics: Bitcoin Price, Attractiveness, and Sentiment Variables”

Peter Cincinelli - “Leverage and Systemic Risk Pro-Cyclicality in Banks and Non-bank Financial Institutions in Europe”

John Guerard - “On the Predictability of the DJIA and S&P500 Indexes” 

Giovanni Urga - “Do International Fixed Income Mutual Funds Time Currency Liquidity?  Evidence from a Markov Regime-Switching Model”

13:00 - 14:00pm


14:00 - 15:00pm

Ana Timberlake Memorial Lecture (Chair: Neil R. Ericsson)

Introduction: David Corbett, Teresa Timberlake, Giovanni Urga

Jennifer L. Castle - “Forecasting UK Inflation Using Historical Evidence on the Role of Energy in Productivity and Prices”

15:00 - 16:00pm

SPEED Presentations: (Chair: Siem Jan Koopman)

Chuanping Sun - “On the Inference of a Correlation-robust LASSO-type Estimator with an Application on the Factor Zoo”

Szabolcs Blazsek - “Scaling Parameters for QAR plus Beta-t-EGARCH: An Empirical Application to the S&P 500”
Elizabeth Bucacos - “Labor Market Slack and Monetary Policy in a Developing Country: a Gender Approach”

Fabrizio Ghezzi - “Learning a Panel Data"

Sule Akkoyunlu - “500 Years of Ottoman Prices”

16:00 - 16:30pm

Coffee/Tea Break

16:30 - 18:00pm

Structural Breaks: (Chair: Jennifer L. Castle)

Jurgen A. Doornik - “Testing for Breaks in Trends with an Application to Fertility
Joshua R. Stillwagon - “Over-reaction in Inflation Expectations? An Alternative Interpretation based on Structural Change”
David F. Hendry - “Improving Models and Forecasts after Equilibrium-Mean Shifts”

18:00 - 18:05pm

Closing Remarks (Conference organizers)

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