Duke Economics

PROGRAM OF THE 2010 NBER-NSF TIME SERIES CONFERENCE

DUKE UNIVERSITY, OCTOBER 8-9, 2010

Room 139, Social Sciences Bulding

Friday October 8, 2010 

12:00-1:00      Lunch and Registration

1:00-1:10        Opening Remarks

1:10-2:40        Session 1

                          Chair:  Jerry Reiter

• Osnat Stramer; U. of Iowa: Bayesian Inference for Irreducible Diffusion Processes Using the Pseudo-Marginal Approach
• Mike West; Duke University: Recent developments in Bayesian modeling of covariance matrices
• Hedibert Lopes; U. of Chicago: Particle Learning and Smoothing

2:40-4:00        Coffee Break And Poster Session 1

• Beth Andrews; Northwestern University : Rank-Based Estimation for GARCH Processes
• Alexander Aue; University of California, Davis: Segmenting mean-nonstationary time series via trending regressions
• Bruno Feunou; Duke University: When Monetary Policy Reaches the Floor: Theory and Applications
• Kirstin Hubrich; European Central Bank: Forecasting inflation with gradual regime shifts and exogenous information
• Asger Lunde; Aarhus University: Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
• Sebastiano Manzan, Baruch College: Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?
• Tucker McElroy; U.S. Census Bureau: Multi-Step Ahead Estimation of Time Series Models
• Christopher F.H. Nam; University of Warwick: Exact distributions and Sequential Monte Carlo for Change Point Analysis
• Fulvio Pegoraro; Banque de France and CREST: No-arbitrage near-cointegrated VAR(p) term structure Models, term premia and GDP growth
• Zhongjun Qu; Boston University: Estimating Structural Changes in Regression Quantiles
• Tatevik Sekhposyan, UNC Chapel Hill: Understanding Models' Forecasting Performance
• Haipeng Shen; UNC Chapel Hill: On Modeling and Forecasting Time Series of Smooth Curves
• Thomas M. Trimbur; Federal Reserve Board: Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing
• Henghsiu Tsai; Academia Sinica: Inference of Bivariate Long-memory Aggregate Time Series
• Filip Zikes; Imperial College Business School: Tailing tail risk in the hedge fund industry

4:00-5:30        Session 2

                          Chair: Barbara Rossi

•  James H Stock; Harvard University: Estimating Business Cycle Turning Points Using Large Data Sets
• Elena Andreou; University of Cyprus: Should macroeconomic forecasters use daily financial data and how?
• Jonathan H. Wright; Johns Hopkins University: Reverse Regressions and Long-Horizon Forecasting

5:30-6:00        Coffee Break

6:15-7:15        Organ Recital at Duke University Chapel

                          Prof. Robert Parkins, University Organist

7:45                 Conference Dinner

Saturday, October 9, 2010

8:00-8:30        Breakfast

8:30-10:00      Session 3

                          Chair: Andrew Patton

• Viktor Todorov; Kellogg, Northwestern University: Estimation of jump tails
• Marine Carrasco, University of Montreal: Optimal Portfolio Selection using Regularization
• Nour Meddahi; Toulouse School of Economics: Many Small Jumps or Fat Tails? The Near Jump-Diffusion Paradigm

10:00-10:30    Coffee Break

10:30-12:30    Session 4

                          Chair: Atsushi Inoue

• Ulrich Mueller; Princeton University: Pre and Post Break Parameter Inference
• Ignacio N. Lobato; Instituto Tecnológico Autónomo de México :  Automatic Diagnostic Checking For Vector Autoregressions
• Bill Dupor; Ohio State University: Handling Non-Invertibility: Theory and Applications
• Xu Cheng; University of Pennsylvania: Estimation and Inference with Weak Identification

12:30-1:45      Lunch And Poster Session 2

• Bertille Antoine; Simon Fraser University: Specification test for strong identification
• Francesco Bianchi, Duke University: Regime Switches, Agents' Beliefs, and Post-World War II U.S. Macroeconomic Dynamic
• Zongwu Cai, UNC Charlotte: Instability of Predictability of Asset Returns
• Xilong Chen; SAS Institute Inc.: The HYBRID GARCH Class of Models
• Jesus Gonzalo; U. Carlos III de Madrid: Summability of Stochastic Processes (A Generalization of Integration and Co-Integration valid for Non-linear Processes)
• Nikolay Gospodinov; Concordia University: On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint
• Zhengfeng Guo; Vanderbilt U.: Consistent cotrending rank selection when both stochastic and nonlinear deterministic trends are present
• Cosmin Ilut; Duke University: Evidence for Relational Contracts in Sovereign Bank Lending
• Robert C. Jung; Universitaet Erfurt: Convolution-closed models for count time series with applications
• Stefan Klößner; Saarland University: Grasping Economic Jumps by Sparse Sampling Using Intradaily Highs and Lows
• Malte Knüppel; Deutsche Bundesbank: Empirical Simultaneous Confidence Regions for Path-Forecasts
• Alessandro Palandri; University of Warwick: Beatlestrap
• Denis Pelletier; North Carolina State University: Statistic-Based Bayesian Inference in Latent Variable Models
• Ernst Schaumburg; Federal Reserve Bank of NY: Integrated Quarticity Estimation: Theory and Practical Implementation
• Tara M. Sinclair; George Washington University: How Well Does “Core” CPI Capture Permanent Price Changes?
• Wei Xie; University of Southern California: A Nonparametric Additive Model for Stock Returns with Near-Integrated Predictors

1:45-3:15        Session 5

                          Chair: Richard Davis

•  Aaron Smith; UC Davis: Identifying Informed Traders in Futures Markets
• Eric Renault; UNC Chapel Hill: Generalized Method of Moments with Tail Trimming
• S.J. Koopman; Vrije U. and Tinbergen: The estimation of time-varying parameters in multivariate linear time series models

3:15-3:30        Coffee Break

3:30-5:00        Session 6

                          Chair: James Stock

•  G Tunnicliffe Wilson; Lancaster University:  Atmospheric CO2 and global temperatures: the strength and nature of their dependence.
• David S. Matteson; Cornell University: Forecasting Emergency Medical Service Call Arrival Rates
• Liudas Giraitis; Queen Mary College: Some asymptotic distribution theory for sums of weighted periodograms

5:00                 Adjourn

Sunday October 10 

For those remaining over on Saturday night, there will be an art museum guided tour and brunch on Sunday around noon. Brunch (individual selection, approximately $15-20) and guided tour (approximately $9) are paid by each participant. There is a minimum number of participants required for the tour so please sign up on the registration form to reserve a slot.

For more information on travel and hotels, click here.