Princeton UniversitySMU

The National Centre for Econometric Research (NCER), together with QUT, Princeton University's Bendheim Center for Finance, Singapore Management University, Shanghai Jiao Tong University and Macquarie University will hold a 3-day workshop titled "Frontiers in Econometrics" at Macquarie University City Campus, Sydney on Thursday 19 July 2018 and QUT, Gardens Point campus, Brisbane, on Friday 20 and Saturday 21 July 2018.

Workshop Conveners

Professor Stan Hurn (QUT) and Associate Professor Shuping Shi (Macquarie)

Program

Papers are 30 minutes: 25 minutes for presentation and 5 minutes for questions

Thursday 19 July 2018 - Sydney

Location: Macquarie University City Campus
Address: Seminar Room 2305, Level 23/123 Pitt St, Sydney NSW 2000

Time Session
8.50am - 9.00am Welcome
9.00am - 10.30am Session 1: Chair - Shuping Shi
9.00am - 9.30am Jun Yu from Singapore Management University
Bubble Testing under Deterministic Trends
9.30am - 10.00am Heather Anderson from Monash University
High Dimensional Predictive Regression in the Presence of Cointegration
10.00am - 10.30am Stefan Trueck from Macquarie University
Quantifying Effects of Extreme Events with Applications to Financial Crises
10.30am - 11.00am Morning tea
11.00am - 12.30pm Session 2: Chair - Lance Fisher
11.00am - 11.30am James Morley from University of Sydney
Housing, Household Debt, and Consumption Insurance
11.30am - 12.00pm Tao Zeng from Zhejiang University
Deviance Information Criterion for Model Selection: Justification and Variation
12.00pm - 12.30pm Ye Lu from The University of Sydney
Incremental Factor Model for High Frequency Observations with Large Dimension and Long Span
12.30pm - 1.30pm Lunch
1.30pm - 3.00pm Session 3: Chair - Farshid Vahid
1.30pm - 2.00pm Sebastien Laurent from GREQAM
Beta for Positive Definite Matrices: Theory and Estimation
2.00pm - 2.30pm Junye Li from ESSEC
Real-Time Learning and Bond Return Predictability
2.30pm - 3.00pm Ye Chen from Capital University of Economics and Business
Mixed Dynamic Factor Models Applied to Chinese House Prices
3.00pm - 3.30pm Afternoon tea
3.30pm - 5.00pm Session 4: Chair - Tom Smith
3.30pm - 4.00pm Xi Qu from Shanghai Jiaotong University
Consistent Specification Testing under Network Dependence
4.00pm - 4.30pm Vladimir Volkov from University of Tasmania
The Changing International Network of Sovereign Debt and Financial Institutions
4.30pm - 5.00pm Shuping Shi from Macquarie University
Testing for Jumps in Linear Drift Diffusion Processes
6:30pm - TBC Dinner at The Little Snail
3/50 Murray Street, Pyrmont NSW 2009

Friday 20 July 2018 - Brisbane

Location: Gibson Room, Level 10, Z Block, QUT Gardens Point Campus
Address: 2 George Street, Brisbane QLD 4000

Time Session
12.30pm - 1.30pm Lunch
1.30pm - 3.00pm Session 5: Chair - Jun Yu
1.30pm - 2.00pm Xu Zheng from Shanghai Jiao Tong University
A Goodness-of-fit Test for Copula Models Based on Martingale Transformation
2.00pm - 2.30pm Annatiina Silvennoinen from Queensland University of Technology
Building Multiplicative Time-Varying Smooth Transition Conditional Correlation GARCH Models
2.30pm - 3.00pm Vance Martin from The University of Melbourne
A Water Portfolio Model with Time-Varying Risk
3.00pm - 3.30pm Afternoon tea
3.30pm - 5.00pm Session 6: Chair - Xu Zheng
3.30pm - 4.00pm Yin Liao from Queensland University of Technology
Spectral Hedging and Portfolio Optimization in the Frequency Domain
4.00pm - 4.30pm Min Zu from The University of Queensland
A Solution to Reverse Survivorship Bias
4.30pm - 5.00pm Mark Doolan from Queensland University of Technology
State Dependent Combinations of Multivariate Volatility Forecasts
6:30pm - TBC Dinner

Saturday 21 July 2018 - Brisbane

Location: Gibson Room, Level 10 Z Block, QUT Gardens Point Campus
Address: 2 George Street, Brisbane QLD 4000

Time Session
9.00am - 10.30am Session 7: Chair - Vance Martin
9.00am - 9.30am Daniel Smith from Queensland University of Technology
Firm-level Multivariate GARCH Models
9.30am - 10.00am Steve Thiele from Queensland University of Technology
Modelling and forecasting extreme electricity prices
10.00am - 10.30am Jun Yu from Singapore Management University
A Two-stage Approach to Estimation of the Fractional Vasicek model with Discretely Sampled Data
10.30am - 11.00am Morning tea
11.00am - 12.30pm Session 8: Chair - Stan Hurn
11.00am - 11.30am Gael Martin from Monash University
Approximate Bayesian Forecasting
11.30am - 12.00pm Yacine Aït-Sahalia from Princeton University
Stochastic Volatility Implied Models