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 |