Forthcoming Events

The 8th Annual Econometrics Workshop (April 2019)

 
Distinguished speakers and title of presentations: TBA

Previous Events

The 7th Annual Econometrics Workshop (March 19th, 2018)

Distinguished Speakers and Title of Presentations:


Frank Windmeijer (University of Bristol, UK)

Testing Over- and Under-Identification in Linear Models, with Applications to Asset Pricing and Dynamic Panel Data Models

Zudi Lu (University of Southampton, UK)

A Review on Semiparametric Model Averaging for Dynamic Time Series Forecasting: Methodology and Application

Weining Wang (City, University of London, UK)

Inference on Risk Premia in the Presence of Omitted Factors

Michalis Stamatogiannis (University of Liverpool, UK)

Spurious Long-Horizon Predictability


The 6th Annual Econometrics Workshop (April 3rd, 2017)

Distinguished Speakers and Title of Presentations:

Enrique Sentana (CEMFI, Spain)

Consistent Non-Gaussian Pseudo Maximum Likelihood Estimator

Stephen Taylor (Lancaster University, UK)

Microstructure Noise Components of the S&P 500 Index: Variation, Persistence and Distributions

Dacheng Xiu (University of Chicago, USA)

Inference on Risk Premia in the Presence of Omitted Factors

Xiaojun Song (Peking University, China)

Measuring Heteroskedasticity in Nonparametric Regressions


The 5th Annual Econometrics Workshop (March 18th, 2016)

Distinguished Speakers and Title of Presentations:

Qiwei Yao (London School of Economics, UK)

Identifying Cointegration by Eigenanalysis

Abderrahim Taamouti (Durham University Business School, UK)

Measuring Nonlinear Granger Causality in Quantiles

James Duffy (University of Oxford, UK)

Uniform Inference in Nonparametric Predictive Regression

Stephen Pudney (University of Essex, UK)

Copula Models for Self-Reported Health Scales: Two-Way Mapping of EQ-5D-3L and EQ-5D-5L


The 4th Annual Econometrics Workshop (March 27th, 2015)

Distinguished Speakers and Title of Presentations:

Oliver Linton (University of Cambridge, UK)

Multivariate Variance Ratios

Paolo Zaffaroni (Imperial College London, UK)

Long Memory Affine Term Structure Models

Kees Jan van Garderen (Universiteit van Amsterdam, Netherlands)

Multimodality Adjusted p* Formula and Confidence Regions

Olan Henry (University of Liverpool, UK)

Non-linear Dynamics in Equity Return Volatility


The 3rd Annual Econometrics Workshop (April 4th, 2014)

Distinguished Speakers and Title of Presentations:

Robert Taylor (University of Essex, UK)

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

René Garcia (EDHEC Business School, France)

The Long and the Short of the Risk-Return Trade-Off

Raffaella Giacomini (University College London, UK)

Anchoring the Yield Curve using Survey Expectations

Giovanni Urga (CASS Business School, UK)

Modelling Financial Markets Comovements during Crises: A Dynamic Multi-Factor Approach


The 2nd Annual Econometrics Workshop (March 22nd, 2013)

Distinguished Speakers and Title of Presentations:

Neil Shephard (University of Oxford, UK)

Martingale Component Models

Nour Meddahi (Toulouse School of Economics, France)

Time Aggregation Effects on Estimating Asset Pricing Models

Gael Martin (Monash University, Australia)

Approximate Bayesian Computation (ABC) in Latent Diffusion Models

Dennis Kristensen (University College London, UK)

Simple Approximation Maximum-Likelihood Estimation of Multivariate Jump-Diffusion Models 


The 1st Annual Econometrics Workshop (March 23rd, 2012)

Distinguished Speakers and Title of Presentations:

Ivan Paya (Lancaster University, UK)

Testing for Asset Price Bubbles: The Role of Fat Tails and Endogeneity

Alastair Hall (University of Manchester, UK)

Bootstrap-based Tests for Multiple Structural Changes in Linear Models with Endogenous Regressors

Garry Phillips (Cardiff University, UK)

The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances

Karim Abadir (Imperial College London, UK)

Estimating Variance Matrices