News and events
The 8th Annual Econometrics Workshop - 3 April, 2019
Distinguished Speakers include:
Aureo de Paula, University College London
Rustam Ibragimov, Imperial College London
Michael Tsionas, Lancaster University
Dacheng Xiu, University of Chicago
The 7th Annual Econometrics Workshop - 19 March, 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
Review on Semiparametric Model Averaging for Dynamic Time Series Forecasting: Methodology and Application
Weining Wang, City, University of London, UK
Inference for High-Dimensionsal Sparse Regressions in Time and Space
Michalis Stamatogiannis, University of Liverpool, UK
Spurious Long-Horizon Predictability
The 6th Annual Econometrics Workshop - 3 April, 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 - 18 March, 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 - 27 March, 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 - 4 April, 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 - 22 March, 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 - 23 March, 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