PRELIMINARY PROGRAM
Authors in bold are presenters
Last presenter in a contributed session is its chair
Last presenter in a contributed session is its chair
Tuesday, July 29
From 8:00 a.m. to 9:00 a.m.
Registration - Lobby and 3rd Floor
From 8:50 a.m. to 9:00 a.m.
Opening Ceremony, Room 317, 3rd Floor
Opening Ceremony, Room 317, 3rd Floor
Renato Fragelli Cardoso (Chairman of EPGE)
João Victor Issler
João Victor Issler
From 9:00 a.m. to 10:30 a.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Component Models in Macroeconomics and Finance
Chair: Timo Teräsvirta
Chair: Timo Teräsvirta
A Component Model for Dynamic Correlations
Eric Ghysels
Large Bayesian Global VARs
Lucrezia Reichlin
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Download
Eric Ghysels
Large Bayesian Global VARs
Lucrezia Reichlin
Download DownloadFrom 10:30 a.m. to 11:00 a.m.
Coffee Break, 3rd Floor
From 11:00 a.m. to 12:30 p.m.
Room 317, 3rd Floor (Contributed Parallel Sessions)
Room 317, 3rd Floor (Contributed Parallel Sessions)
Macro and Finance: Global Models
Large Bayesian VARs
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
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Forecasting Economic and Financial Variables with Global VARs
M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith
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Marta Banbura, Domenico Giannone and Lucrezia Reichlin
DownloadForecasting Economic and Financial Variables with Global VARs
M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith
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From 11:00 a.m. to 12:30 p.m.
Room 308, 3rd Floor (Contributed Parallel Sessions)
Room 308, 3rd Floor (Contributed Parallel Sessions)
Macro: Forecasting Inflation
Forecasting the distribution of multi-step inflation: do macro variables matter?
Sebastiano Manzan and Dawit Zerom
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Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants, Econometrics or Qrinkage?
Albert Lee Chun
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(Un)Predictability and Macroeconomic Stability
Antonello D'Agostino, Domenico Giannone and Paolo Surico
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Sebastiano Manzan and Dawit Zerom
DownloadForecasting Interest Rates and Inflation: Blue Chip Clairvoyants, Econometrics or Qrinkage?
Albert Lee Chun
Download(Un)Predictability and Macroeconomic Stability
Antonello D'Agostino, Domenico Giannone and Paolo Surico
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From 11:00 a.m. to 12:30 p.m.
Room 318, 3rd Floor (Contributed Parallel Sessions )
Room 318, 3rd Floor (Contributed Parallel Sessions )
Finance: Dependence and Higher Moments
Time-varying joint distribution through copulas
Maria Concepcion Ausin and Hedibert Freitas Lopes
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Long Range Dependence in Copula Models
Beatriz Vaz de Melo Mendes and Silvia Regina Costa Lopes
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Affine Stochastic Skewness Models
Buno Feunou and Romeo Tedongap
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Maria Concepcion Ausin and Hedibert Freitas Lopes
DownloadLong Range Dependence in Copula Models
Beatriz Vaz de Melo Mendes and Silvia Regina Costa Lopes
DownloadAffine Stochastic Skewness Models
Buno Feunou and Romeo Tedongap
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From 11:00 a.m. to 12:30 p.m.
Room 307, 3rd Floor (Contributed Parallel Sessions)
Room 307, 3rd Floor (Contributed Parallel Sessions)
Macro and Finance: Testing
Quantile Regression for Dynamic Panel Data
Antonio F. Galvão
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The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
Caio Almeida and José Vicente
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A predictability test for a small number of nested models
Eleonora Granziera, Kirstin Hubrich, Roger Moon
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Antonio F. Galvão
DownloadThe Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
Caio Almeida and José Vicente
DownloadA predictability test for a small number of nested models
Eleonora Granziera, Kirstin Hubrich, Roger Moon
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From 12:30 p.m. to 3:00 p.m.
Conference Luncheon: Churrascaria Porcão Rio’s
From 3:00 p.m. to 4:30 p.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Multi-Step Forecasting and Shrinkage
Chair: Luiz Renato Lima
Chair: Luiz Renato Lima
Variable Selection and Inference for Multistep Forecasting Problems
M. Hashem Pesaran
In-Sample and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection
Peter Reinhard Hansen
M. Hashem Pesaran
In-Sample and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection
Peter Reinhard Hansen
Wednesday, July 30
From 8:30 a.m. to 10:00 a.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Testing
Chair: Farshid Vahid
Chair: Farshid Vahid
Multivariate Comparisons of Predictive Accuracy
Francis X. Diebold
A Control Function Approach for Testing the Usefulness of Trending Variables in forecast Models and Linear Regression
Graham Elliott
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Francis X. Diebold
A Control Function Approach for Testing the Usefulness of Trending Variables in forecast Models and Linear Regression
Graham Elliott
DownloadFrom 10:00 a.m. to 10:30 a.m.
Coffee Break
From 10:30 a.m. to 12:00 p.m.
Room 317, 3rd Floor (Contributed Parallel Sessions )
Room 317, 3rd Floor (Contributed Parallel Sessions )
Macro: Combination Techniques and Data Vintages
Pooling of forecasts based on multiple testing methods
Joseph Romano, Azeem Shaikh, Michael Wolf
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Forecasting with Autoregressive Models in the Presence of Data Revisions, Michael P.
Clements and Ana Beatriz Galvão
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Joseph Romano, Azeem Shaikh, Michael Wolf
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Forecasting with Autoregressive Models in the Presence of Data Revisions, Michael P.
Clements and Ana Beatriz Galvão
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From 10:30 a.m. to 12:00 p.m.
Room 318, 3rd Floor (Contributed Parallel Sessions )
Room 318, 3rd Floor (Contributed Parallel Sessions )
Finance: Risk and Volatility
CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
Simon Broda and Marc Paolella
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Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
C. Conrad, M. Karanasos and N. Zeng
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Modeling and forecasting return volatility: A new reduced form approach using nonparametric variation measures
Kerstin Kehrle
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Simon Broda and Marc Paolella
DownloadFractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
C. Conrad, M. Karanasos and N. Zeng
DownloadModeling and forecasting return volatility: A new reduced form approach using nonparametric variation measures
Kerstin Kehrle
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From 10:30 a.m. to 12:00 p.m.
Room 308, 3rd Floor (Contributed Parallel Sessions)
Room 308, 3rd Floor (Contributed Parallel Sessions)
Macro and Finance: Structural Breaks and Regime Switching
Dynamic OLS and Regime Switching Models to Forecast the Demand for Electricity in
the Northeast of Brazil
Guilherme Irffi; Ivan Castelar; Marcelo Siqueira; Fabricio Linhares
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Novel Stories About Forecasting International Stock Market Returns: Structural Breaks, Theory-Induced Restrictions and Cross-Country Linkages
Marco Willner
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Guilherme Irffi; Ivan Castelar; Marcelo Siqueira; Fabricio Linhares
DownloadNovel Stories About Forecasting International Stock Market Returns: Structural Breaks, Theory-Induced Restrictions and Cross-Country Linkages
Marco Willner
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From 10:30 a.m. to 12:00 p.m.
Room 307, 3rd Floor (Contributed Parallel Sessions)
Room 307, 3rd Floor (Contributed Parallel Sessions)
Macro: Macroeconomic and Financial Regimes
State Space Model for Coincident and Leadings Indices of Economic Activity
Rafael Martins de Souza and João Victor Issler
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Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
Francesco Audrino and Marcelo C. Medeiros
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Rafael Martins de Souza and João Victor Issler
DownloadSmooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
Francesco Audrino and Marcelo C. Medeiros
DownloadFrom 12:00 p.m. to 1:30 p.m.
Lunch Break: Suggestions:
Restaurants Salsalito, Miako and Via Farani
From 1:30 p.m. to 3:00 p.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Restricted VARs
Chair: Marcelo Moreira
Chair: Marcelo Moreira
Forecasting with VARMA models
Farshid Vahid
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How useful are no-arbitrage restrictions for forecasting the term structure?
Raffaella Giacomini
Farshid Vahid
DownloadHow useful are no-arbitrage restrictions for forecasting the term structure?
Raffaella Giacomini
From 3:00 p.m. to 3:30 p.m.
Coffee Break, 3rd Floor
From 3:30 p.m. to 5:00 p.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Density Forecast
Chair: João Victor Issler
Chair: João Victor Issler
Density Forecasting and Basketball Betting?
Roger Koenker
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Evaluating Value-at-Risk Models via Quantile Regression
Luiz Renato Lima
Roger Koenker
DownloadEvaluating Value-at-Risk Models via Quantile Regression
Luiz Renato Lima
Conference Party
Rio Scenarium (http://www.rioscenarium.com.br/default.aspx)
Rua do Lavradio, 20 – Lapa – Telephone: +55 (21)3147-9005
From 7:00 p.m. onwards …The first show begins at 7:00 p.m. and the second show
begins at 10:00 p.m. 20 Seated Spots are guaranteed until 9:00 p.m. Admission fee is R$ 15,00; Popular Drinks: Cerveja – from R$ 3,90 to R$ 12,00; Caipirinha – R$ 7,50 and
Dinner menu – from R$ 25,00.
Rua do Lavradio, 20 – Lapa – Telephone: +55 (21)3147-9005
From 7:00 p.m. onwards …The first show begins at 7:00 p.m. and the second show
begins at 10:00 p.m. 20 Seated Spots are guaranteed until 9:00 p.m. Admission fee is R$ 15,00; Popular Drinks: Cerveja – from R$ 3,90 to R$ 12,00; Caipirinha – R$ 7,50 and
Dinner menu – from R$ 25,00.
Thursday, July 31
From 9:30 a.m. to 11:00 a.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Pools and Portfolio Allocation
Chair: Raffaella Giacomini
Chair: Raffaella Giacomini
Predictability of Stock Returns and Asset Allocation under Structural Breaks
Allan Timmermann
Optimal Prediction Pools
John Geweke
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Allan Timmermann
Optimal Prediction Pools
John Geweke
DownloadFrom 11:00 a.m. to 11:30 a.m.
Coffee Break, 3rd Floor
From 11:30 a.m. to 1:00 p.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Combination Techniques
Chair: Allan Timmermann
Chair: Allan Timmermann
Dynamic Panel Data Models - TBC
Marcelo Moreira
Let’s do it again: Bagging Equity – Premium Predictors
Marcelo Medeiros
Marcelo Moreira
Let’s do it again: Bagging Equity – Premium Predictors
Marcelo Medeiros
From 1:00 p.m. to 2:30 p.m.
Lunch Break: Suggestions:
Restaurants Salsalito, Miako and Via Farani
From 2:30 p.m. to 4:00 p.m.
Room 317, 3rd Floor (Contributed Parallel Sessions )
Room 317, 3rd Floor (Contributed Parallel Sessions )
Macro: Commodity Prices and Derivatives
Do Interest Rate Options Contain Information About Excess Returns?
Caio Almeida, Jeremy Graveline, and Scott Joslin
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Can Exchange Rates Forecast Commodity Prices?
Yu-Chin Chen, Kenneth Rogoff, Barbara Rossi
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Modelling and forecasting commodity prices: Exploiting regime shifts and macroeconomic linkages,
Melisso Boschi and Luca Pieroni
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Caio Almeida, Jeremy Graveline, and Scott Joslin
Download Can Exchange Rates Forecast Commodity Prices?
Yu-Chin Chen, Kenneth Rogoff, Barbara Rossi
DownloadModelling and forecasting commodity prices: Exploiting regime shifts and macroeconomic linkages,
Melisso Boschi and Luca Pieroni
DownloadFrom 2:30 p.m. to 4:00 p.m.
Room 308, 3rd Floor (Contributed Parallel Sessions )
Room 308, 3rd Floor (Contributed Parallel Sessions )
Macro: Aggregation and Exchange Rates
Testing the Taylor Model Predictability for Exchange Rates in Latin America
Marcelo L. Moura
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Empirical evaluation of forecasts of an aggregate using disaggregated information
Eliana Gonzalez
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Term Structure Models with observed Factors combining Daily and Monthly Data
Marco Matsumura, Ajax Moreira
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Marcelo L. Moura
DownloadEmpirical evaluation of forecasts of an aggregate using disaggregated information
Eliana Gonzalez
DownloadTerm Structure Models with observed Factors combining Daily and Monthly Data
Marco Matsumura, Ajax Moreira
DownloadFrom 2:30 p.m. to 4:00 p.m.
Room 318, 3rd Floor (Contributed Parallel Sessions )
Room 318, 3rd Floor (Contributed Parallel Sessions )
Finance: Term Structure
Bayesian Extensions to Diebold-Li Term Structure Model
Márcio Poletti Laurini and Luiz Koodi Hotta
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Forecasting the Yield Curve: Comparing Models
Marco Matsumura, Ajax Moreira
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Modeling and Forecasting the Brazilian Term Structure of Interest Rates by an
Extended Nelson Siegel Class of Models: A Quantile Autoregression Approach
Rafael Barros de Rezende, Mauro Sayar Ferreira
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Márcio Poletti Laurini and Luiz Koodi Hotta
DownloadForecasting the Yield Curve: Comparing Models
Marco Matsumura, Ajax Moreira
DownloadModeling and Forecasting the Brazilian Term Structure of Interest Rates by an
Extended Nelson Siegel Class of Models: A Quantile Autoregression Approach
Rafael Barros de Rezende, Mauro Sayar Ferreira
Download From 4:00 p.m. to 4:30 p.m.
Coffee Break
From 4:30 p.m. to 6:00 p.m.
Room 317, 3rd Floor
Room 317, 3rd Floor
Invited Session: Unobserved-Component Models
Chair: Marcelo Medeiros
Chair: Marcelo Medeiros
Modelling Inflation with Gradual Regime Shifts and Exogenous Information
Timo Teräsvirta
A Semiparametric Model for Climate Change in the UK
Oliver Linton (Alev Atak)
Timo Teräsvirta
A Semiparametric Model for Climate Change in the UK
Oliver Linton (Alev Atak)