PRELIMINARY PROGRAM
Authors in bold are presenters
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
Renato Fragelli Cardoso (Chairman of EPGE)
João Victor Issler
From 9:00 a.m. to 10:30 a.m.
Room 317, 3rd Floor
Invited Session: Component Models in Macroeconomics and Finance
Chair: Timo Teräsvirta
A Component Model for Dynamic Correlations
Eric Ghysels

Large Bayesian Global VARs
Lucrezia Reichlin
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From 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)
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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From 11:00 a.m. to 12:30 p.m.
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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From 11:00 a.m. to 12:30 p.m.
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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From 11:00 a.m. to 12:30 p.m.
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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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
Invited Session: Multi-Step Forecasting and Shrinkage
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
Wednesday, July 30
From 8:30 a.m. to 10:00 a.m.
Room 317, 3rd Floor
Invited Session: Testing
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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From 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 )
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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From 10:30 a.m. to 12:00 p.m.
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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From 10:30 a.m. to 12:00 p.m.
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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From 10:30 a.m. to 12:00 p.m.
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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From 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
Invited Session: Restricted VARs
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
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
Invited Session: Density Forecast
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
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.
Thursday, July 31
From 9:30 a.m. to 11:00 a.m.
Room 317, 3rd Floor
Invited Session: Pools and Portfolio Allocation
Chair: Raffaella Giacomini
Predictability of Stock Returns and Asset Allocation under Structural Breaks
Allan Timmermann

Optimal Prediction Pools
John Geweke
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From 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
Invited Session: Combination Techniques
Chair: Allan Timmermann
Dynamic Panel Data Models - TBC
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 )
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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From 2:30 p.m. to 4:00 p.m.
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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From 2:30 p.m. to 4:00 p.m.
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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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
Invited Session: Unobserved-Component Models
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)