Monday, November 11, 2013

A New Center to Watch for Predictive Macroeconomic and Financial Modeling

Check out USC's fine new Center for Applied Financial Economics, led by the indefatigable Hashem Pesaran. The first event is a fascinating conference, "Recent Developments on Forecasting Techniques for Macro and Finance."  Lots of information here, and program below.

PROGRAM

Wednesday, November 20th, 2013

8:00-8:45 a.m. Registration and Continental Breakfast

8:45-9:00 a.m. WELCOME
Hashem Pesaran, John E. Elliott Distinguished Chair of Economics and Director of the Centre for Applied Financial Economics (CAFE), USC Dornsife

9:00-9:50 a.m. SESSION I Chair: Robert Dekle
Speaker: Òscar Jordà
Title: Semiparametric Estimates of Monetary Policy
Effects: String Theory Revisited. With Joshua D. Angrist and Guido Kuersteiner.
Discussant: Eleonora Granziera

9:50-10:40 a.m. SESSION II Chair: Yu-Wei Hsieh
Speaker: Michael W. McCracken
Title: Evaluating Forecasts from Vector Autoregressions Conditional on Policy Paths. With Todd E. Clark.
Discussant: Andreas Pick

11:00-11:50 p.m. SESSION III Chair: Michael Magill
Speaker: Jose A. Lopez
Title: A Probability-Based Stress Test of Federal Reserve Assets and Income. With Jens H.E. Christensen and Glenn D. Rudebusch.
Discussant: Wayne Ferson

11:50-12:40 p.m. SESSION IV Chair: Yilmaz Kocer
Speaker: Tae-Hwy Lee
Title: Density and Risk Forecast of Financial Returns Using Decomposition and Maximum Entropy. With Zhou Xi and Ru Zhang.
Discussant: Hyungsik Roger Moon

2:00-2:50 p.m. SESSION V Chair: Juan D. Carrillo
Speaker: Allan Timmermann
Title: Equivalence Between Out-of-Sample Forecast
Comparisons and Wald Statistics. With Peter Reinhard Hansen.
Discussant: Hashem Pesaran

2:50-3:40 p.m. SESSION VI Chair: Jeffrey B. Nugent
Speaker: Gloria Gonzalez-Rivera
Title: In-Sample and Out-of-Sample Performance of
Autocontour-Testing in Unstable Environments. With
Yingying Sun.
Discussant: Cheng Hsiao

4:00-4:50 p.m. SESSION VII Chair: Giorgio Coricelli
. Speaker: Gareth M. James
Title: Functional Response Additive Model Estimation with
Online Virtual Stock Markets. With Yingying Fan, Natasha Foutz, and Wolfgang Jank.
Discussant: Dalia A. Ghanem

4:50-5:40 p.m. SESSION VIII Chair: Joel David
Speaker: Marcelle Chauvet
Title: Nowcasting of Nominal GDP. With William A. Barnett and Danilo Leiva-Leon.
Discussant: Michael Bauer

5:40 p.m. Concluding Remarks