Friday, November 6, 2015

Complexity in Economics: Big Data and Parallelization

Good conference in Switzerland. I was not there, but my colleague Frank Schorfheide sends glowing reports. For my tastes/interests at the moment, I am most intrigued by titles like:

Davide Pettenuzzo, Brandeis University
Bayesian Compressed Vector Autoregressions

Mike West, Duke University
Bayesian Predictive Synthesis (BPS)

Hedibert Freitas Lopes, INSPER – Institute of Education and Research
Parsimony-Inducing Priors for Large Scale State-Space Models.

I look forward to reading them and others. Program and list of participants follow.

www.szgerzensee.ch
Foundation of the Swiss National Bank
Program
Complexity in Economics: Big Data and Parallelization
6th ESOBE Annual Conference, October 29 – 30, 2015
Study Center Gerzensee, Gerzensee, Switzerland
Wednesday, October 28
18.00
18.45
19.30
Shuttle (Bern Railway station, Meeting Point)
Arrival of Participants
Dinner
Thursday, October 29
08.15
Opening
Dirk Niepelt, Study Center Gerzensee
08.30 – 09.30
Chair: Sylvia Kaufmann, Study Center Gerzensee
Keynote
Matthew Jackson, Stanford University
Modeling Network Formation with Correlated Links
Coffee Break
10.00 – 12.00
Network & Multidimensional
Chair: Helga Wagner, Johannes Kepler University
Daniele Bianchi, Warwick Business School, University of Warwick
Modeling Contagion and Systemic Risk
Veni Arakelian, Panteion University
European Sovereign Systemic Risk Zones
Stefano Grassi, University of Kent
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Mark Jensen, Federal Reserve Bank of Atlanta
Cross-section of Mutual Fund Performance
12.00 – 14.00
Standing Lunch & Poster Session
14.00 – 15.00
Chair: Gianni Amisano, Federal Reserve Board and University of Technology Sidney
Keynote
Frank Schorfheide, University of Pennsylvania, Philadelphia
Sequential Monte Carlo Methods for DSGE Models
15.30 – 17.00
Macro & Forecasting
Chair: Markus Pape, Ruhr-Universität Bochum
Davide Pettenuzzo, Brandeis University
Bayesian Compressed Vector Autoregressions
Arnab Bhattacharjee, Heriot-Watt University
Does the FOMC Care about Model Misspecification?
Mike West, Duke University
Bayesian Predictive Synthesis (BPS)
17.15 – 18.15
Time Series
Chair: Maria Bolboaca, Study Center Gerzensee
Hedibert Freitas Lopes, INSPER – Institute of Education and Research
Parsimony Inducing Priors for Large Scale State-Space Models
Markus Jochmann, Newcastle University
Bayesian Nonparametric Cointegration Analysis
19.00
Dinner
Friday, October 30
09.00 – 10.00
Chair: Herman K. van Dijk, Erasmus University Rotterdam
Keynote
John Geweke, University of Technology, Sydney
Sequential Adaptive Bayesian Leaning Algorithms for Inference and Optimization
Coffee Break
10.30 – 12.00
Chair: Hedibert Freitas Lopes, INSPER - Institute of Education and Research
Invited Speakers
Gianni Amisano, Federal Reserve Board and University of Technology Sidney
Large Time Varying Parameter VARs for Macroeconomic Forecasting
Sylvia Frühwirth-Schnatter, Vienna University of Economics and Business
Flexible Econometric Modelling Based on Sparse Finite Mixtures
Herman van Dijk, Erasmus University Rotterdam
Bayesian Inference and Forecasting with Time-Varying Reduced Rank Econometric Models
12.00 – 13.30
Standing Lunch & Poster Session
13.30 – 15.30
Chair: Markus Jochmann, Newcastle University
Junior Researcher Session
Gregor Kastner, Vienna University of Economics and Business
Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Time Series
Markus Pape, Ruhr University Bochum
A Two-Step Approach to Bayesian Analysis of Sparse Factor Models
Vegard Larsen, BI Norwegian Business School
The Value of News
Discussants: John Geweke, Mark Jensen, Mike West
15.45 – 16.45
Panel Data
Chair: Veni Arakelian, Panteion University
Taps Maiti, Michigan State University
Spatio-Temporal Forecasting: A Bayesian Spatial Clustering Approach
Helga Wagner, Johannes Kepler University
Sparse Bayesian modelling for categorical predictors
16.45
Departure of Participants
Shuttle to Bern
Poster Sessions
Thursday
Boris Blagov, University of Hamburg
Modelling the Time-Variation in Euro Area Lending
Angela Bitto, WU Vienna University of Economics and Business
Achieving Shrinkage in the Time-Varying Parameter Models Framework
Shuo Cao, University of Glasgow
Co-Movement, Spillovers and Excess Returns in Global Bond Markets
Christoph Frey, University of Konstanz
Bayesian Regularization of Portfolio Weights
Blazej Mazur, Cracow University of Economics
Forecasting Performance of Bayesian Autoregressive Conditional Score Models using Flexible Asymmetric Distributions
Boriss Siliverstovs, ETH Zurich KOF
Dissecting Models’ Forecasting Performance
Friday
Arnab Bhattacharjee, Heriot-Watt University
Latent Space Supply Chain Linkages of Three US Auto Manufacturing Giants
Daniel Kaufmann, ETH Zurich
Metal vs. Paper: An Assessment of Nominal Stability across Monetary Regimes
Gertraud Malsiner-Walli, Johannes Kepler University Linz
Bayesian Variable Selection in Semi-Parametric Growth Regression
Julia Elizabeth Reynolds, Vienna Graduate School of Finance
Commonality in Liquidity Dimensions: The Impact of Financial Crisis and
Regulation NMS
Peter Schwendner, ZHAW
European Government Bond Dynamics and Stability Policies: Taming Contagion Risks





Participants
Complexity in Economics: Big Data and Parallelization
6th ESOBE Annual Conference, October 29 – 30, 2015
Study Center Gerzensee, Gerzensee, Switzerland
Names Last Names Institutions
Gianni Amisano
Federal Reserve Board and University of Technology
Sidney
Veni Arakelian Panteion University
Nalan Basturk Maastricht University
Simon Beyeler Study Center Gerzensee
Arnab Bhattacharjee Heriot-Watt University
Daniele Bianchi University of Warwick
Angela Bitto Vienna University of Economics and Business
Boris Blagov University of Hamburg
Maria Bolboaca Study Center Gerzensee
Shuo Cao University of Glasgow
Christoph Frey University of Konstanz
Sylvia Frühwirth-Schnatter Wirtschaftsuniversität Wien
John Geweke University of Technology
Stefano Grassi University of Kent
Nils Herger Study Center Gerzensee
Matthew O. Jackson Stanford University
Mark Jensen Federal Reserve Bank of Atlanta
Markus Jochmann Newcastle University
Gregor Kastner Vienna University of Economics and Business
Sylvia Kaufmann Study Center Gerzensee
Daniel Kaufmann ETH Zurich
Dimitris Korobilis University of Glasgow
Vegard Larsen BI Norwegian Business School
Hedibert Lopes INSPER - Institute of Education and Research
Taps Maiti Michigan State University
Gertraud Malsiner-Walli Johannes Kepler University Linz
Blazej Mazur Caracow University of Economics
Sen Roy Nandini Goethe University Frankfurt
Dirk Niepelt Study Center Gerzensee
Markus Pape Ruhr-Universität Bochum
Davide Pettenuzzo Brandeis University
Julia Elizabeth Reynolds Vienna Graduate School of Finance
Names Last Names Institutions
Frank Schorfheide University of Pennsylvania
Martin Schuele ZHAW Zurich IAS
Peter Schwendner ZHAW School of Management and Law
Boriss Siliverstovs ETH Zurich KOF
Herman K. van Dijk Erasmus University Rotterdam
Audrone Virbickaite University of Konstanz
Stefan Voigt Vienna Graduate School of Finance
Helga Wagner Johannes Kepler University
Mike West Duke University