Predictability, Forecasting and Monitoring

ESRC Virtual Workshop on Predictability, Forecasting and Monitoring 

https://www.essex.ac.uk/events/2021/07/12/esrc-virtual-workshop-on-predictability-forecasting-and-monitoring

Small and interesting group.  Just two talks/day.  (Nice.)  Free registration. (Also nice.)

Program:

 12-14th July, 2021 

The Essex Centre for Macro and Financial Econometrics (ECMFE) is a joint venture between Essex Business School and the Department of Economics and brings together academic and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets. 

Programme: 12th July (BST): 

Session 1 4:00pm-4:05pm: Welcome and Introduction Organisers: Robert Taylor, Simon Price and Yuqian Zhao 

4:05pm-5:00pm: “Monitoring and Comparing Forecasting Performance with Panel Data” Speaker: Allan Timmermann, (UC San Diego) (joint with Yinchu Zhu) 

5:00pm-6:00pm: “Forecasting with Shadow-rate VARs” Speaker: Todd Clark, (Federal Reserve Bank of Cleveland) 

13th July (BST): Session 2 

4:00pm-5:00pm: On Local Projection Based Inference Speaker: Ke-Li Xu, (Indiana University) 

5:00pm-6:00pm: “Extensions to IVX Methods of Inference for Return Predictability” Speaker: Robert Taylor, (Essex Business School) (joint with Matei Demetrescu, Iliyan Georgiev and Paulo Rodrigues) 

14th July (BST): Session 3 

4:00pm-5:00pm: Censored Density Forecasts: Production and Evaluation Speaker: James Mitchell, (Federal Reserve Bank of Cleveland) (Joint with Martin Weale) 

5:00pm-6:00pm: The 8th Annual John C. Nankervis Memorial Lecture Speaker: Barbara Rossi, (CREI, Univ. Pompeu Fabra) 

This is an EBS ECMFE and MMF event. The organisers are grateful to the Economic and Social Research Council of the United Kingdom for their funding of this workshop under the research grant ES/R00496X/1. Contact: ecmfe@essex.ac.uk