SI 2015 Forecasting & Empirical Methods
Organized by Jonathan H. Wright and Allan Timmermann
July 7-10, 2015
Royal Sonesta Hotel

Tuesday, July 7

8:30 am

Robust Inference in Structural VARs with Long-run Restrictions

Guillaume Chevillon, ESSEC Business School
Sophocles Mavroeidis, University of Oxford
Zhaoguo Zhan, Tsinghua University

9:15 am

Priors for the long run

Domenico Giannone, International Monetary Fund

10:30 am

Monetary Policy and Long-term Interest Rates

Gianni Amisano, European Central Bank
Oreste Tristani, European Central Bank

11:15 am

L1-Regularization of High Dimensional Time Series Models with Flexible Innovations

Marcelo Medeiros, PUC-Rio
Eduardo F. Mendes, University of New South Wales

Wednesday, July 8

8:30 am

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Francis X. Diebold, University of Pennsylvania and NBER
Frank Schorfheide, University of Pennsylvania and NBER
Minchul Shin, Federal Reserve Bank of Philadelphia

9:15 am

Evaluating and Comparing Possibly Misspecified Forecasts

Andrew Patton, Duke University

10:30 am

Melting Down: Systemic Financial Instability and the Macroeconomy

Philipp Hartmann, European Central Bank
Kirstin Hubrich, Austrian Central Bank, Deutsche Bundesbank (as of July 1)
Manfred Kremer, European Central Bank
Robert Tetlow, Federal Reserve Board of Governors

11:15 am

Modeling Contagion and Systemic Risk

Daniele Bianchi, Queen Mary University of London
Monica Billio, Univesity Ca' Foscari of Venice
Roberto Casarin, University of Venice
Massimo Guidolin, Bocconi University

Thursday, July 9

8:30 am

Robust Bond Risk Premia

Michael D. Bauer, Federal Reserve Bank of San Francisco
James D. Hamilton, University of California, San Diego and NBER

9:15 am

Bond Risk Premia in Consumption Based Models

Drew D. Creal, University of Illinois
Jing Cynthia Wu, University of Illinois Urbana-Champaign and NBER

10:30 am

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

Tobias Adrian, International Monetary Fund
Richard Crump, Federal Reserve Bank of New York
Erik Vogt, Federal Reserve Bank of New York

11:15 am

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

Elmar Mertens, European Central Bank
James Nason, North Carolina State University

Friday, July 10

8:30 am

An Equilibrium Model of Institutional Demand and Asset Prices

Ralph Koijen, University of Chicago and NBER
Motohiro Yogo, Princeton University and NBER

9:15 am

Portfolio Choice under the APT with Model Misspecification

Mohammad Pesaran, University of Southern California
Raman Uppal, EDHEC Business School
Paolo Zaffaroni, Imperial College London

10:30 am

Jump Regressions

Viktor Todorov, Northwestern University
George Tauchen, Duke University

11:15 am

Bootstrapping High-Frequency Jump Tests

Prosper Dovonon, Concordia University
Nour Meddahi, Toulouse School of Economics