SI 2016 Forecasting & Empirical Methods
Organized by Jonathan H. Wright and Allan Timmermann
July 12-15, 2016
Royal Sonesta Hotel
Tuesday, July 12
8:30 am

HAR Inference: Kernel Choice, Size Distortions, and Power Loss

Eben Lazarus, University of California, Berkeley
Daniel Lewis, University College London
James H. Stock, Harvard University and NBER
Mark W. Watson, Princeton University and NBER
9:15 am

Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing

Lawrence DW. Schmidt, Massachusetts Institute of Technology
Yinchu Zhu, Brandeis University
10:30 am

Non-Stationary Dynamic Factor Models for Large Datasets

Matteo Barigozzi, University of Bologna
Marco Lippi, Università di Roma, La Sapienza
Matteo Luciani, Board of Governors of the Federal Reserve System
11:15 am

Bayesian Compressed Vector Autoregressions

Davide Pettenuzzo, Brandeis University
Wednesday, July 13
8:30 am

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

Sydney C. Ludvigson, New York University and NBER
Sai Ma, Federal Reserve Board of Governors
Serena Ng, Columbia University and NBER
9:15 am

Measuring Macroeconomic Uncertainty and its Impact on the Economy

Andrea Carriero, Queen Mary University of London
Todd Clark, Federal Reserve Bank of Cleveland
Massimiliano Marcellino, Bocconi University
10:30 am

VAR Information and the Empirical Validation of DSGE Models

Mario Forni, Universita di Modena
Luca Gambetti, Universitat Autonoma de Barcelona
Luca Sala, Bocconi University
11:15 am

Macro Risks and Term Structure of Interest Rates

Geert Bekaert, Columbia University
Eric Engstrom, Federal Reserve Board of Governors
Andrey Ermolov, Fordham University
Thursday, July 14
8:30 am

Climate Risks and Market Efficiency

Harrison Hong, Columbia University and NBER
Weikai Li, Singapore Management University
Jiangmin Xu, Peking University
9:15 am

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Christiane J.S. Baumeister, University of Notre Dame and NBER
Lutz Kilian, Federal Reserve Bank of Dallas
10:30 am

The TIPS Liquidity Premium

Martin M. Andreasen, Aarhus University
Jens Christensen, Federal Reserve Bank of San Francisco
Kevin Cook, Federal Reserve Bank of San Francisco
Simon Riddell
11:15 am

Asset Allocation with Judgment

Simone Manganelli, European Central Bank
11:15 am

Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets

Eric T. Swanson, University of California, Irvine and NBER
Friday, July 15
8:30 am

Financial Stress and Equilibrium Dynamics in Money Markets

Emre Yoldas, Federal Reserve Board of Governors
Zeynep Senyuz, Federal Reserve Board of Governors
9:15 am

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets

Torben G. Andersen, Northwestern University and NBER
Nicola Fusari, Johns Hopkins University
Viktor Todorov, Northwestern University
10:30 am

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

Mathias S. Kruttli, Indiana University