SI 2016 Forecasting & Empirical Methods
Jonathan H. Wright and Allan Timmermann, Organizers
July 12-15, 2016
Royal Sonesta Hotel
| Tuesday, July 12 | ||
| 8:30 am |
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 HAR Inference: Kernel Choice, Size Distortions, and Power Loss |
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| 9:15 am |
Lawrence DW. Schmidt, Massachusetts Institute of Technology Yinchu Zhu, Brandeis University Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing |
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| 10:30 am |
Matteo Barigozzi, University of Bologna Marco Lippi, Università di Roma, La Sapienza Matteo Luciani, Amazon Non-Stationary Dynamic Factor Models for Large Datasets |
|
| 11:15 am |
Davide Pettenuzzo, Brandeis University Bayesian Compressed Vector Autoregressions |
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| Wednesday, July 13 | ||
| 8:30 am |
Sydney C. Ludvigson, New York University and NBER Sai Ma, Federal Reserve Board Serena Ng, Columbia University and NBER Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? |
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| 9:15 am |
Andrea Carriero, Queen Mary University of London Todd Clark, Federal Reserve Bank of Cleveland Massimiliano Marcellino, Bocconi University Measuring Macroeconomic Uncertainty and its Impact on the Economy |
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| 10:30 am |
Mario Forni, Universita di Modena Luca Gambetti, Universitat Autonoma de Barcelona Luca Sala, Bocconi University VAR Information and the Empirical Validation of DSGE Models |
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| 11:15 am |
Geert Bekaert, Columbia University Eric Engstrom, Federal Reserve Board of Governors Andrey Ermolov, Fordham University Macro Risks and Term Structure of Interest Rates |
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| Thursday, July 14 | ||
| 8:30 am |
Harrison Hong, Columbia University and NBER Weikai Li, Singapore Management University Jiangmin Xu, Peking University Climate Risks and Market Efficiency |
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| 9:15 am |
Christiane J.S. Baumeister, University of Notre Dame and NBER Lutz Kilian, Federal Reserve Bank of Dallas A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil |
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| 10:30 am |
Martin M. Andreasen, Aarhus University Jens Christensen, Federal Reserve Bank of San Francisco Kevin Cook, Federal Reserve Bank of San Francisco Simon Riddell The TIPS Liquidity Premium |
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| 11:15 am |
Simone Manganelli, European Central Bank Asset Allocation with Judgment |
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| 11:15 am |
Eric T. Swanson, University of California, Irvine and NBER Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets |
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| Friday, July 15 | ||
| 8:30 am |
Emre Yoldas, Federal Reserve Board Zeynep Senyuz, Federal Reserve Board Financial Stress and Equilibrium Dynamics in Money Markets |
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| 9:15 am |
Torben G. Andersen, Northwestern University and NBER Nicola Fusari, Johns Hopkins University Viktor Todorov, Northwestern University The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets |
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| 10:30 am |
Mathias S. Kruttli, Indiana University From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors |
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