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	HAR Inference: Kernel Choice, Size Distortions, and Power Loss
9:15 am	Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing
10:30 am	Non-Stationary Dynamic Factor Models for Large Datasets
11:15 am	Bayesian Compressed Vector Autoregressions
Wednesday, July 13
8:30 am	Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
9:15 am	Measuring Macroeconomic Uncertainty and its Impact on the Economy
10:30 am	VAR Information and the Empirical Validation of DSGE Models
11:15 am	Macro Risks and Term Structure of Interest Rates
Thursday, July 14
8:30 am	Climate Risks and Market Efficiency
9:15 am	A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
10:30 am	The TIPS Liquidity Premium
11:15 am	Asset Allocation with Judgment
11:15 am	Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
Friday, July 15
8:30 am	Financial Stress and Equilibrium Dynamics in Money Markets
9:15 am	The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
10:30 am	From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors