4th CSDA International Conference on
Computational and Financial Econometrics (CFE'10)
10-12 December 2010, Senate House, University of London, UK



Keynote talk1 Friday 10.12.2010 08:55 - 09:45 Room: IoE Logan Hall
Factor modelling for time series: a dimension-reduction approach
Speaker: Q. Yao  Co-authors: C. Lam Chair: George Kapetanios
Keynote talk2 Friday 10.12.2010 17:20 - 18:10 Room: IoE Logan Hall
Stick-breaking autoregressive processes
Speaker: M. Steel  Co-authors: J. Griffin Chair: Esther Ruiz
Keynote talk3 Saturday 11.12.2010 14:15 - 15:05 Room: Senate Beveridge Hall
Econometric analysis of high dimensional VARs featuring a dominant unit
Speaker: M. Pesaran  Co-authors: A. Chudik Chair: D.S.G. Pollock


Parallel session B: Friday 10.12.2010 10:15 - 12:20

Session CI97 Room: IoE Logan Hall
Invited Session: Applied time series econometrics Friday 10.12.2010    10:15 - 12:20
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C398:   R. Smith, S. Dees, M. Pesaran, L. Smith
  Supply, demand and monetary policy shocks in a multi-country new Keynesian model
  C401:   G. Kapetanios, L. Giraitis, T. Yates
  Inference on stochastic time-varying coefficient models
  C469:   C. Baum, P. Zerilli
  Financial option pricing in volatile markets
Session CS12 Room: MAL 151
Forecasting Value-at-Risk Friday 10.12.2010    10:15 - 12:20
Chair: Teodosio Perez Amaral Organizer: Teodosio Perez Amaral and Juan-Angel Jimenez-Martin
  C510:   D. Dobrev, P. Szerszen
  The information content of high-frequency data for estimating equity return models and forecasting risk
  C521:   C. Lonnbark
  Uncertainty of multiple period risk measures
  C537:   S. Benito, P. Abad
  A detailed comparison of Value at Risk estimates
  C590:   P. Araujo Santos, I. Fraga Alves
  Minimize capital requirements with a DPOT method
  C702:   T. Perez Amaral, J. Jimenez-Martin, M. McAleer
  Crisis robust risk management under the Basel accord
Session CS15 Room: MAL B29
Financial risks and the macroeconomy Friday 10.12.2010    10:15 - 12:20
Chair: Monica Billio Organizer: Monica Billio
  C445:   A. Tortora, M. Guidolin, F. Ravazzolo
  Multifactor pricing models for US real estate
  C410:   G. Zinna
  Identifying risks in emerging market sovereign and corporate bond spreads
  C472:   M. Billio, M. Getmansky, A. Lo, L. Pelizzon
  Econometric measures of systemic risk in the finance and Insurance sectors
  C358:   R. Neck, D. Blueschke, V. Blueschke-Nikolaeva, K. Weyerstrass
  Optimal fiscal policies in booms and in recessions: An econometric case study for Slovenia
  C647:   G. Nicoletti, R. Passaro
  Real, financial and credit variables in Italian GDP forecasting
Session CS31 Room: MAL G16
Heavy-tailed time series Friday 10.12.2010    10:15 - 12:20
Chair: Christian Francq Organizer: Christian Francq
  C355:   J. Zakoian, C. Francq
  Prediction in GARCH models under heavy-tailed errors
  C185:   D. Stasinopoulos, R. Rigby, R. Gilchrist, J. Sedgwick, V. Voudouris
  Non-parametric modelling of heavy tails and skewness of box-office revenues
  C248:   S. Laurent, K. Boudt, J. Danielsson
  Robust estimation of dynamic conditional correlation GARCH models
  C443:   S. Makarova, W. Charemza, P. Jelonek
  Macroeconomic applications of skewed tempered stable distributions
Session CS35 Room: MAL B30
Risk and commodities markets Friday 10.12.2010    10:15 - 12:20
Chair: Dominique Guegan Organizer: Dominique Guegan
  C137:   P. Maugis, D. Guegan
  Event conditional correlation
  C138:   W. Tarrant, D. Guegan
  On the necessity of five risk measures
  C349:   B. Hassani, D. Guegan, C. Naud
  An efficient peak-over-threshold implementation for operational risk capital computation
  C298:   A. Lahiani, M. Arouri, D. Nguyen
  Volatility transmission between world oil prices and stock markets of the GCC countries
  C380:   A. Dias
  Economic value of accounting for large losses in portfolio selection
Session CS37 Room: MAL B18
Multivariate dependence modelling in finance and insurance Friday 10.12.2010    10:15 - 12:20
Chair: Vladimir Kaishev Organizer: Vladimir Kaishev
  C475:   G. Mitov, S. Rachev, B. Racheva-Yotova
  Beyond fat-tails: A comparison of the methodologies for describing the tail dependence between assets
  C707:   V. Kaishev
  Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance
  C791:   N. Bingham
  Multivariate elliptic processes
  C809:   E. Marceau, H. Cossette
  Aggregation and capital allocation for portfolios of dependent risks
  C763:   S. Vrontos, I. Vrontos, L. Meligkotsidou
  Asset-liability management for pension funds in a time-varying volatility environment
Session CS50 Room: MAL B20
Multivariate financial time series Friday 10.12.2010    10:15 - 12:20
Chair: Cathy Chen Organizer: Yasuhiro Omori
  C109:   X. Qian
  Financial time series clustering with nonparametric Bayes method
  C329:   H. Raissi, V. Patilea
  Adaptive estimation of vector autoregressive models with time-varying variance.
  C546:   C. Sin
  Modelling time-varying correlation with parsimonious multivariate linear ARCH
  C664:   J. Ortega, S. Chretien
  Spectral sparsity and the modeling of high dimensional heteroscedastic phenomena
  C467:   S. Van den Hauwe, R. Paap, D. van Dijk
  A Bayesian nonparametric alternative for multivariate models
Session CS57 Room: MAL B34
Bayesian nonparametric methods in econometrics Friday 10.12.2010    10:15 - 12:20
Chair: Mark Steel Organizer: Mark Steel
  C637:   I. Pruenster, A. Lijoi, P. Muliere, F. Taddei
  Bayesian nonparametric models in macroeconomics: an illustration
  C648:   M. Villani, F. Li
  Nonparametric spline regression with portable knots
  C731:   J. Griffin, M. Kolossiatis, M. Steel
  Inferring differences between distributions
  C729:   M. Kalli, S. Walker
  Modelling the conditional distribution of daily stock index returns: an alternative Bayesian semiparametric model.
  C773:   M. Wiesenfarth, C. Hisgen, T. Kneib, C. Cadarso-Suarez, D. Miles Touya
  Bayesian semiparametric instrumental variable regression with non-normal errors
Session CP01 Room: IoE Crush Hall
Posters I Friday 10.12.2010    10:15 - 12:20
Chair: Christos Savva Organizer: CFE
  C855:   A. Chernenko
  Multi-scale correlation analysis of coherent variability of economical time series
  C614:   M. Gerolimetto, I. Procidano
  Further developments on time series clustering
  C740:   L. Kalliovirta
  Comparison of different misspecification tests designed for nonlinear time series models
  C598:   E. Dugundji, A. Poorthuis, M. van Meeteren
  Capturing correlated effects in adoption and diffusion in large virtual networks
  C282:   Y. Varli, E. Ceyhan, O. Erdem
  A new correlation coefficient for bivariate time-series data
  C658:   H. Veiga, J. Galan, M. Wiper
  Bayesian stochastic frontier models with heterogeneity
  C780:   R. Seri, C. Choirat
  A comparison of approximations for compound Poisson processes
Parallel session C: Friday 10.12.2010 13:40 - 15:20

Session CI99 Room: IoE Logan Hall
Invited Session: Factor models Friday 10.12.2010    13:40 - 15:20
Chair: Tommaso Proietti Organizer: Tommaso Proietti
  C370:   M. Lippi, M. Forni, M. Hallin, P. Zaffaroni
  The unrestricted generalized dynamic factor model
  C460:   M. Deistler, B. Anderson, A. Filler, W. Chen
  Generalized factor models-a structure theory
  C889:   C. Schumacher, S. Kaufmann
  Dynamic sparse factor model
Session CS14 Room: MAL 151
Financial volatility estimation and forecasting I Friday 10.12.2010    13:40 - 15:20
Chair: Francesco Audrino Organizer: Francesco Audrino
  C197:   R. Halbleib, V. Voev
  Forecasting covariance matrices: a mixed frequency approach
  C241:   M. Medeiros, T. Ferreira
  Improving volatility forecasts by combining information
  C310:   D. Colangelo, F. Audrino
  Option trading strategies based on semi-parametric implied volatility surface prediction
  C566:   C. Kourouyiannis, E. Andreou, E. Ghysels
  Robust volatility forecasts in the presence of structural breaks
Session CS19 Room: MAL B29
Multifrequency modelling Friday 10.12.2010    13:40 - 15:20
Chair: Laurent Calvet Organizer: Laurent Calvet
  C286:   C. Ntantamis
  Day-varying weights in mixtures of stochastic volatility diffusion processes
  C364:   F. Benhmad, A. Peguin-Feissolle
  The oil price-dollar link : A wavelet based approach
  C765:   P. Donati
  Monetary policy effectiveness in times of crisis: Evidence from the Euro area money market
  C465:   M. Fearnley, L. Calvet, A. Fisher, M. Leippold
  Equity skew and the Markov-switching multifractal: estimation and option pricing
Session CS30 Room: MAL B34
Copulas in financial econometrics: recent developments Friday 10.12.2010    13:40 - 15:20
Chair: Dick van Dijk Organizer: Dick van Dijk
  C205:   H. Manner, J. Segers
  Tails of correlation mixtures of elliptical copulas
  C477:   O. Sokolinskiy, C. Diks, V. Panchenko, D. van Dijk
  Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
  C487:   N. Thomaidis, E. Roumpis
  Measuring asymmetric tail dependences between the returns on equity style portfolios
  C724:   K. Jacobs
  Is the potential for international diversification disappearing?
Session CS43 Room: MAL B30
Nonlinear modelling in macroeconomics Friday 10.12.2010    13:40 - 15:20
Chair: Costas Milas Organizer: Costas Milas
  C141:   C. Savva, K. Neanidis
  Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7
  C539:   E. Pavlidis, I. Paya, D. Peel
  Real exchange rates and consumption: A nonlinear perspective
  C295:   T. Panagiotidis, T. Dergiades
  Global CO2 and temperature over the last five centuries: Change in persistence and cointegration
  C207:   C. Milas, R. Naraidoo
  ECB policy and financial stability
Session CS53 Room: MAL B20
Financial time series Friday 10.12.2010    13:40 - 15:20
Chair: Mike So Organizer: Mike So
  C162:   T. Ando, R. Tsay
  Bayesian panel data analysis for exploring the impact of recent financial crisis on the U.S stock market
  C191:   M. Asai, M. So
  Stochastic covariance models
  C276:   C. Wong
  On a Student t-mixture autoregressive conditional heteroscedastic model
  C172:   H. Wong, X. Zhang
  On a class of GARCH-M models
Session CS56 Room: MAL B18
Nonparametric volatility estimation Friday 10.12.2010    13:40 - 15:20
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C330:   A. Lunde, K. Sheppard, N. Shephard
  Composite loss and realised kernels
  C862:   J. Schmidt-Hieber, M. Hoffmann, A. Munk
  Nonparametric spot volatility estimation in microstructure noise models
  C518:   K. Christensen, M. Podolskij, R. Oomen
  Jumps at ultra high frequency
  C254:   B. Federico, R. Reno
  Nonparametric stochastic volatility
  C292:   S. Sanfelici, A. Uboldi
  Assessing the quality of volatility estimators via option pricing
Session CS58 Room: MAL G16
Continuous time asset pricing models Friday 10.12.2010    13:40 - 15:20
Chair: Leopold Soegner Organizer: Leopold Soegner
  C246:   J. Sass
  Continuous time Markov switching models: Estimation and discretization
  C504:   C. Wagner, L. Sarno, P. Schneider
  The expectations hypothesis and properties of bond risk premia
  C406:   M. Jaskowski
  Dynamic estimation of implied recovery rates from CDS spreads
  C322:   L. Soegner
  Bayesian parameter estimation and identification in affine term structure models
Session CS77 Room: MAL 351
Risk management Friday 10.12.2010    13:40 - 15:20
Chair: Ronald Hochreiter Organizer: Daniel Kuhn, Berc Rustem, Nicos Christofides
  C368:   M. Kapsos, D. Kuhn, B. Rustem
  Worst-case Omega ratio
  C684:   F. Locker
  Mean-variance hedging in a Levy-Ito framework
  C675:   M. Kukuk, M. Roennberg
  Corporate credit default models: a mixed logit approach
  C819:   E. Mathiesen
  A proof system for pricing securities
Session CP02 Room: IoE Crush Hall
Posters II Friday 10.12.2010    13:40 - 15:20
Chair: Panayiotis Andreou Organizer: CFE
  C796:   C. Floros, S. Degiannakis
  Evaluate the one-trading-day-ahead predictive ability of intra-day models for the CAC40 realized volatility
  C533:   B. Bedowska-Sojka
  Interdependence of CAC40, DAX30 and WIG20 - evidence from intraday data
  C870:   M. Iannino
  Stocks splits and herding
  C253:   E. Panopoulou, T. Pantelidis
  The forecasting performance of regime-switching models of speculative behaviour for exchange rates
  C220:   T. Dimpfl
  On the impossibility of cointegration of international financial markets
  C711:   J. Gorka
  Sign RCA GARCH models in modeling Polish financial time series.
  C622:   B. da Veiga, A. Nandialath
  Heterogeneity and strategic choices: The case of stock repurchases
  C140:   S. Lepaul
  World steam coal model mixing fundamental and statistic modeling
  C767:   S. Bonini, G. Caivano
  Survival analysis approach in Basel2 credit risk management: modelling danger rates in loss given default parameter
Parallel session D: Friday 10.12.2010 15:50 - 17:05

Session CS21 Room: MAL B20
Bayesian econometrics Friday 10.12.2010    15:50 - 17:05
Chair: Cathy Chen Organizer: Cathy Chen
  C323:   M. So, K. Chan
  Forecasting tail risk in financial time series using a mixture of distribution approach
  C259:   R. Gerlach, Q. Chen
  Forecasting risk via nonlinear models and the two-sided Weibull distribution
  C421:   J. Lau, E. Cripps
  Bayesian hierarchical non-parametric mixture of dynamic GARCH models
Session CS34 Room: MAL 538
Pricing and hedging in incomplete markets Friday 10.12.2010    15:50 - 17:05
Chair: Dominique Guegan Organizer: Dominique Guegan
  C223:   D. Guegan, C. Chorro, F. Ielpo
  Option pricing GARCH-type models with generalized hyperbolic innovations
  C447:   L. Stentoft, J. Rombouts
  Multivariate option pricing with time varying volatility and correlations
  C497:   M. Frunza, D. Guegan
  Semi-static hedging strategies in incomplete markets. An application for carbon allowances
Session CS44 Room: MAL 532
Forecasting the equity premium: methods and new results Friday 10.12.2010    15:50 - 17:05
Chair: Marcelo Medeiros Organizer: Marcelo Medeiros
  C243:   E. Hillebrand
  Mean reversion expectations and the 1987 stock market crash: An empirical investigation
  C311:   A. Veiga, C. Epprecht
  Evaluating the predictability of stock market returns via STARX-Tree models
  C414:   A. Passos
  Multi-factor model selection for predicting cross-sectional variation in stock returns
Session CS45 Room: MAL 151
Multivariate unobserved components models Friday 10.12.2010    15:50 - 17:05
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  C610:   C. Garcia-Martos, J. Rodriguez, M. Sanchez
  Extracting common and specific components from the vector of prices in several European power markets
  C681:   F. Moauro
  Deriving a euro area monthly indicator of employment: a real time comparison of alternative model-based approaches
  C685:   G. Mazzi, C. Frale, S. Grassi, M. Marcellino, T. Proietti
  Euromind: a Euro area monthly indicator of economic activity
Session CS48 Room: MAL B29
Bootstrap methods in finance Friday 10.12.2010    15:50 - 17:05
Chair: John Nankervis Organizer: John Nankervis
  C263:   G. Menardi, F. Lisi
  Evaluating performance measures stability
  C653:   C. Swanepoel, L. Boshoff
  Boosting, bagging and bragging applied to nonparametric regression - an empirical approach
  C579:   M. Marzano, J. Coakley, J. Nankervis
  Calendar anomalies and data snooping in European stock market indices
Session CS54 Room: MAL B18
Modelling and causality Friday 10.12.2010    15:50 - 17:05
Chair: Marco Reale Organizer: Marco Reale
  C649:   H. Zhang, J. Dufour, J. Galbraith
  Commodity price--exchange rate causality in daily and intra-day data
  C719:   G. Chavez, D. Zerkle, B. Key, D. Shevitz
  Relating confidence to information uncertainty in qualitative reasoning
  C727:   M. Reale, W. Rea, L. Oxley, C. Price
  Do long memory time series suffer amnesia?
Session CS62 Room: MAL G16
Financial data mining Friday 10.12.2010    15:50 - 17:05
Chair: Philip Yu Organizer: Philip Yu
  C244:   K. Lam, H. Ding, T. Mak
  Conditional jump patterns mining using bidirectional Hebbian clustering and sorting
  C627:   P. Cerchiello, P. Giudici
  Measuring reputational risk
  C277:   P. Yu, L. Shen
  Mining optimal technical chart patterns with genetic algorithms
Session CS64 Room: MAL B34
Heavy-tailed financial econometrics Friday 10.12.2010    15:50 - 17:05
Chair: David Veredas Organizer: David Veredas
  C897:   M. Fernandes, W. Distaso, F. Zikes
  Tailing tail risk in the hedge fund industry
  C385:   E. Ruiz, A. Carnero, D. Pena
  Estimating GARCH volatility in the presence of outliers
  C389:   D. Schell, J. Beran
  Spline-based tail index estimation
  C512:   Y. Swan, M. Hallin, T. Verdebout, D. Veredas
  Rank based testing and estimation in the general linear model with stable errors
Session CS65 Room: MAL B30
Bayesian methods in econometric and financial applications Friday 10.12.2010    15:50 - 17:05
Chair: Ioannis Vrontos Organizer: Ioannis Vrontos
  C209:   S. Anyfantaki, A. Demos
  Estimation of time-varying GARCH-M models
  C366:   S. Potter, D. Gefang, G. Koop
  The dynamics of US and UK inflation expectations
  C541:   D. Gefang, G. Koop, S. Potter
  Understanding liquidity and credit risks in the financial crisis
Session CS23 Room: MAL 541
Bayesian methods in macroeconomics and finance I Friday 10.12.2010    15:50 - 17:05
Chair: Alessia Paccagnini Organizer: Andrea Carriero
  C420:   C. Baumeister, L. Benati
  Unconventional monetary policy and the great recession
  C615:   A. Paccagnini
  Model validation in the DSGE approach: A comparison
  C676:   C. Cakmakli, D. van Dijk, R. Paap
  Modeling and estimation of the synchronization in multivariate regime-switching models
Session CP03 Room: IoE Crush Hall
Posters III Friday 10.12.2010    15:50 - 19:00
Chair: Christos Savva Organizer: CFE
  C499:   L. Vacha, J. Barunik
  Comovement of energy commodities revisited: Evidence from wavelet coherence analysis
  C363:   F. Peter
  Measuring information flows between financial markets using transfer entropy
  C488:   D. Preve, Y. Tse
  Estimation of time varying adjusted PIN and PSOS using high-frequency transaction data
  C755:   M. Smid
  The model of the best quotes (bid and ask) with endogenous limit order books: a verification by HF data
  C269:   A. Garcia Sipols, A. Alonso, S. Quintas, C. Simon de Blas
  A single index model procedure for interpolation intervals
  C517:   M. Vosvrda, J. Barunik, L. Vacha
  Monte Carlo-based tail exponent estimator
  C725:   I. Saroka, D. Fantazzini
  Stochastic volatility option pricing with use of copula functions
  C236:   Z. Wang, J. Nankervis, X. Liu
  An approach to optimize credit portfolio
  C177:   P. Chaitip, A. Chaitip, C. Chaiboonsri
  The Value-at-Risk (VaR) of South East Asian countries: forecasting long memory in extreme value estimators.
Parallel session F: Saturday 11.12.2010 08:40 - 10:45

Session CS11 Room: MAL B20
Financial time series modelling and forecasting I Saturday 11.12.2010    08:40 - 10:45
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  C255:   G. Storti, A. Amendola
  A non-parametric procedure for combining high dimensional multivariate volatility forecasts
  C543:   P. Zuccolotto, G. De Luca
  Extreme events in financial time series: a heuristic procedure for multivariate asset selection
  C544:   C. Brownlees
  On the relation between firm characteristics and volatility dynamics with an application to the 2007-2009 financial crisis
  C293:   W. Distaso
  Disentangling memory from cycles
  C686:   A. Palandri
Session CS49 Room: MAL B30
Bayesian econometrics and applications I: Application in finance Saturday 11.12.2010    08:40 - 10:45
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  C155:   R. Tunaru
  Contingent claims valuation for low frequency data with Knightian uncertainty
  C343:   U. Makov, S. Bar-Lev, Y. Awad
  Extensions of the Lee-Carter model for mortality projections
  C527:   J. Bruha
  A model of credit retail premia
  C403:   K. McAlinn, T. Nakatsuma
  Screening massive numbers of funds: Parallel computing and Bayesian methods in finance
  C621:   K. Oya
  Bayesian estimation of probability of informed trading
Session CS82 Room: MAL 355
Microeconometrics Saturday 11.12.2010    08:40 - 10:45
Chair: Ana-Maria Fuertes Organizer: CFE
  C117:   J. Murteira, E. Ramalho, J. Ramalho
  A new class of conditional mean tests for binary regression models
  C492:   N. Basturk, L. Hoogerheide, H. van Dijk
  Measuring returns to education: Bayesian analysis using weak or invalid instrumental variables
  C154:   E. Ramalho, J. Ramalho, P. Henriques
  Fractional regression models for second stage DEA efficiency analyses
  C318:   R. Sollis
  Value at Risk from probability forecasts
Session CS52 Room: MAL G16
Quantitative risk management I Saturday 11.12.2010    08:40 - 10:45
Chair: Marc Paolella Organizer: Marc Paolella
  C093:   M. Paolella
  Multivariate asset return prediction with mixture models
  C095:   M. Putintseva
  Mixture dynamic conditional correlation model
  C100:   J. Krause, S. Broda, M. Haas, M. Paolella, S. Steude
  Stable mixture GARCH models
  C291:   I. Casas, N. Aslanidis
  Modelling asset conditional correlations during the recent financial crisis
  C737:   T. Takada, T. Kitajima
  Phase classification by support vector machine
Session CS60 Room: MAL B33
Nonlinear financial econometric models Saturday 11.12.2010    08:40 - 10:45
Chair: Elias Tzavalis Organizer: Elias Tzavalis
  C432:   J. Pitarakis, J. Gonzalo
  Regime specific predictability in predictive regressions
  C795:   Y. Dendramis, G. Kapetanios, E. Tzavalis
  Stochastic volatility driven by large shocks
  C523:   M. Rockinger, J. Lahaye, E. Jondeau
  High-frequency jump filtering in a microstructure model
  C272:   D. Ronchetti, P. Gagliardini
  Semi-parametric estimation of American option prices
  C148:   P. Andreou
  A volatility smirk that defaults: The case of the S\&P 500 index options
Session CS70 Room: MAL B34
Computational econometrics with R Saturday 11.12.2010    08:40 - 10:45
Chair: Achim Zeileis Organizer: Achim Zeileis
  C108:   J. Kim, I. Fraser, R. Hyndman
  Improved interval estimation of long run response from a dynamic linear model
  C430:   J. Reynaerts, R. Varadhan, J. Nash
  The convergence properties of the BLP (1995) contraction mapping and alternative nonlinear algorithms in R
  C508:   A. Perez-Alonso, M. Rynko, C. Weiss
  A comparison of semiparametric estimators for the binary choice model
  C570:   C. Kleiber
  Some computational aspects of count data regression
Session CS87 Room: MAL 151
Computational econometrics and data analysis Saturday 11.12.2010    08:40 - 10:45
Chair: Paolo Foschi Organizer: CFE
  C267:   Y. Murasawa
  Measuring inflation expectations using interval-coded data
  C325:   R. Wagenvoort, J. Hinloopen, C. van Marrewijk
  A K-sample homogeneity test based on the quantification of the p-p plot: the harmonic weighted mass index
  C805:   A. Bhattacharjee, S. Bandyopadhyay, S. Chatterjee
  Causality and club convergence: A nonparametric framework for cross-country analysis
  C258:   A. Santos, A. Veiga
  Tree-structured vector autoregressive model with smooth transition - STVAR-tree
  C882:   G. Fruet Dias, G. Kapetanios
  Forecasting medium and large datasets with vector autoregressive moving average (VARMA) models
Session CS73 Room: MAL B29
Topics in time series and panel data econometrics Saturday 11.12.2010    08:40 - 10:45
Chair: Martin Wagner Organizer: Martin Wagner
  C587:   G. Phillips, J. Kiviet
  Improved variance estimation of coefficients in stable first-order dynamic regression models
  C222:   J. Mutl, J. Hlouskova
  Panel autoregressive models with cross-sectional dependence
  C261:   R. Kunst, M. Costantini
  On the usefulness of the Diebold-Mariano test in the selection of prediction models: Some Monte Carlo evidence
  C505:   L. Gadea, J. Carrion i Silvestre
  Bounds, breaks and unit root tests
  C165:   M. Wagner, T. Vogelsang
  Estimating cointegrating relationships: A tuning parameter free approach
Parallel session G: Saturday 11.12.2010 11:10 - 12:50

Session CI98 Room: Senate Beveridge Hall
Invited Session: Recent developments in econometrics Saturday 11.12.2010    11:10 - 12:50
Chair: Elias Tzavalis Organizer: Michael McAleer
  C069:   H. van Dijk, L. Hoogerheide
  Bayes procedures for optimal measurement of policy effects and risk
  C081:   P. Franses, D. Fok
  Testing earnings management
  C706:   C. Kuan, T. Lin
  Constructing general smooth tests based on the Karhunen-Loeve expansion
Session CS18 Room: MAL B34
Risk modelling for financial derivatives Saturday 11.12.2010    11:10 - 12:50
Chair: Felix Chan Organizer: Felix Chan
  C257:   M. Friedlander
  Numerical Weather Forecasting For Weather Derivatives
  C617:   F. Ng, P. Yu
  Valuation and Risk Analysis of Accumulators with Mean Reversion
  C816:   F. Bocart, C. Hafner
  Econometric analysis of volatile art markets
  C070:   F. Chan, A. James
  Forecast combinations of risk under different forecast criteria
Session CS25 Room: MAL B20
Non-stationary time series Saturday 11.12.2010    11:10 - 12:50
Chair: H. Peter Boswijk Organizer: H. Peter Boswijk
  C238:   R. Taylor, G. Cavaliere, C. Trenkler
  Bootstrap co-integration rank testing: deterministic variables and initial values
  C402:   J. Gonzalo, V. Berenguer-Rico
  Summability of stochastic processes: A generalization of integration and co-integration valid for non-linear processes
  C866:   A. Rahbek, G. Cavaliere, R. Taylor
  Bootstrap sequential determination of the co-integration rank in VAR models
  C405:   P. Boswijk, G. Cavaliere, A. Rahbek, R. Taylor
  Inference on parameters in cointegrated vector autoregressive models with non-stationary volatility
Session CS39 Room: MAL B29
Instrument selection Saturday 11.12.2010    11:10 - 12:50
Chair: Jan F. Kiviet Organizer: Jan F. Kiviet
  C424:   J. Dufour, F. Doko Tchatoka
  Exogeneity tests, weak identification and IV estimation
  C588:   J. Niemczyk
  Evaluating the performance of tests of overidentifying restrictions
  C092:   F. Doko Tchatoka, J. Dufour
  Wald-type tests for error-regressors covariances, partial exogeneity tests and partial IV estimation
  C173:   M. Pleus, J. Kiviet
  The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
Session CS63 Room: MAL B30
Independent component analysis Saturday 11.12.2010    11:10 - 12:50
Chair: David Veredas Organizer: David Veredas
  C339:   D. Paindaveine, P. Ilmonen, K. Nordhausen, H. Oja
  Rank-based inference in independent component models
  C496:   Y. Dominicy, D. Veredas
  Estimation of multivariate stable processes with discrete spectral measure.
  C534:   M. Barigozzi, L. Alessi
  Conditionally heteroskedastic dynamic factor models
  C733:   E. Gonzalez-Prieto, A. Garcia-Ferrer, D. Pena
  A conditionally heteroskedastic independent factor model with an application to financial stock returns
Session CS68 Room: MAL G16
New developments on GARCH models I Saturday 11.12.2010    11:10 - 12:50
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C203:   G. Lepage, C. Francq, J. Zakoian
  Two-stage QML estimation of GARCH models and testing the efficiency
  C638:   G. Sucarrat, A. Escribano
  The power log-GARCH model
  C192:   F. Violante, C. Hafner, S. Laurent
  The diffusion limit of dynamic conditional correlation models
  C705:   O. Wintenberger, J. Bardet, W. Knenge
  Detecting multiple change-points in GARCH models using penalized quasi-likelihood method
Session CS42 Room: MAL B33
Economic and financial forecasting II Saturday 11.12.2010    11:10 - 12:50
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C557:   R. Chen, J. Svec, M. Peat
  Modelling government bonds in the Australian fixed-income market
  C503:   C. de Peretti, M. Cerrato, C. Siani
  An artificial neural network based heterogeneous panel unit root test: Application to exchange rates
  C495:   T. Cesaroni, O. Ricchi, G. Bianchi
  Modelling and forecasting Italian state budget expenditures
  C232:   A. Fuertes, K. Phylaktis, R. Brun-Aguerre
  Exchange rate pass-through revisited: what drives it.
Parallel session I: Saturday 11.12.2010 15:15 - 16:55

Session CS51 Room: MAL B33
Bayesian econometrics and applications II: Econometrics Saturday 11.12.2010    15:15 - 16:55
Chair: Toshiaki Watanabe Organizer: Yasuhiro Omori
  C770:   O. Papaspiliopoulos, N. Chopin, P. Jacob
  Sequential detection of changes
  C237:   G. Kobayashi, H. Kozumi
  Generalized multiple-point algorithms for approximate Bayesian computation
  C308:   S. Grassi, T. Proietti
  Characterizing economic trends by Bayesian stochastic model specification search
  C601:   T. Watanabe
  A new method for the evaluation of dynamic stochastic general equilibrium models
Session CS16 Room: MAL B29
Bayesian model averaging Saturday 11.12.2010    15:15 - 16:55
Chair: Gianni Amisano Organizer: Monica Billio
  C379:   R. Casarin, M. Billio, F. Ravazzolo, H. van Dijk
  Combining predictive densities using a Bayesian nonlinear filtering approach
  C387:   F. Ravazzolo, O. Eitrheim, S. Vahey
  Core inflation, model averaging and structural instability
  C820:   G. Amisano, J. Geweke
  Optimal prediction pools in macroeconomics
  C522:   R. Scheufele
  Model selection versus model averaging for forecasting economic time series
Session CS22 Room: MAL B34
Bayesian methods in macroeconomics and finance II Saturday 11.12.2010    15:15 - 16:55
Chair: Andrea Carriero Organizer: Andrea Carriero
  C826:   H. Mumtaz, P. Liu
  Evolving macroeconomic dynamics in a small open economy
  C294:   G. Koop
  Forecasting with medium and large Bayesian VARs
  C720:   L. Melosi, C. Fuentes-Albero
  Methods for computing marginal data densities from the Gibbs output
  C885:   A. Carriero, T. Clark, M. Marcellino
  QUEB-VARs: QUick and Easy Bayesian VARs
Session CS36 Room: MAL 151
Behavioural finance I Saturday 11.12.2010    15:15 - 16:55
Chair: Gulnur Muradoglu Organizer: Gulnur Muradoglu
  C250:   R. Fairchild
  Venture capitalist/entrepreneur financial contracting and performance: the effects of positive and negative reciprocity
  C548:   R. Hudson, J. Ashton, R. Anderson
  Decision avoidance and deposit interest rate setting
  C225:   C. Morana, N. Cassola
  The 2007-? financial crisis: a money market perspective
  C863:   P. Theodossiou
  Outliers, market portfolio risk and the estimation of betas and other risk measures for stocks
Session CS40 Room: MAL B20
Short panel data models Saturday 11.12.2010    15:15 - 16:55
Chair: Jan F. Kiviet Organizer: Jan F. Kiviet
  C316:   T. Yamagata
  Bootstrap bias-correction in dynamic linear panel data models with predetermined regressors
  C483:   G. Dhaene, M. Giahi
  Bias adjustment of the profile score for spatial dynamic panel models with fixed effects and small T
  C143:   J. Kiviet, M. Bun
  Derivation and exploitation of the limiting distribution of the LSDV estimator in dynamic panel data models
  C451:   J. van den Brakel, S. Krieg
  Dealing with discontinuities in series of the monthly Dutch labour force
Session CS66 Room: MAL B30
Dynamic factor modelling and forecasting Saturday 11.12.2010    15:15 - 16:55
Chair: Arvid Raknerud Organizer: Peter Zadrozny
  C198:   D. Philip
  Estimation of factors for term structures with dependence clusters
  C593:   P. Poncela, J. Rodriguez, J. Fuentes
  A comparison of sparse methods for factor forecasting
  C611:   L. Alessi
  The real effects of financial shocks: evidence from a structural factor model
  C657:   R. Brueggemann, J. Zeng
  Forecasting Euro-area macroeconomic variables using a factor model approach for backdating
  C860:   A. Raknerud, O. Skare
  Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes: A quasi-likelihood approach
Session CS79 Room: Senate Beveridge Hall
Numerical methods in quantitative finance Saturday 11.12.2010    15:15 - 16:55
Chair: Daniel Kuhn Organizer: Daniel Kuhn, Berc Rustem, Nicos Christofides
  C833:   P. Vayanos, W. Wiesemann, D. Kuhn
  Hedging electricity swing options in incomplete markets
  C287:   H. Xu, Y. Liu
  Stability and sensitivity analysis of stochastic programs with second order dominance constraints
  C535:   M. Steinbach
  Parallel algorithms for multistage stochastic programs in finance
  C630:   R. Hochreiter
  Multi-stage stochastic interest rate management
Session CP04 Room: Senate Crush Hall
Posters IV Saturday 11.12.2010    15:15 - 16:55
Chair: Nicos Koussis Organizer: CFE
  C683:   E. Gaygisiz, P. Ozbek
  Effects of economic crises after 1990 on the Turkish insurance sector
  C845:   F. de Mello-Sampayo, S. de Sousa-Vale
  Health care expenditure and income in the European countries: Evidence from panel data
  C446:   A. Yurko
  From consumer incomes to car ages: How the distribution of income affects the distribution of vehicle vintages
  C252:   W. Panichkitkosolkul, S. Niwitpong
  Prediction intervals for the Gaussian autoregressive processes following the unit root tests
  C818:   V. Kvedaras, D. Zuokas
  Measurement of market impact functions
  C865:   P. Chirico
  Empirical evidences about hourly electricity prices in some European markets
  C898:   S. Aboura
  Disentangling crashes from tail events
  C526:   R. Fernandez Pascual, M. Ruiz Medina
  Wavelet-based functional confidence intervals for contaminated financial data
Parallel session J: Saturday 11.12.2010 17:20 - 19:25

Session CI96 Room: Senate Beveridge Hall
Invited Session: Models for large multivariate systems Saturday 11.12.2010    17:20 - 19:25
Chair: Esther Ruiz Organizer: Esther Ruiz
  C348:   D. Veredas, Y. Dominicy, H. Ogata
  Quantile-based inference for multivariate dynamic models
  C423:   D. van Dijk, K. Bannouh, M. Martens, R. Oomen
  Realized mixed-frequency factor models for vast dimensional covariance estimation
  C670:   S. Koopman, B. Jungbacker, M. van der Wel
  Smooth dynamic factor analysis with an application to U.S. term structure of interest rates
Session CS20 Room: MAL 151
Empirical modelling of financial markets Saturday 11.12.2010    17:20 - 19:25
Chair: Stephen Kessler Organizer: Andrea Cipollini
  C213:   C. Castro
  Portfolio choice under local industry and country factors
  C126:   B. Stove, K. Hufthammer, D. Tjostheim
  Asymmetries in financial returns: A local Gaussian correlation approach
  C204:   S. Kessler, B. Scherer
  Hedge fund return sensitivity to global liquidity
  C124:   D. Erdemlioglu, H. Dewachter, J. Gnabo, C. Lecourt
  High frequency jump-response of asset prices to FX announcements and oral interventions
Session CS26 Room: MAL 355
Financial modeling Saturday 11.12.2010    17:20 - 19:25
Chair: Jerry Coakley Organizer: Jerry Coakley
  C825:   R. Yau
  Separating the effects of idiosyncratic volatility and skewness on expected returns
  C296:   Y. Hu
  The volatility asymmetry risk and expected returns
  C781:   N. Ahlgren, J. Antell
  Tests for abnormal returns under weak cross sectional dependence
  C680:   B. Cheng, Z. Chen, J. Liu
  Chance-constrained financial index tracking models under GH distribution
  C695:   H. Dang, G. Partington
  Rating migrations:The effect of history and time
Session CS88 Room: MAL B29
Contributions to computational econometrics Saturday 11.12.2010    17:20 - 19:25
Chair: Paolo Foschi Organizer: CFE
  C229:   M. Creel, D. Kristensen
  Indirect likelihood inference
  C560:   M. Scharth, S. Koopman, A. Lucas
  Fast, unbiased and efficient importance sampling for state space models
  C744:   R. Ouysse
  Efficient estimation of high dimensional factor models under cross sectional dependence
  C867:   S. Hadjiantoni, E. Kontoghiorghes
  Downdating the seemingly unrelated regressions model
  C215:   A. Dionisio, C. Pires, L. Coelho
  Estimating utility functions - GME versus OLS
Session CS41 Room: MAL B20
Financial volatility estimation and forecasting II Saturday 11.12.2010    17:20 - 19:25
Chair: Francesco Audrino Organizer: Francesco Audrino
  C251:   D. Louzis, S. Xanthopoulos, A. Refenes
  Heterogeneous asymmetries and persistence in the volatility of realized volatility
  C262:   F. Corsi, R. Reno
  Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling
  C264:   P. Santucci de Magistris, M. Caporin, E. Rossi
  Estimating conditional jumps in volatility using realized-range measures
  C501:   J. Barunik, L. Vacha
  Wavelet-based realized variance estimator
  C279:   M. Fengler, M. Vogt, E. Mammen
  Structural breaks in realized variance during the financial crisis
Session CS13 Room: MAL G16
Financial time series modelling and forecasting II Saturday 11.12.2010    17:20 - 19:25
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  C790:   A. Meldrum, M. Andreasen
  Likelihood inference in non-linear term structure models: The importance of the zero-lower bound
  C201:   M. Lof
  Heterogeneity in stock pricing: A STAR model with multivariate transition functions
  C660:   S. Giannerini, E. Maasoumi, E. Bee Dagum
  Entropy based tests for nonlinear dependence in time series
  C693:   N. Sakkas, A. Hall
  Approximate p-values of certain tests involving hypotheses about multiple breaks.
  C834:   J. Arroyo, G. Gonzalez-Rivera
  Interval autoregression: an application to volatility
Session CS81 Room: MAL B30
High frequency and seasonal data Saturday 11.12.2010    17:20 - 19:25
Chair: Ana Galvao Organizer: CFE
  C324:   C. Chu, K. Lam
  Day-varying structure for modeling intraday periodicity
  C558:   A. Hecq, S. Laurent
  Common intraday Periodicity
  C444:   D. Lopez Asensio, J. Juan Ruiz, J. Carpio Huertas
  Common factor estimation of dynamic models with seasonality for predicting electricity prices
  C431:   M. Modugno
  Nowcasting inflation using high frequency data
  C772:   A. Galvao, M. Clements
  Vector autoregressive models of data vintages for US output growth and inflation
Session CS67 Room: MAL B33
Quantitative risk management II Saturday 11.12.2010    17:20 - 19:25
Chair: Kerstin Kehrle Organizer: Marc Paolella
  C147:   J. Li
  An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
  C206:   A. Jakaitiene, A. Raudys, J. Katina
  Seasonal effects in liquidity of NYSE and NASDAQ stocks
  C390:   A. Opschoor, M. van der Wel, D. van Dijk, N. Taylor
  The public and private information sources of volatility
  C554:   E. Rossi, P. Santucci de Magistris
  Inference on long memory in volatility with noisy realized measures
  C094:   K. Kehrle, F. Peter
  International price discovery in stock markets - A unique intensity based information share
Parallel session K: Sunday 12.12.2010 09:00 - 10:40

Session CS29 Room: MAL 152
Multivariate volatility models II Sunday 12.12.2010    09:00 - 10:40
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  C122:   J. Pres, M. Caporin, H. Torro
  Model based monte carlo pricing of energy and temperature quanto options
  C848:   D. Pierret, L. Bauwens, C. Hafner
  Multivariate volatility modelling of electricity futures
  C564:   R. O'Neill, R. Becker, A. Clements
  A nonparametric technique for forecasting the variance-covariance matrix
  C455:   G. Aielli, M. Caporin
  Variance clustering improved dynamic conditional correlation MGARCH estimators for vast dimensional systems
Session CS28 Room: MAL B34
Risk management Sunday 12.12.2010    09:00 - 10:40
Chair: Mike So Organizer: Cathy Chen
  C478:   N. Liu
  The economic value of dynamic hedging strategies
  C748:   K. Dahlen, A. Naess, P. Solibakke, S. Westgaard
  On the estimation of extreme values for risk assessment and management: The average conditional exceedance rate method
  C304:   J. Balter, S. Kloessner
  Testing separately for positive and negative jumps
  C689:   F. Laube, V. Terraza
  The hazard-adjusted portfolio: A new capital allocation scheme from an extreme-risk management perspective
Session CS33 Room: MAL G16
Bayesian financial econometrics and risk management Sunday 12.12.2010    09:00 - 10:40
Chair: Richard Gerlach Organizer: Richard Gerlach
  C302:   C. Chen, R. Gerlach
  Nonlinear quantile autoregressive models with exogenous variables and heteroskedasticity
  C411:   A. Panagiotelis
  Bayesian estimation of pair copula construction models with applications to financial data
  C448:   J. Kwiatkowski
  Assessing the stability of conditional variance models for daily returns of the WIG index
  C888:   K. Balakrishnan, G. Peters, B. Lascock, C. Mellen
  Model selection and adaptive MCMC for Bayesian cointegrated VAR models
Session CS47 Room: MAL 151
Behavioural finance II Sunday 12.12.2010    09:00 - 10:40
Chair: Gulnur Muradoglu Organizer: Gulnur Muradoglu
  C218:   K. Vasileva, G. Muradoglu, M. Levis
  Herding in foreign direct investments
  C228:   J. Balasuriya, G. Muradoglu, P. Ayton
  The rationality of financial optimism
  C553:   U. Rigoni, M. Warglien
  Analogical transfer of experience and the misuse of diversification
  C694:   B. Ozturkkal, A. Fuertes, G. Muradoglu
  Portfolio compositions of individual investors
Session CS55 Room: MAL B33
Robustness in complex models and time series Sunday 12.12.2010    09:00 - 10:40
Chair: Marco Riani Organizer: Marco Riani
  C159:   K. Turkman
  Extremes of continuous-discrete time series
  C399:   T. Bellini
  Integrated banking economic capital: The forward search approach
  C466:   R. Romera, A. Grane
  Sensitivity and robustness in MDS configurations for mixed-type data with applications
  C887:   I. Molina, B. Perez, D. Pena
  Robust fitting of a linear mixed model
Session CS59 Room: MAL B30
Large panel data models Sunday 12.12.2010    09:25 - 10:40
Chair: Lorenzo Trapani Organizer: Lorenzo Trapani
  C552:   C. Castagnetti, E. Rossi, L. Trapani
  Two stage inference in heterogeneous panels
  C404:   C. Gengenbach, J. Urbain
  Testing weak exogoneity in cointegrated panels
  C290:   L. Trapani, E. Ipatova
  First-differenced non-stationary factors versus factors from first-differences
Session CS74 Room: MAL B36
Real-time modelling with mixed-frequency data Sunday 12.12.2010    09:00 - 10:40
Chair: Klaus Wohlrabe Organizer: Peter Zadrozny
  C211:   V. Kuzin, B. Siliverstovs
  Spurious anti-persistence and mixed-frequency data
  C691:   K. Wohlrabe
  Specification Issues for mixed-frequency MIDAS models
  C600:   L. Pauwels, A. Vasnev
  Forecast combination in discrete choice models: predicting FOMC monetary policy decisions
  C270:   F. Krueger, S. Knaus
  Macroeconomic indicators: A new way to aggregate expert forecasts using regression trees
Session CS76 Room: MAL B35
Identification and inference Sunday 12.12.2010    09:00 - 10:40
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C471:   R. Luger
  Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
  C529:   J. Galbraith, D. Zhu
  Modelling financial data with the asymmetric generalized t-distribution
  C468:   B. Antoine
  Inference on parameter ratios with applications to weak identification
  C732:   N. Kourogenis
  Inference in autoregressive models around polynomial trends of unknown order, under non-stationary volatility
Parallel session L: Sunday 12.12.2010 11:10 - 13:15

Session CS17 Room: MAL B34
Dynamic panel modelling Sunday 12.12.2010    11:10 - 13:15
Chair: Michael Binder Organizer: Michael Binder
  C768:   Y. Shin, V. Dang, M. Kim
  In search for a robust method for estimating dynamic panel data models of capital structure
  C823:   M. Binder, S. Brock
  Likelihood based panel analysis of growth models
  C669:   K. Assenmacher, D. Geissmann
  Forecasting Swiss Inflation and GDP with a small global VAR model
  C827:   M. Buchmann, M. Binder
  Endogenous regime-switching in global vector autoregressions
  C354:   K. Konstantaras, C. Siriopoulos
  Estimating financial distress likelihood: gaining additional insight via a dynamic nonlinear approach
Session CS84 Room: MAL 151
The econometrics of commodity and financial markets Sunday 12.12.2010    11:10 - 13:15
Chair: David Ardia Organizer: CFE
  C184:   V. Voudouris, D. Stasinopoulos, R. Rigby
  Simulated scenarios of conventional oil production
  C377:   H. Kim
  Dynamic causal linkages between the east Asian economies and the US stock market
  C754:   M. van der Wel, A. Menkveld, A. Sarkar
  Are market makers uninformed and passive? Signing Ttrades in the absence of quotes
  C133:   F. Ferriani
  Informed and uninformed traders at work: evidence from the French market
Session CS38 Room: MAL B30
Modelling and forecasting financial markets Sunday 12.12.2010    11:10 - 13:15
Chair: Alena Audzeyeva Organizer: Elena Kalotychou
  C200:   M. Doman, R. Doman
  Dynamic linkages between stock markets: the effects of crises and globalization
  C480:   V. Alexeev, F. Tapon
  Robust risk-return analysis of international portfolios
  C175:   W. Liu, A. Fuertes, E. Kalotychou
  Predicting the daily covariance matrix for market timing
  C624:   G. Zhao, E. Kalotychou, S. Staikouras
  The Dynamics of Correlations in Asset Allocation
  C831:   A. Antypas, P. Koundouri, N. Kourogenis
  Aggregational Gaussianity and barely infinite variance in crop prices
Session CS80 Room: MAL G16
Macroeconometric applications Sunday 12.12.2010    11:10 - 13:15
Chair: Ana-Maria Fuertes Organizer: CFE
  C156:   R. Chumacero
  Lagoons and lakes: Macroeconomic effects of the Chilean pension reform
  C285:   M. Luciani, M. Barigozzi, A. Conti
  Measuring Euro Area monetary policy transmission in a structural dynamic factor model
  C106:   M. Fragetta
  A data oriented tool for identifying monetary policy SVARs
  C573:   J. Lafuente, R. Perez, J. Ruiz
  Estimating persistent and transitory monetary shocks in a learning environment
  C646:   P. Exterkate, P. Groenen, C. Heij
  Macroeconomic forecasting using kernel ridge regression
Session CS85 Room: MAL 355
Contributions to finance I Sunday 12.12.2010    11:10 - 13:15
Chair: Marc Paolella Organizer: CFE
  C217:   M. Caldas, J. Amaro de Matos
  Endogenous dynamics of financial markets
  C305:   S. Masry, M. Aloud, A. Dupuis, R. Olsen, E. Tsang
  High frequency FOREX market transaction data handling
  C519:   N. Koussis, S. Martzoukos
  Investment options with debt financing and differential beliefs
  C594:   L. Maciel, R. Ballini
  Option pricing using fuzzy and neuro-fuzzy inference systems
  C697:   Y. Schueler, A. Alter
  On credit risk transfer between states and financial institutions before and after government interventions
Session CS72 Room: MAL B36
Empirical modelling of financial intermediaries Sunday 12.12.2010    11:10 - 13:15
Chair: Costanza Torricelli Organizer: Andrea Cipollini
  C142:   S. Varotto
  Stress testing credit risk: The great depression scenario
  C875:   P. Jakubik
  Stress testing Czech households
  C158:   C. Torricelli, C. Pederzoli, G. Thoma
  Modelling credit risk for innovative firms: the role of innovation measures
  C183:   M. Lopez, F. Tenjo, H. Zarate
  The risk-taking channel in Colombia
Session CS75 Room: MAL B35
Resource econometrics Sunday 12.12.2010    11:10 - 13:15
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C333:   M. Gavin, L. Khalaf, J. Bernard, M. Voia
  The environmental Kuznets curve
  C435:   N. Empora, T. Mamuneas, T. Stengos
  Air pollution, spillovers and U.S. state productivity
  C561:   P. Richard
  Kernel-smoothed P-values
  C606:   J. Kakeu
  Estimation of the Hotelling rule for oil and for coal under stochastic investment opportunities
  C730:   A. Ghalanos, G. Urga, E. Rossi
  Independent factor autoregressive conditional density model
Session CS78 Room: MAL B33
Computational econometrics and financial time series Sunday 12.12.2010    11:10 - 13:15
Chair: Alessandra Amendola Organizer: Alessandra Amendola, Ana-Maria Fuertes, Marc Paolella, Herman K. Van Dijk
  C641:   J. Maheu, X. Jin
  Modelling realized covariances and returns
  C484:   L. Cales, M. Billio, D. Guegan
  A machine learning approach to cross-section analysis and asset management
  C851:   A. Clark
  Analyzing and forecasting volatility using wavelets and nonlinear time series analysis
  C372:   H. Ding, K. Lam
  Semiparametrically estimate vector Multiplicative Error Model using empirical likelihood method
Parallel session N: Sunday 12.12.2010 14:45 - 16:25

Session CS24 Room: MAL 152
MCMC applications in finance Sunday 12.12.2010    14:45 - 16:25
Chair: Giovanni Barone-Adesi Organizer: Giovanni Barone-Adesi and Antonietta Mira
  C367:   P. Dellaportas, L. Bottolo
  Improving ARMA-GARCH forecasting via partial exchangeability
  C650:   L. Scaccia, R. Castellano
  Markov switching models and time series clustering applied to the CDS market
  C787:   R. Solgi, A. Mira, D. Imparato
  Zero variance Markov chain Monte Carlo for Bayesian estimators
  C883:   F. Papailias, G. Kapetanios
  Block bootstrap and long memory
Session CS27 Room: MAL 151
Multivariate volatility models I Sunday 12.12.2010    14:45 - 16:25
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  C096:   M. Caporin, M. McAleer
  Ranking multivariate GARCH models by problem dimension
  C234:   P. Janus
  Modeling long memory in conditional variance and dependence through dynamic bivariate t copula
  C714:   C. Amado, T. Terasvirta
  Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
  C516:   B. Gribisch, R. Liesenfeld, V. Golosnoy
  The conditional autoregressive wishart model for multivariate stock market volatility
Session CS32 Room: MAL B35
Economic and financial forecasting I Sunday 12.12.2010    14:45 - 16:25
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C181:   N. Sizova
  Long-horizon return regressions with historical volatility
  C371:   A. Audzeyeva, B. Summers, K. Schenk-Hoppe
  Forecasting customer behaviour in a multi-service financial organisation: A profitability perspective
  C131:   E. Konstantinidi, G. Papazian, G. Skiadopoulos
  Modeling the dynamics of temperature with a view to weather derivatives
  C890:   A. Kourtis, R. Markellos, G. Dotsis
  Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix
Session CS46 Room: MAL B36
Financial market and macro dynamics Sunday 12.12.2010    14:45 - 16:25
Chair: Willi Semmler Organizer: Willi Semmler
  C609:   W. Semmler, S. Mittnik
  The instability of the banking sector and macrodynamics: Theory and empirics
  C859:   J. Halvorsen, D. Jacobsen
  Are bank lending shocks important for economic fluctuations?
  C655:   M. Gallegati, J. Ramsey, W. Semmler
  Forecasting output using interest rate spreads: exploratory analysis using wavelets
  C734:   M. Samancioglu, E. Gaygisiz
  Business cycle synchronization and volatility transmission: The real-financial sector nexus
Session CS69 Room: MAL G16
New developments on GARCH models II Sunday 12.12.2010    14:45 - 16:25
Chair: Dimitra Kyriakopoulou Organizer: Jean-Michel Zakoian
  C620:   P. Charlot
  A dynamic conditional correlation model with factorial hidden Markov representation
  C344:   A. Dufays, L. Bauwens
  Comparison of Markov switching GARCH modellings
  C190:   H. Han
  Asymptotic properties of GARCH-X processes
  C300:   D. Kyriakopoulou, A. Demos
  Asymptotic expansions of the QMLEs in the EGARCH(1,1) model
Session CS71 Room: MAL B30
Econometrics of electricity markets Sunday 12.12.2010    14:45 - 16:25
Chair: Luigi Grossi Organizer: Luigi Grossi
  C233:   A. Veraart, O. Barndorff-Nielsen, F. Benth
  Modelling electricity forward markets by ambit fields
  C437:   D. Chen, D. Bunn
  Nonlinear specifications and forecasting of daily electricity prices
  C454:   M. Pelagatti, L. Crosato
  Forecasting the residual demand function in electricity auctions
  C574:   L. Grossi, A. Gianfreda
  Forecasting zonal and national volatility structures of the Italian electricity wholesale market
Session CS61 Room: MAL B33
Bayesian econometrics and applications III Sunday 12.12.2010    14:45 - 16:25
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  C306:   T. Nakatsuma
  Bayesian risk assessment with threshold mixture extreme value models
  C202:   J. Nakajima, T. Kunihama, Y. Omori, S. Fruhwirth-Schnatter
  Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
  C189:   E. Delatola, J. Griffin
  Bayesian Semiparametric Modelling of Volatility
  C513:   M. Ausin, P. Galeano, P. Ghosh
  A Semiparametric Bayesian approach to the analysis of volatilities and value at risk in financial time series
Parallel session P: Sunday 12.12.2010 17:20 - 19:00

Session CS90 Room: MAL 151
Empirical validation of Agent-Based models Sunday 12.12.2010    17:20 - 19:00
Chair: Moritz Mueller Organizer: Thomas Lux
  C307:   M. Mueller, M. Konig, C. Pich, S. von Proff
  Growing networks of inventors: Time trends of local and global partner search strategies
Session CS83 Room: MAL B36
Model selection and Bayesian econometrics Sunday 12.12.2010    17:20 - 19:00
Chair: Alessandra Amendola Organizer: CFE
  C808:   M. Restaino, A. Amendola, L. Sensini
  Variable selection in industry sector bankruptcy prediction
  C569:   L. Gatarek, H. van Dijk, L. Hoogerheide
  A simulation-based Bayes' procedure for robust prediction of trading strategies
  C525:   G. Kastner, S. Fruhwirth-Schnatter
  Efficient Bayesian inference for stochastic volatility models
  C245:   O. Asemota, S. Chikayoshi
  Kalman filter and structural change: An application to time-varying import and export models
Session CS89 Room: MAL B30
Contributions to financial econometrics Sunday 12.12.2010    17:20 - 19:00
Chair: Christos Savva Organizer: CFE
  C384:   N. Bailey, G. Kapetanios
  A summary statistic for cross-sectional dependence in large datasets
  C457:   B. Koo
  Locally stationary diffusion processes with structural breaks
  C235:   Y. Liao, H. Anderson
  Testing for co-jumps in a panel of high frequency financial data: an extreme-value based approach
  C869:   A. Atak
  A factor approach to realized volatility and market microstructure noise
Session CS86 Room: MAL B29
Contributions to finance II Sunday 12.12.2010    17:20 - 19:00
Chair: Jochen Krause Organizer: CFE
  C745:   H. Suenaga
  Measuring misspecification bias in term structure models of commodity prices
  C509:   R. Chappe, W. Semmler
  The operation of hedge funds and regulatory reforms
  C361:   A. Sanayei, F. Rahnamay Roodposhti, T. Torabi
  Financial crisis and chaos control
  C726:   D. Ulu
  Exchange rate exposure of UK nonfinancial companies : a quantile regression approach