5th CSDA International Conference on
Computational and Financial Econometrics (CFE'11)
17-19 December 2011, Senate House, University of London, UK



Keynote talk1 Saturday 17.12.2011 09:00 - 09:50 Room: Beveridge
Dynamic models for volatility and heavy tails
Speaker: A. Harvey   Co-authors: Chair: Herman Van Dijk
Keynote talk2 Sunday 18.12.2011 09:45 - 10:35 Room: Beveridge
Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
Speaker: D. van Dijk  Co-authors: C. Diks, V. Panchenko, O. Sokolinskiy Chair: Tommaso Proietti
Keynote talk3 Monday 19.12.2011 18:05 - 18:55 Room: Beveridge
Parametric inference on strong dependence
Speaker: P. Robinson   Co-authors: Chair: Stephen Pollock


Parallel session C: Saturday 17.12.2011 10:25 - 12:30

Session CSI01 Room: Woburn
Time series econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Andrew Harvey Organizer: CFE 2011
  C493:   S. Pollock, E. Mise
  Alternative methods of seasonal adjustment
  C175:   E. Ruiz, P. Poncela
  On the issue of how many variables to use when estimating common factors using the Kalman filter
  C787:   T. Proietti, A. Luati
  Exponential models for the spectrum of a time series
Session CS08 Room: Torrington
Energy markets, climate change and weather derivatives Saturday 17.12.2011    10:25 - 12:30
Chair: M. Dolores Furio Organizer: Massimiliano Caporin and M. Dolores Furio
  C457:   M. Herve-Mignucci, B. Buchner, V. Micale
  Allocating allowances for free in emissions markets: Implications for new industrial installations
  C436:   D. Rittler
  The link between the carbon market and the stock market: A policy evaluation of the EU-ETS
  C907:   M. Eichler, D. Turk
  Forecasting spike occurrences in electricity spot prices
  C902:   V. Mendes, D. Aldea Mendes
  Characterization and prediction of the electricity demand in the Iberian peninsula by using nonlinear time series analysis
  C840:   M. Renault, J. Froger, I. Parent, V. Dordonnat
  Error correction models for electricity future prices in Europe
Session CS12 Room: Senate
Bayesian nonlinear econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Roberto Casarin Organizer: Roberto Casarin
  C214:   F. Ravazzolo, M. Billio, R. Casarin, H. van Dijk
  Aggregating forecast probabilities for turning point detection
  C233:   D. Bianchi, C. Carvalho, R. Wessels
  Extending Black-Litterman: views and covariance uncertainty
  C344:   L. Dalla Valle, R. Casarin, F. Leisen
  Model selection for beta autoregressive processes
  C513:   G. Amisano, G. Fagan
  Money growth and inflation: a regime switching approach
Session CS17 Room: Bedford
Forecasting financial markets Saturday 17.12.2011    10:25 - 12:30
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C050:   M. Sanso-Navarro, J. Olmo
  A nonparametric analysis of predictive hedge fund performance using stochastic dominance tests
  C051:   E. Salvador, V. Arago
  Measuring the hedging effectiveness of European index futures contracts
  C283:   K. Sirichand, S. Hall, K. Lee
  The economic value of stock and interest rate predictability in the UK
  C304:   S. Plastira, E. Panopoulou
  Fama French factors and US stock return predictability
  C959:   C. Baum, P. Zerilli
  The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads
Session CS32 Room: S264
Behavioural finance Saturday 17.12.2011    10:25 - 12:30
Chair: Robert Hudson Organizer: Gulnur Muradoglu
  C035:   R. Fairchild
  From behavioural to emotional corporate finance: a new research direction
  C038:   R. Hudson, J. Ashton
  The price, quality and distribution of mortgage payment protection insurance: A hedonic pricing approach
  C669:   K. Vasileva, G. Muradoglu, M. Levis
  Probability of attracting FDI flows
  C693:   J. Balasuriya, G. Muradoglu, P. Ayton
  Optimism and portfolio choice
  C870:   M. Iannino
  Price impact of stock splits and dispersion of beliefs
Session CS34 Room: Jessel
Quantitative risk management I Saturday 17.12.2011    10:25 - 12:30
Chair: Simon Broda Organizer: Marc Paolella
  C235:   M. Putintseva, S. Anatolyev
  A decisionmetrics approach to portfolio allocation
  C406:   P. Polak, M. Paolella
  MARC-MARS: Modeling asset returns via conditional multivariate asymmetric regime-switching
  C303:   J. Krause, M. Paolella
  Augmented likelihood estimation for mixture models
  C400:   K. Kehrle
  Trading activity and public news arrival
  C285:   S. Broda
  Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
Session CS52 Room: Bloomsbury
Vast dimensional financial econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: David Veredas Organizer: David Veredas
  C061:   M. Barigozzi, G. Motta
  Common volatility in evolutionary panels
  C080:   M. Luciani, D. Veredas
  Modeling vast panels of volatilities with long-memory dynamic factor models
  C253:   L. Ricci, D. Veredas
  TailCor: A new measure of tail correlation for vast dimensional panels of asset returns
  C515:   J. Barunik, L. Vacha
  Wavelet-based realized covariation theory
  C771:   H. Manner, A. Carlos, C. Claudia
  Modelling high dimensional time-varying dependence using D-vine SCAR models
Session CS68 Room: Court
Recent advances in bond pricing Saturday 17.12.2011    10:25 - 12:30
Chair: Florian Ielpo Organizer: Fulvio Pegoraro
  C027:   J. Renne, A. Monfort
  Credit and liquidity risks in euro-area sovereign yield curves
  C037:   J. Fontaine
  Fed funds futures and the federal reserve
  C081:   S. Dubecq, C. Gourieroux
  An analysis of ultra long term yields
  C039:   V. Borgy, T. Laubach, J. Mesonnier, J. Renne
  Fiscal policy, default risk and euro area sovereign bond spreads
  C153:   F. Ielpo
  Forward rates, monetary policy and the economic cycle
Session CS56 Room: Gordon
Computational methods in applied econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Christopher F. Parmeter Organizer: CFE 2011
  C082:   O. Zhylyevskyy, S. Khovansky
  Cross-sectional GMM estimation under a common data shock
  C760:   E. Dugundji, L. Gulyas
  Sociodynamic discrete choice on spatial networks: Role of utility parameters and connectivity in emergent outcomes
  C714:   I. Savin
  A comparative study of the Lasso-type and heuristic model selection methods
  C456:   M. Packalen
  Identification and estimation of social interactions through variation in equilibrium influence
  C187:   C. Parmeter, D. Henderson, C. Papageorgiou
  Who benefits from financial development: new methods, new evidence
Session CP02 Room: Chancellor's
Poster session II Saturday 17.12.2011    10:25 - 12:30
Chair: Christodoulos Louca Organizer: CFE 2011
  C634:   J. Carkovs
  Mean square analysis of delayed geometric Brownian motion
  C631:   M. Chadwick
  Performance of Bayesian dynamic latent factor model in measuring pricing errors and forecasting returns
  C698:   K. Sadurskis, M. Buikis, J. Carkovs
  On price stochastic equilibrium of adaptive single-component market
  C719:   B. Guan, G. Li, W. Li
  Modelling and testing threshold moving-average processes
  C899:   D. Aldea Mendes, V. Mendes
  A nonlinear factor analysis for large sets of macroeconomic time series
  C855:   M. Avarucci, E. Beutner, P. Zaffaroni
  On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
  C923:   N. Kajiji, G. Dash
  Statistical methods to measure the efficiency of alternative multifactor single index portfolios
  C637:   P. Jablonsky
  Testing the expectations hypothesis of the Czech term structure of interest rates
Session CS95 Room: S261
Financial econometrics I Saturday 17.12.2011    10:25 - 12:30
Chair: Kameliya Filipova Organizer: CFE 2011
  C805:   A. Demos, S. Anyfantaki
  Estimation of an EGARCH(1,1)-AR(1)-M model
  C717:   J. Fernandez-Macho
  Stochastic surface models for commodity futures: A 2D Kalman filter approach
  C773:   L. Alessi, L. Onorante
  Assessing shocks to inflation expectations in a data rich environment
  C487:   H. Asgharian, W. Hess, L. Liu
  A spatial analysis of international stock market linkages
  C707:   K. Filipova
  Yield curve predictability, regimes, and macroeconomic information: An asset pricing approach
Session CP01 Room: Chancellor's
Posters session I Saturday 17.12.2011    10:25 - 12:30
Chair: Christodoulos Louca Organizer: CFE 2011
  C490:   A. Dong, G. Peters, M. Wuthrich, J. Chan
  Adaptive MCMC for non-life insurance reserving via paid-incurred claims models
  C423:   J. Acedanski
  Asset pricing in DSGE models - comparison of different approximation methods
  C518:   M. Ciemny, L. Jakaite, V. Schetinin
  Study of the informational efficiency of Warsaw stock exchange during 2007-2009 with machine learning
  C558:   E. Ramalho, J. Ramalho
  On the estimation of exponential regression models: an integrated GMM approach
  C567:   J. Ramalho, E. Ramalho
  Hedonic functions, hedonic methods, estimation methods and Dutot and Jevons house price indexes
  C597:   M. Ansari, M. Haghighi, M. Zowghi
  Customers' satisfaction measurement via a flexible fuzzy clustering
  C839:   J. Ortega, J. del Castillo
  Hedging of discrete time auto-regressive stochastic volatility options
  C850:   V. Chatzikonstanti, I. Venetis
  Log-range based detection of volatility mean breaks
  C910:   J. Urbina, N. Aslanidis, O. Martinez
  Measuring spillovers: An application to the stock markets
  C964:   E. Mamatzakis
  Revealing market's animal spirits of the Euro-area sovereign debt crisis using a generalised loss function: The role of fiscal rules and fiscal institutions.
Parallel session E: Saturday 17.12.2011 14:00 - 16:05

Session CSI03 Room: Beveridge
Recent developments in econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Stefan Mittnik Organizer: CFE 2011
  C564:   M. Guidolin, A. Bernales
  Forecasting the implied volatility surface dynamics for CBOE equity options: Predictability and economic value tests
  C729:   R. Baillie, G. Kapetanios
  Estimation and inference for impulse response weights from strongly persistent processes
  C960:   H. van Dijk, P. de Knijff, L. Hoogerheide, K. van Dijk
  Simulation-based predictive analysis for 3 key 21-st century issues
Session CS04 Room: Senate
Applied financial econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Christopher Baum Organizer: Christopher Baum
  C132:   M. Normandin, M. Bouaddi, D. Larocque
  Equity premia and state-dependent risks
  C142:   F. Penaranda, E. Sentana
  A unifying approach to the empirical evaluation of asset pricing models
  C627:   M. Omer, J. de Haan, B. Scholtens
  Testing uncovered interest rate parity using libor
  C471:   A. Merika, A. Merikas
  Fitting an unobserved components model to the VLCC tanker sector
  C800:   C. Lonnbark
  Quantifying the estimation error in market risk measures: Delta method vs. re-sampling techniques
Session CS11 Room: Woburn
Modelling with heavy tails: computational issues Saturday 17.12.2011    14:00 - 16:05
Chair: Wojtek Charemza Organizer: Wojtek Charemza and Svetlana Makarova
  C098:   J. Nolan
  Computational problems for multivariate stable laws
  C230:   M. Meerschaert
  Modeling and simulation with tempered stable laws
  C295:   M. de Innocentis, S. Boyarchenko, S. Levendorskii
  Fast calculation of PDFs of multi-factor Levy processes with exponentially decaying tails
  C378:   S. Makarova, W. Charemza, C. Francq, J. Zakoian
  Heavy tailed time series: estimation and numerical issues for dependent observations
  C777:   C. Lau, C. Gabriel
  On the distribution of European sovereign bond returns: Empirical evidence
Session CS19 Room: Court
Long term risks Saturday 17.12.2011    14:00 - 16:05
Chair: Dominique Guegan Organizer: Dominique Guegan
  C762:   W. Tarrant
  Historical risk measures as predictors on several markets
  C514:   G. Rahoui , D. Guegan, B. Hassani
  Coherent risk measure in the long run, an operational risk application
  C512:   B. Hassani, D. Guegan, G. Rahoui
  Operational risk: a long-term modeling
  C511:   F. Jouad, D. Guegan
  Market risk aggregation using pair-copulas
  C313:   D. Guegan, X. Zhao
  Alternative modeling for long term VaR
Session CS37 Room: Bloomsbury
Trends, waves, seasons, cycles and signals Saturday 17.12.2011    14:00 - 16:05
Chair: Stephen Pollock Organizer: Stephen Pollock
  C280:   R. Chou, N. Huang, D. Li
  Time-varying trend of financial volatilities and its correlation with macroeconomic variables
  C311:   E. Infante, D. Buono
  New innovative 3-way Anova a-priori test for direct vs. indirect approach in seasonal adjustment
  C663:   A. Zhigljavsky
  Singular spectrum analysis for separating trends from seasons and cycles
  C854:   R. Gatto, G. Mazzi
  Short time series and seasonal adjustment
  C837:   F. Moauro, T. Proietti
  SUTSE models and multivariate seasonal adjustment
Session CS39 Room: Jessel
Real-time density forecasting Saturday 17.12.2011    14:00 - 16:05
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  C192:   R. Casarin
  Combinations for turning point forecasts
  C201:   C. Kascha, F. Ravazzolo
  Testing for equal conditional predictive ability of real-time density forecast methods
  C326:   A. Monticini, F. Ravazzolo
  Boostrapping forecast densities
  C418:   K. Aastveit, K. Gerdrup, A. Jore, L. Thorsrud
  Nowcasting GDP in real-time: A density combination approach
  C542:   L. Onorante, D. Giannone, M. Lenza, D. Momferatou
  Short-Term inflation projections: A Bayesian vector autoregressive approach
Session CS54 Room: Torrington
Topics in time series and panel data econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Martin Wagner Organizer: Martin Wagner
  C506:   I. Masten, A. Banerjee, M. Marcellino
  Factor-augmented error-correction model: Structural analysis and forecasting
  C277:   R. Kunst, M. Costantini, U. Gunter
  Forecast combination based on multiple encompassing tests in a macroeconomic DSGE-VAR system
  C526:   J. Mutl, L. Soegner
  Correlation of implied default risk
  C248:   M. Wagner, T. Vogelsang
  A fixed-b perspective on the Phillips-Perron tests
Session CS93 Room: S264
Econometric modelling and applications I Saturday 17.12.2011    14:00 - 16:05
Chair: Giuseppe Storti Organizer: CFE 2011
  C623:   B. de Bruijn, P. Franses
  Analyzing managers' sales forecasts
  C656:   C. Morana
  Factor vector autoregressive estimation of heteroskedastic persistent and non persistent processes subject to structural breaks
  C889:   R. Ruggeri Cannata, G. Mazzi, F. Moauro
  Recent advances of econometrics tools for policy analysis at Eurostat
  C806:   S. Arvanitis, A. Demos
  A new class of indirect estimators and bias correction
  C832:   I. Negri, Y. Nishiyama
  Test for change in the parameters of a diffusion process based on a discrete time sample
Session CS25 Room: Gordon
Contributions to high frequency data modeling Saturday 17.12.2011    14:00 - 16:05
Chair: Massimiliano Caporin Organizer: CFE 2011
  C336:   P. Paiardini, D. Karyampas
  Probability of informed trading and volatility for an ETF
  C708:   B. Bedowska-Sojka
  Macroeconomic news effects on the stock markets
  C716:   D. Erdemlioglu, S. Laurent, C. Neely
  Intraday periodicity and intraday Levy-type jump detection
  C746:   L. Vacha, J. Barunik, M. Vosvrda
  Wavelet decomposition of stock market correlation using high-frequency data
  C920:   D. Dobrev, T. Andersen, E. Schaumburg
  A functional filtering and neighborhood truncation approach to integrated quarticity estimation
Session CS15 Room: S261
Contributions in modelling and forecasting financial risk Saturday 17.12.2011    14:00 - 16:05
Chair: Michele La Rocca Organizer: CFE 2011
  C232:   J. Balter
  Forecasting volatility and jumps based on OHLC-data
  C585:   C. Wu, W. Chen
  Conditional heteroskedasticity and dependence structure in crude oil and US dollar markets
  C621:   H. Holzmann, M. Eulert
  The role of the information set for forecasting - with applications to risk management
  C677:   E. Brechmann, C. Czado
  Financial risk management using high-dimensional vine copulas
  C822:   R. Schuessler
  Optimal superposition policies for futures investments
Session CS16 Room: Bedford
Quantitative risk management II Saturday 17.12.2011    14:00 - 16:05
Chair: Simon Broda Organizer: Marc Paolella
  C459:   D. Phamhi
  A new time-based quantitative model for risk management
  C685:   M. Kukuk, V. Bayer
  Operational risk modelling: The impact of the Peaks-over-Threshold approach on risk measures
  C826:   S. Figini, L. Cutillo, A. Carissimo
  Outliers detection in credit risk multivariate data via rank aggregation
  C429:   S. Steude, K. Kehrle, M. Paolella
  Realized news impact curves
  C421:   S. Dumitrescu, M. Acatrinei, P. Caraiani, R. Lupu
  Model averaging for risk management in European stock markets
Parallel session F: Saturday 17.12.2011 16:35 - 18:40

Session CS97 Room: B18
Financial econometrics III Saturday 17.12.2011    16:35 - 18:40
Chair: Willi Semmler Organizer: CFE 2011
  C025:   N. Ben David
  Predicting housing prices according to expected future interest rate
  C640:   D. Buncic
  Some issues with exponential STAR models for the modelling of exchange rate regimes
  C670:   M. Oztek, N. Ocal
  The origins of increasing trend in correlations among European stock markets: Evidence from smooth transition conditional correlation approach
  C930:   A. Momparler, F. Climent
  The impact of scale effects on the prevailing Internet-based banking model in the US
  C952:   F. Fei, A. Fuertes, E. Kalotychou
  Modelling dynamic dependencies between CDS and the equity market with regime switching copulas
Session CS26 Room: B34
Bayesian empirical macroeconomics Saturday 17.12.2011    16:35 - 18:40
Chair: Gary Koop Organizer: Gary Koop
  C058:   Y. Song, J. Maheu
  An efficient approach to estimate and forecast in the presence of an unknown number of change-points
  C883:   J. Halvorsen, M. Zdenek
  Exchange rate risk premium, monetary policy and new Keynesian models
  C348:   D. Korobilis, J. Chan
  Bayesian financial conditions indexes
  C413:   L. Bencivelli, M. Marcellino, G. Moretti
  Selecting predictors by Bayesian model averaging in bridge models
  C259:   G. Koop, M. Belmonte, D. Korobilis
  Hierarchical shrinkage in time-varying parameter models
Session CS28 Room: B35
Probabilistic forecasting Saturday 17.12.2011    16:35 - 18:40
Chair: Gael M. Martin Organizer: Gael M. Martin
  C243:   J. Geweke, G. Durham
  Improving asset price prediction when all models are false
  C105:   T. Gneiting, R. Ranjan
  Combining predictive distributions
  C251:   K. Wallis, G. Boero, J. Smith
  Properties of professional forecasters' probability forecasts
  C757:   M. Furio, F. Climent
  Extreme value theory versus traditional GARCH approaches applied to financial data: A comparative evaluation
  C094:   G. Martin, J. Ng, C. Forbes, B. McCabe
  Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Session CS35 Room: B36
Modeling and inference on asset price bubbles Saturday 17.12.2011    16:35 - 18:40
Chair: Ivan Paya Organizer: Ivan Paya
  C675:   T. Engsted, B. Nielsen
  Rational bubbles in US stock prices: A co-explosive vector autoregressive approach
  C284:   T. Jang, T. Lux
  Identification of social interaction effects in financial data: inference of herd behavior via Monte Carlo simulations
  C553:   J. Bialkowski, M. Bohl, P. Stephan , T. Wisniewski
  A possible speculative bubble in the price of gold
  C275:   I. Paya, E. Pavlidis, D. Peel
  Testing for asset price bubbles: the role of fat tails and endogeneity
Session CS40 Room: B33
Dynamic modelling of realized covariance matrices Saturday 17.12.2011    16:35 - 18:40
Chair: Giuseppe Storti Organizer: Giuseppe Storti and Luc Bauwens
  C095:   B. Gribisch, V. Golosnoy, R. Liesenfeld
  Measuring volatility transmission between the US and German stock markets
  C145:   F. Corsi, F. Audrino, S. Peluso
  A Kalman filter with EM approach for multivariate realized covariance estimation
  C177:   R. Halbleib, V. Voev
  Forecasting covariance matrices: A mixed frequency approach
  C954:   K. Sheppard, N. Shephard, A. Lunde
  Econometric analysis of vast covariance matrices using composite realized kernels
  C171:   G. Storti, L. Bauwens
  CAW-DCC: A dynamic model for vast realized covariance matrices
Session CS55 Room: G16
Contributions in financial market and the macroeconomy Saturday 17.12.2011    16:35 - 18:40
Chair: Ana-Maria Fuertes Organizer: CFE 2011
  C042:   A. Waters, J. Chadha
  Quantitative easing and bond yields: results from a macro-finance yield curve
  C647:   B. Erdogan, K. Bernoth
  Sovereign bond yield spreads: A time-varying coefficient approach
  C699:   C. Mueller-Kademann
  Volatility at very high frequencies: New estimates, new interpretations
  C871:   P. Keblowski, A. Welfe
  A risk-driven approach to exchange-rate modelling
  C816:   T. Katzschner, R. Jung
  Regulatory impact on price discovery in fragmented markets: the case of short selling constraints
Session CS76 Room: B20
Contributions in time series econometrics I Saturday 17.12.2011    16:35 - 18:40
Chair: Alessandra Amendola Organizer: CFE 2011
  C620:   P. Catani, N. Ahlgren
  Wild bootstrap tests for autocorrelation in vector autoregressive models
  C469:   H. Karlsen
  Unit root Markov models
  C732:   T. Pantelidis, E. Panopoulou
  The Fisher effect in the presence of time-varying coefficients
  C799:   J. Afonso Rodriguez
  On testing for a bilinear unit root in financial time series
  C788:   S. Liu, E. Maharaj
  Polarization of forecast densities: A new approach to time series classification
Parallel session I: Sunday 18.12.2011 11:05 - 12:45

Session CSI02 Room: Beveridge
Bayesian econometrics Sunday 18.12.2011    11:05 - 12:45
Chair: Gary Koop Organizer: CFE 2011
  C219:   S. Fruehwirth-Schnatter
  Bayesian regularization in latent variable models through shrinkage priors
  C227:   M. Steel, E. Ley
  Mixtures of $g-$priors for Bayesian model averaging with economic applications
  C427:   J. Geweke
  Massively parallel posterior simulation for Bayesian inference
Session CS03 Room: B34
Large swings in macroeconomic time series Sunday 18.12.2011    11:05 - 12:45
Chair: Evi Pappa Organizer: Stephane Auray and Aurelien Eyquem
  C040:   D. Giannone, M. Lenza, G. Primicer
  Prior selection for vector autoregressions
  C062:   M. Paustian, A. Barnett
  Do sticky information models match survey data of inflation expectations?
  C074:   S. Auray, A. Eyquem, F. Jouneau-Sion
  Riots, battles and cycles
  C024:   E. Pappa, M. Bruckner
  For an olive wreath: Olympic Games and anticipation effects in macroeconomics
Session CS14 Room: B33
Empirical modelling of financial fragility Sunday 18.12.2011    11:05 - 12:45
Chair: Andrea Cipolini Organizer: Andrea Cipolini
  C031:   N. Aslanidis, C. Christiansen
  Quantiles of the realized stock-bond correlation
  C129:   I. lo Cascio
  Wavelet analysis of financial contagion
  C128:   S. Muzzioli
  Variance swaps, corridor variance swaps and the variance risk premium: evidence from the Italian market
  C396:   A. Cipollini, I. lo Cascio
  Wavelet analysis of asset price misalignments
Session CS45 Room: G16
Univariate and multivariate volatility models Sunday 18.12.2011    11:05 - 12:45
Chair: Christos Savva Organizer: Christos Savva
  C052:   O. Martinez, N. Aslanidis
  A multiple threshold conditional correlation GARCH model
  C093:   N. Pavlidis, E. Pavlidis
  Dynamic GARCH models
  C102:   N. Koch
  Co-movements between carbon, energy and financial markets: A multivariate GARCH approach
  C414:   C. Savva, P. Theodossiou
  Skewness and the relationship between risk and return
Session CS46 Room: B35
Financial market and the macroeconomy Sunday 18.12.2011    11:05 - 12:45
Chair: Willi Semmler Organizer: Willi Semmler
  C384:   M. Gallegati, J. Ramsey
  On the forward-looking content of equity and bond markets for aggregate investments: a wavelet analysis
  C813:   E. Ernst
  Employment projections with a matching-model Phillips curve
  C544:   H. Dewachter, L. Iania, M. Lyrio
  Information in the yield curve: A macro-finance approach
  C541:   W. Semmler, S. Mittnik
  Estimating a banking - macro model for the EU using a multi-regime VAR
Session CS53 Room: B36
Bayesian methods in econometric and financial applications Sunday 18.12.2011    11:05 - 12:45
Chair: Ioannis Vrontos Organizer: Ioannis Vrontos
  C606:   L. Meligkotsidou, E. Panopoulou, I. Vrontos, S. Vrontos
  A quantile regression approach to out-of sample equity premium prediction in the presence of model uncertainty
  C625:   S. Vrontos, J. Vrontos, L. Meligkotsidou
  Performance evaluation of pension funds: The impact of non-normality and time-varying volatility
  C644:   D. Giannikis, L. Meligkotsidou , I. Vrontos
  Multivariate regressions: An alternative modelling approach
  C908:   I. Vrontos, L. Meligkotsidou, E. Tzavalis
  Bayesian analysis of autoregressive models with multiple structural breaks
Session CS61 Room: B18
Long memory time series models Sunday 18.12.2011    11:05 - 12:45
Chair: Anne Philippe * Organizer: Anne Philippe
  C472:   F. Lavancier, R. Leipus, A. Philippe, D. Surgailis
  Detection of non constant long-memory parameter
  C561:   L. Giraitis, K. Abadir, W. Distaso
  Seasonal modeling by SARFIMA and near unit root models
  C085:   J. Arteche
  Semiparametric estimation of the volatility in long memory in stochastic volatility models
  C682:   A. Rackauskas
  Linear processes with space varying memory
Session CS64 Room: B20
Efficient MCMC algorithms for Bayesian financial econometric models Sunday 18.12.2011    11:05 - 12:45
Chair: Nicolas Chopin Organizer: Antonietta Mira
  C500:   S. Peluso, F. Corsi, A. Mira
  A Bayesian estimator of the multivariate covariance of noisy and asynchronous returns
  C624:   G. Kastner, S. Fruehwirth-Schnatter
  Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
  C903:   N. Chopin, P. Jacob, O. Papaspiliopoulos
  $SMC^2$: A sequential Monte Carlo algorithm with particle Markov chain Monte Carlo updates
Parallel session J: Sunday 18.12.2011 14:15 - 16:20

Session CS07 Room: B33
Advances in computational methods for DSGE models Sunday 18.12.2011    14:15 - 16:20
Chair: Filippo Ferroni Organizer: Fabio Canova
  C026:   C. Matthes, T. Cogley, A. Sbordone
  Optimal disinflation under learning
  C087:   F. Ferroni, C. Cantore, M. Leon-Ledesma
  Interpreting the hours-technology time varying relationship
  C111:   E. Castelnuovo, G. Ascari , N. Branzoli
  Trend inflation, wage indexation and determinacy in the U.S.
  C130:   A. Ormeno
  Using survey data on inflation expectations in the estimation of learning and rational expectations models
Session CS38 Room: B36
Signal extraction and forecasting Sunday 18.12.2011    14:15 - 16:20
Chair: Pilar Poncela Organizer: Pilar Poncela
  C189:   A. Garcia-Ferrer, M. Bujosa, A. de Juan
  Coincident and leading indicators using factor linear dynamic harmonic regression models
  C190:   D. Delle Monache, A. Harvey
  Specification and misspecification of models for measuring the output gap.
  C261:   C. Cuerpo, P. Poncela
  Forecasting with multivariate models
  C481:   E. Gonzalez-Prieto, A. Garcia-Ferrer, D. Pena
  Blind source separation for non-Gaussian time series using higher-order statistics
  C582:   C. Croux, S. Gelper
  Time series least angle regression for selecting predictive economic sentiment series
Session CS42 Room: G16
Dynamic correlation models Sunday 18.12.2011    14:15 - 16:20
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  C364:   P. Fryzlewicz, R. von Sachs
  Locally constant modelling of multivariate volatilities via unbalanced Haar wavelets
  C462:   F. Javed
  Volatility spillover in EU markets using DCC-MIDAS
  C257:   A. Dufays, L. Bauwens, J. Rombouts
  Multivariate Markov-Switching and change-point GARCH models
  C609:   K. Boudt, J. Cornelissen, C. Croux
  Jump robust daily covariance estimation by disentangling variance and correlation components
  C255:   F. Audrino
  Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
Session CS50 Room: B34
Bayesian model averaging in econometrics Sunday 18.12.2011    14:15 - 16:20
Chair: Mark Steel Organizer: Mark Steel
  C097:   J. Crespo Cuaresma, P. Hofmarcher, B. Gruen
  Fishing economic growth determinants using Bayesian elastic nets
  C115:   E. Moral-Benito
  Dynamic panels with predetermined regressors: likelihood-based estimation and Bayesian averaging with an application to cross-country growth
  C209:   C. Christofides , T. Eicher, C. Papageorgiou
  Assessing early warning indicators of economic crises
  C359:   M. Feldkircher, S. Zeugner
  Growth determinants, data revisions and supermodels
  C435:   S. Karlsson, S. Ding
  Model averaging and variable selection in VAR-models
Session CS63 Room: B35
Computational and econometric methods in derivatives applications Sunday 18.12.2011    14:15 - 16:20
Chair: Panayiotis Andreou Organizer: Panayiotis Andreou
  C260:   J. Kuo, Y. Shi
  Market efficiency, information flows and hedging performance in European and US carbon markets
  C408:   P. Meier, F. Audrino
  Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines or trees
  C416:   A. Kagkadis, P. Andreou, D. Philip
  Investor sentiments, rational beliefs and option prices
  C530:   P. Andreou
  A volatility smirk that defaults: The case of the S\&P 500 index options
  C617:   D. Ronchetti
  An empirical study of stock and American option prices
Session CS69 Room: B20
Measuring systemic risk Sunday 18.12.2011    14:15 - 16:20
Chair: Monica Billio Organizer: Monica Billio
  C075:   D. Veredas, M. Dungey, M. Luciani
  Wrapping it up: Risk exposures, spillovers, contagion and systemic risk
  C122:   B. Schwaab, S. Koopman, A. Lucas
  Systemic risk diagnostics: coincident indicators and early warning signals
  C320:   S. Darolles, J. Emmanuelle, D. Patrick
  $l^q$-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis
  C448:   M. Kremer, D. Hollo, M. Lo Duca
  CISS - A composite indicator of systemic stress in the financial system
  C489:   M. Billio, L. Frattarolo, L. Pelizzon
  Network analysis: Contagion and systemic risk
Session CS92 Room: B18
Financial econometrics II Sunday 18.12.2011    14:15 - 16:20
Chair: Lorenzo Trapani Organizer: CFE 2011
  C049:   S. Novak
  Measures of financial risk
  C652:   J. Gorka
  Option pricing under Sign RCA-GARCH models - A comparative study
  C390:   M. Doan, H. Mitchell, R. Heaney
  A test of the efficiency of asset returns in the four-moment framework: An international study
  C594:   L. Trapani
  Testing for (In)Finite Moments
Session CP03 Room: Chancellor's
Posters session III Sunday 18.12.2011    14:15 - 16:20
Chair: Cristian Gatu Organizer: CFE 2011
  C694:   O. Awe
  An econometric analysis of selected economic indicators in Nigeria: A vector autoregressive (VAR) modeling approach
  C700:   F. Rosa-Gonzalez, E. Gonzalez-Davila
  Estimation and sensitivity analysis of business efficiency under free distribution methodology.
  C756:   A. Polymenis
  Bootstrap techniques for estimating the number of components in mixture analyses
  C782:   M. Barunikova, J. Barunik
  Information content of various realized volatility and jump estimators on the model-free implied volatility
  C797:   K. Osiewalski, J. Osiewalski
  Missing observations in volatility contagion analysis. Bayesian approach using the MSV-MGARCH framework
  C888:   R. Corradini
  Advanced estimates of regional accounts: A mixed approach nesting spatial errors into State Space Models
  C918:   A. Mabrouk, M. Elsherif
  Monetary policy and inflation targeting in Egypt: An empirical study
  C919:   A. De Waal, R. Van Eyden
  The monetary transmission mechanism in South Africa: A VECM augmented with foreign variables
  C968:   F. Venmans
  Capital market response to emission allowance prices: a multivariate GARCH approach
Parallel session K: Sunday 18.12.2011 16:50 - 18:30

Session CS01 Room: Bloomsbury
Modelling multivariate financial time series Sunday 18.12.2011    16:50 - 18:30
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  C107:   C. Brownlees, D. Kristensen, Y. Shin
  Smooth filtering and likelihood inference in dynamic latent variables models
  C164:   G. Sucarrat, J. Marin
  Financial density selection
  C199:   N. Loperfido, C. Franceschini
  Modelling predictive asymmetry in multivariate financial time series
  C540:   G. Calzolari, G. Aielli, G. Fiorentini
  Fast indirect estimation of latent factor models with conditional heteroskedasticity
Session CS24 Room: Woburn
Bayesian empirical macroeconomics Sunday 18.12.2011    16:50 - 18:30
Chair: Gary Koop Organizer: Gary Koop
  C453:   M. Jochmann, F. Casalin
  Robust modeling of IPO market cycles using a regime switching model with an unknown number of regimes
  C507:   A. Garratt, J. Mitchell, S. Vahey
  Density forecasts with opinion pools and dependent models
  C587:   C. Mastromarco, U. Woitek
  Efficiency measurement in a DSGE framework
  C766:   D. Kim, Y. Yamamoto
  Time instability of the U.S. monetary system: Multiple break tests and reduced rank TVP VAR
Session CS21 Room: Jessel
Macro-finance interface Sunday 18.12.2011    16:50 - 18:30
Chair: Herman Van Dijk Organizer: Lennart Hoogerheide and Herman Van Dijk
  C586:   N. Basturk, A. Zellner, T. Ando, L. Hoogerheide, H. van Dijk
  Direct and indirect Monte Carlo for simultaneous equations, instrumental variables and errors in variables models
  C636:   H. van Dijk, L. Hoogerheide, L. Gatarek
  Bayesian factor model averaging and industry momentum strategies
  C391:   L. Krippner
  A theoretical foundation for the Nelson and Siegel class of yield curve models
  C741:   N. Mirkov
  International financial transmission of the US monetary policy: An empirical assessment
Session CS44 Room: Court
Volatility estimation and forecasting Sunday 18.12.2011    16:50 - 18:30
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C092:   F. Viens, A. Chronopoulou
  On stochastic volatility models with long-memory in discrete and continuous time
  C305:   J. Woerner
  Inference for stochastic volatility models with jumps
  C331:   A. Gloter, E. Clement
  Limit theorems in the Fourier transform method for the estimation of volatility
  C291:   M. Mancino, S. Sanfelici
  Estimation of quarticity with high frequency data
Session CS59 Room: Torrington
Volatility, heavy tails and risk Sunday 18.12.2011    16:50 - 18:30
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C096:   O. Wintenberger, S. Cai
  Parametric inference and forecasting in continuously invertible volatility models
  C335:   C. Francq, J. Zakoian
  Estimating the marginal distribution of heavy tailed time series
  C382:   G. Lepage, C. Francq, J. Zakoian
  Maximum likelihood estimator for a conditional heteroscedastic model with alpha-stable innovation
  C657:   G. Mero, S. Darolles, G. Le Fol
  Tracking illiquidities in intradaily and daily characteristics
Session CS65 Room: Gordon
Financial markets contagion Sunday 18.12.2011    16:50 - 18:30
Chair: Gaelle Le Fol Organizer: Gaelle Le Fol and Serge Darolles
  C032:   L. Wagalath, R. Cont
  Running for the exit: Distressed selling and endogenous correlation in financial markets
  C316:   J. Dudek, G. Le Fol, S. Darolles
  Liquidity contagion: A look at emerging markets
  C330:   M. Rockinger, E. Jondeau, E. Jurczenko
  Moment component analysis: An illustration with international stock markets
  C246:   P. Gagliardini, S. Darolles, C. Gourieroux
  Survival of hedge funds: Frailty vs contagion
Session CS70 Room: Bedford
Evaluating financial performances Sunday 18.12.2011    16:50 - 18:30
Chair: Bertrand Maillet Organizer: Monica Billio
  C352:   M. Costola, M. Caporin
  The dependence between performance measures and the construction of a composite performance index
  C577:   G. Jannin, M. Caporin, F. Lisi, B. Maillet
  A survey on the four families of performance measures
  C576:   B. Maillet, M. Billio, G. Jannin, L. Pelizzon
  Towards a generalized performance measure
  C697:   P. Grau-Carles, L. Doncel, J. Sainz
  Different mutual fund reward-to-risk performance measures
Parallel session L: Monday 19.12.2011 09:05 - 10:25

Session CS02 Room: Jessel
Realized volatility in applications Monday 19.12.2011    09:05 - 10:25
Chair: Francesco Audrino Organizer: Francesco Audrino
  C100:   S. Xanthopoulos, D. Louzis, A. Refenes
  Realized volatility models and alternative Value at Risk prediction strategies
  C117:   N. Fusari, F. Corsi, D. La Vecchia
  Realizing smiles: option pricing with realized volatility
  C221:   G. Velo
  Realized volatility: estimation, forecasting and option trading
Session CS81 Room: Senate
Computational econometrics and applications I Monday 19.12.2011    09:05 - 10:25
Chair: Monica Billio Organizer: CFE 2011
  C560:   A. Dubey
  Time scales, wavelet realized volatility and jump variation: An empirical investigation for India
  C679:   L. Aguiar-Conraria, M. Soares
  The continuous wavelet transform: A primer
  C776:   O. Grothe, F. Schmid, J. Schnieders, J. Segers
  Measuring association between random vectors
  C713:   F. Karame, Y. Fondeur
  Analizing if Google helps to predict French youth unemployment
Session CS98 Room: S261
Financial econometrics IV Monday 19.12.2011    09:05 - 10:25
Chair: Michael Creel Organizer: CFE 2011
  C802:   N. Kourogenis, N. Pittis
  Persistent stochastic betas and the statistical properties of stock returns
  C827:   M. Matilla-Garcia
  Nonparametric tests for selecting significant lags
  C779:   F. Bec, M. Ben Salem
  Inventory investment and french business cycles
  C629:   M. Creel
  Indirect likelihood estimation: Specification testing and model selection
Session CS48 Room: Bloomsbury
Continuous time financial models Monday 19.12.2011    09:05 - 10:25
Chair: Leopold Soegner Organizer: Leopold Soegner
  C307:   J. Pelenis, L. Soegner
  Parameter estimation of Heston type stochastic volatility models
  C353:   J. Sass
  Continuous-time hidden Markov models: robust filters, estimation and portfolio optimization
  C254:   L. Soegner
  Method of moments estimation and affine term structure models
Session CS57 Room: S264
Real-time modelling with mixed frequencies Monday 19.12.2011    09:05 - 10:25
Chair: Tommaso Proietti Organizer: CFE 2011
  C853:   S. Lui, J. Mitchell
  Nowcasting euro-area GDP growth using a mixed frequency Global VAR model
  C879:   R. Scheufele, K. Drechsel
  A comparison of bottom-up approaches and direct forecasts of German GDP in a data-rich environment
  C666:   B. Siliverstovs
  On the prediction of GDP revisions: Evidence for Switzerland
  C824:   V. Kvedaras, V. Zemlys
  Testing the functional restrictions on parameters in the MIDAS regressions
Session CS91 Room: Gordon
Computational econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Alessandra Amendola Organizer: CFE 2011
  C648:   T. Selland Kleppe, R. Liesenfeld
  Efficient high-dimensional importance sampling in mixture frameworks
  C664:   G. Weiss, M. Padberg
  Automated vine copula calibration using genetic algorithms
  C671:   M. Restaino, A. Amendola, L. Sensini
  Variable selection in competing risks model for corporate exit
  C678:   P. Richard
  Optimal and data driven smoothing for simuation-based inference
Session CS05 Room: Torrington
Contributions in multivariate financial time series Monday 19.12.2011    09:05 - 10:25
Chair: Alain Hecq Organizer: CFE 2011
  C632:   V. Berenguer-Rico, J. Gonzalo
  Co-summability: From linear to non-linear co-integration
  C686:   J. Stoeber, C. Czado
  Time varying dependence in high dimensional financial data sets
  C795:   J. Osiewalski, K. Osiewalski
  General hybrid MSV--MGARCH models of multivariate volatility - Bayesian analysis
  C774:   A. Hecq, J. Issler
  Permanent transitory decompositions under short and long-run present value model restrictions
Session CS43 Room: Bedford
Contributions in derivative pricing Monday 19.12.2011    09:05 - 10:25
Chair: Paolo Foschi Organizer: CFE 2011
  C191:   M. Fengler, L. Hin
  Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
  C736:   A. Vaello-Sebastia, U. Ansejo, A. Bergara
  Capturing skewness and kurtosis by fitting the QQ-plot: A simple approach with an application to option pricing
  C821:   C. Epprecht, M. Pereira, A. Veiga
  Option pricing via nonparametric Esscher transform
  C861:   P. Foschi
  Pricing of American options in local volatility models
Session CS66 Room: Court
Contributions to Bayesian econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Rachida Ouysse Organizer: CFE 2011
  C516:   S. Zeugner, M. Feldkircher
  Benchmark priors revisited: On adaptive shrinkage and the supermodel E ect in Bayesian model averaging
  C596:   R. Ouysse
  Bayesian moving average and principal components forecasts for large dimensional factor models
  C738:   C. Cakmakli
  Bayesian semiparametric dynamic Nelson-Siegel model
  C912:   M. Moser
  Interaction terms and restricted model spaces in Bayesian model averaging
Session CS75 Room: Woburn
Contributions in time series and panel data econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Jean-Pierre Urbain Organizer: CFE 2011
  C695:   W. Wan Yaacob, M. Lazim, B. Yap
  Individual size and time period effects on the unconditional fixed effects negative binomial regression estimator
  C750:   A. Raknerud, B. Vatne, K. Rakkestad
  How banks' funding costs affect interest margins
  C875:   G. Everaert
  A panel analysis of the Fisher effect with an unobserved I(1) world real interest rate
  C812:   J. Urbain, S. Smeekes
  On the applicability of the sieve bootstrap in time series panels
Parallel session N: Monday 19.12.2011 10:55 - 12:35

Session CSI04 Room: Beveridge
Financial time series modelling Monday 19.12.2011    10:55 - 12:35
Chair: Christian Francq Organizer: CFE 2011
  C179:   F. Drost, I. Becheri, B. Werker
  Asymptotic equivalence of continuously and discretely sampled jump-diffusion models
  C297:   J. Zakoian, C. Francq
  Testing strict stationarity in GARCH models
  C563:   A. Rahbek
  Reduced rank autoregression with volatility induced stationarity
Session CS09 Room: Court
High frequency data modeling Monday 19.12.2011    10:55 - 12:35
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin and Eduardo Rossi
  C206:   K. Wohlrabe, S. Mittnik, N. Robinzonov
  Market uncertainty and macroeconomic announcements: High-frequency evidence from the German DAX
  C272:   M. Caporin, A. Ranaldo, G. Velo
  Stylized facts and information asymmetry on high frequency precious metals spot prices
  C347:   E. Rossi, P. Santucci de Magistris
  Indirect inference for long memory stochastic volatility model with high-frequency data
  C160:   P. Santucci de Magistris, S. Grassi
  A dynamic multifactor model for high an low frequency volatility activity
Session CS18 Room: S261
Bayesian financial risk management Monday 19.12.2011    10:55 - 12:35
Chair: Richard Gerlach Organizer: Richard Gerlach
  C172:   B. Choy, N. Wichitaksorn, J. Wang, R. Gerlach
  Stochastic volatility models and quantile regression using asymmetric Laplace error distribution via uniform scale mixtures
  C220:   G. Tsiotas
  Evaluating value at risk and expected shortfall using generalised asymmetric volatility models
  C389:   G. Peters, M. Briers, P. Shevchenko, A. Doucet
  Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
  C833:   B. Hudson, R. Gerlach
  Estimating portfolio value at risk using a skew-t copula-GARCH model
Session CS20 Room: Senate
Non linearity and business cycles Monday 19.12.2011    10:55 - 12:35
Chair: Dominique Guegan Organizer: Dominique Guegan
  C370:   P. Rakotomarolahy, D. Guegan
  Variable selection for prediction purpose of real economic activity
  C517:   P. Addo, D. Guegan
  A test for a new modelling: The univariate MT-STAR model
  C368:   L. Cales, M. Billio, D. Guegan
  A rank-based approach to cross-sectional analysis
  C659:   M. Pourroy, B. Carton, D. Coulibaly
  Monetary policy, food inflation and the business cycle.
Session CS23 Room: S264
Identification-robust inference and large models Monday 19.12.2011    10:55 - 12:35
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C603:   R. Luger
  Testing for GARCH effects: An exact procedure based on quasi-likelihood ratios
  C604:   B. Antoine, O. Boldea
  Efficient inference with time-varying identification strength
  C630:   C. Yelou, J. Bernard, L. Khalaf, M. Kichian
  Exact inference with time varying parameters in linear models
  C601:   L. Khalaf, G. Kapetanios, M. Marcellino
  Factor based identification-robust inference in IV regressions
Session CS29 Room: Woburn
Modelling and forecasting financial risk Monday 19.12.2011    10:55 - 12:35
Chair: Stefan Mittnik Organizer: Michael McAleer
  C318:   K. Andres, A. Harvey
  Score-based range models
  C380:   I. Ishida, M. McAleer, K. Oya
  Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S\&P500 and VIX
  C431:   P. Araujo Santos, J. Jimenez-Martin, M. McAleer, T. Perez Amaral
  Optimal combination of risk forecasts under the Basel accord
  C790:   S. Mittnik
  Solvency II calibrations: Where curiosity meets curiosity
Session CS30 Room: Jessel
Quantitative assessment of financial stability and macro-policies Monday 19.12.2011    10:55 - 12:35
Chair: Costas Milas Organizer: Costas Milas
  C498:   A. Audzeyeva, K. Schenk-Hoppe
  The risk of default and the term-structure of sovereign yield spreads
  C286:   M. Uddin, A. Boateng, R. Naraidoo
  A forecasting analysis of the inward cross-border mergers and acquisitions in the UK: A macroeconomic perspective
  C381:   T. Sekhposyan, M. Owyang
  Stabilization effects of the Euro area monetary policy
  C084:   C. Milas, G. Legrenzi
  Debt sustainability and financial crises: Evidence from the GIIPS
Session CS33 Room: Bloomsbury
Bayesian econometrics and applications Monday 19.12.2011    10:55 - 12:35
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  C140:   J. Nakajima, M. West
  Bayesian analysis of latent threshold dynamic models
  C296:   K. McAlinn, T. Nakatsuma
  GPGPU parallel computing for Bayesian portfolio selection with massive number of assets
  C388:   S. Shirota, T. Hizu, Y. Omori
  Realized stochastic volatility with leverage and long memory
  C727:   G. Kobayashi, H. Kozumi
  Transdimensional approximate Bayesian computation for model choice
Session CS41 Room: Bedford
Derivative pricing Monday 19.12.2011    10:55 - 12:35
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  C022:   A. Taamouti, B. Feunou, J. Fontaine, R. Tedongap
  The equity premium and the maturity structure of uncertainty
  C184:   F. Violante, J. Rombouts, L. Stentoft
  Testing and evaluating dynamic correlations in terms of Dow Jones industrial average index options pricing
  C419:   L. Stentoft, J. Rombouts
  Empirical performance of GARCH option pricing models: Evidence from 139,879 individual stock options
Session CS51 Room: Gordon
Financial econometrics modelling Monday 19.12.2011    10:55 - 12:35
Chair: Elias Tzavalis Organizer: Elias Tzavalis
  C538:   M. Lof
  Noncausality and asset pricing
  C550:   C. Louca, P. Andreou, C. Savva
  Influence of market conditions on event-study: The case of merger and acquisition announcement effects
  C961:   G. Kapetanios, N. Bailey, H. Pesaran
  Exponent of cross-sectional dependence: Estimation and inference
  C193:   E. Tzavalis, L. Rompolis
  Retrieving risk neutral moments and expected quadratic variation from option prices
Session CS60 Room: Torrington
Econometrics with R Monday 19.12.2011    10:55 - 12:35
Chair: Achim Zeileis Organizer: Achim Zeileis and Christian Kleiber
  C452:   C. Lupi
  Panel covariate augmented Dickey-Fuller tests with R
  C454:   G. Piras
  More on spatial models in R: spse
  C467:   C. Kleiber
  punitroots: Infrastructure for panels with unit roots
  C480:   G. Millo
  ML estimation of spatially and serially correlated panels with random effects: an estimation framework and a software implementation
Parallel session O: Monday 19.12.2011 14:05 - 15:45

Session CS77 Room: S264
Contributions in time series econometrics II Monday 19.12.2011    14:05 - 15:45
Chair: Alessandra Luati Organizer: CFE 2011
  C581:   J. Abril, M. Abril
  Saddlepoint approximations to the distribution of the estimator of the parameter in a non-stationary AR(1) model
  C608:   K. Akdogan, M. Chadwick
  Nonlinearities in CDS-bond basis
  C649:   M. Meitz, P. Saikkonen
  Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
  C742:   E. Pavlidis, I. Paya, D. Peel
  Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study
  C725:   A. Noriega, D. Ventosa-Santaularia
  A simple test for spurious regressions
Session CS80 Room: Court
Econometric modelling and applications II Monday 19.12.2011    14:05 - 15:45
Chair: Paolo Foschi Organizer: CFE 2011
  C033:   G. Liu
  Covariance and variance transform for unimodal distribution with applications to options
  C041:   M. Bannour, Y. Fahmi, M. Slouma , S. Ben Jabeur
  Predicting corporate financial distress based on PLS discriminant analysis and neural networks technique
  C055:   J. Murteira, E. Ramalho, J. Ramalho
  Regression analysis of multivariate fractional data
  C289:   S. Wagner, S. Kloessner
  Quantifying the impact of monetary policy operations on commercial bank rates
  C939:   F. Galli, A. Cosma
  A nonparametric ACD model
Session CS94 Room: Gordon
Financial applications Monday 19.12.2011    14:05 - 15:45
Chair: Patrick Burns Organizer: CFE 2011
  C680:   L. Hass, D. Schweizer, D. Cumming
  Private equity benchmarks and portfolio optimization
  C780:   F. Fernandez-Rodriguez, E. Acosta-Gonzalez, R. Armas-Herrera
  Index tracking, cointegration and picking up stocks with genetic algorithms
  C185:   O. Nneji, C. Brooks, C. Ward
  A study of equity and housing bubbles spillover to REITs
  C607:   P. Burns
  Portfolio optimization inside out
Session CS10 Room: S261
Contributions in applied financial econometrics Monday 19.12.2011    14:05 - 15:45
Chair: Christopher Baum Organizer: CFE 2011
  C734:   F. Ziegelmann, O. Silva Filho, M. Dueker
  Modeling dependence dynamics through copulas with regime switching
  C740:   D. Tafin Djoko, C. Starica
  Hedge fund replication: A Dynamic performance-adaptive local linear regression approach
  C264:   I. Andrievskaya, H. Penikas
  Copula-based Russian banking system capital adequacy modelling within Basel II IRB framework
  C373:   H. Basse Mama
  The informative role of stock markets in firm investment decisions
Session CS06 Room: Bedford
Filtering Monday 19.12.2011    14:05 - 15:45
Chair: Tommaso Proietti Organizer: CFE 2011
  C294:   M. Belmonte, O. Papaspiliopoulos, M. Pitt
  Particle filter estimation of duration-type models
  C667:   J. Polanco-Martinez, J. Fernandez-Macho
  An empirical analysis of some peripheral EU stock market indices: A wavelet correlation approach
  C763:   P. Zahradnik
  Extracting latent price and volatility processes through particle filtering
  C900:   J. Kingeski Galimberti, M. Moura
  Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts
  C825:   M. Rindisbacher, J. Detemple
  A Structural model of dynamic market timing: Theory and estimation
Session CS31 Room: Woburn
Contributions in Bayesian econometrics and applications Monday 19.12.2011    14:05 - 15:45
Chair: Richard Gerlach Organizer: CFE 2011
  C642:   P. Solibakke
  Forecasting carbon phase II moments using stochastic volatility models
  C748:   H. Shang, X. Zhang
  Bayesian bandwidth estimation for local linear fitting in a nonparametric regression model
  C820:   H. Wagner, L. Jacobi, S. Fruehwirth-Schnatter
  Bayesian treatment effects models for panel outcomes with stochastic variable selection
  C841:   R. Solgi, A. Mira
  A Bayesian semiparametric multiplicative error model for realized volatility
  C665:   D. Gefang
  Forecasting with the double adaptive elastic-net Lasso - A Bayesian approach
Session CS36 Room: Torrington
Forecasting Value-at-Risk Monday 19.12.2011    14:05 - 15:45
Chair: Rodney Wolff Organizer: CFE 2011
  C056:   J. Fermanian
  The limits of granularity adjustments
  C645:   A. Fuertes, J. Olmo
  Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
  C876:   A. Dias
  Market value in the estimation of equity Value-at-Risk
  C864:   R. Wolff, K. Marumo
  Non-parametric estimation of copulae
  C441:   S. Henzel, J. Mayr
  The mechanics of VAR forecast pooling: A DSGE model based Monte Carlo study
Session CS49 Room: Jessel
Contributions in volatility estimation and forecasting Monday 19.12.2011    14:05 - 15:45
Chair: Simona Sanfelici Organizer: CFE 2011
  C877:   S. Nagata
  Consistent estimation of integrated volatility using intraday absolute returns for SV jump diffusion processes
  C911:   M. Heiden
  Forecasting the realized covariance matrix: A comparative approach
  C458:   F. Spazzini, E. Rossi, P. Santucci de Magistris
  A Copula-DCC model with daily range
  C610:   H. Veiga, C. Breto
  Forecasting volatility: Continuous time vs discrete time
  C945:   R. Mohnot
  On the effect of crisis on stock market predictability: The case of the Spanish stock market
Session CS47 Room: Bloomsbury
Financial time series Monday 19.12.2011    14:05 - 15:45
Chair: Michele La Rocca Organizer: CFE 2011
  C163:   T. Lee, B. Seo
  Estimated quasi-maximum likelihood estimator for GARCH models based on non-parametric MLE
  C461:   M. Gatumel, F. Ielpo
  The number of regimes accross asset returns: Identification and economic value
  C548:   A. Lawrance
  Volatility graphics for financial time series and volatility modeling
  C747:   B. Koo, O. Linton
  Robust estimation of semiparametric multiplicative volatility models
  C887:   S. Han, K. Triantafyllopoulos
  Adaptive filtering for algorithmic pairs trading
Session CS67 Room: Senate
Financial modeling Monday 19.12.2011    14:05 - 15:45
Chair: Panayiotis Andreou Organizer: CFE 2011
  C619:   L. Ramprasath, T. Durairajan
  A simple property for estimators of diffusion models
  C775:   L. Cutillo, A. Orlando, M. Carfora
  Modelling the European Central Bank official rate: a stochastic approach
  C916:   S. Jacob Leal
  Fundamentalists, chartists and asset pricing anomalies
  C036:   C. Baumeister, G. Peersman
  The role of time-varying price elasticities in accounting for volatility changes in the crude oil market
  C223:   T. Shibata, M. Nishihara
  Investment timing under debt issuance constraint
Parallel session P: Monday 19.12.2011 16:15 - 17:35

Session CS78 Room: S261
Stochastic volatility Monday 19.12.2011    16:15 - 17:35
Chair: Alessandra Luati Organizer: CFE 2011
  C503:   F. Venditti , M. Marcellino, M. Porqueddu
  Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
  C681:   P. Veerhuis, G. Peters, R. Gerlach
  A timely analysis of unconventional monetary policy via dynamic Nelson Seigel models
  C710:   E. Ortega, J. Alonso
  Measuring the trading volume in heterogeneous markets with stochastic volatility
  C803:   A. Antypas, N. Kourogenis
  Annualizing volatility under long memory in high frequency variance
Session CS13 Room: Torrington
Bayesian quantile regression Monday 19.12.2011    16:15 - 17:35
Chair: Boris Choy Organizer: Cathy Chen
  C104:   K. Yu
  Bayesian methods in quantile regression: a review
  C188:   R. Gerlach, C. Chen, L. Lin
  Bayesian estimation and forecasting for semi-parametric conditional expected shortfall models
  C552:   Z. Lu
  Bayesian copula-based skewed-EWMA quantile forecasting for portfolios
Session CS79 Room: B20
Financial markets Monday 19.12.2011    16:15 - 17:35
Chair: Ana-Maria Fuertes Organizer: CFE 2011
  C616:   V. Zakamulin
  Long-term mean reversion and predictability of the US stock market returns
  C673:   Y. Zhao, X. Xia, H. Xiao, Y. Wang
  Private equity placements, cash dividend and tunneling: Empirical evidences from listed companies in China
Session CS22 Room: Bedford
Density forecasting using realized measures Monday 19.12.2011    16:15 - 17:35
Chair: Florian Ielpo Organizer: Florian Ielpo
  C154:   S. Laurent, C. Lecourt, F. Palm
  Testing for jumps in GARCH models, a robust approach
  C167:   B. Sevi, J. Chevallier, F. Ielpo
  The contribution of jumps for forecasting the density of returns
  C178:   D. Noureldin, N. Shephard, K. Sheppard
  Multivariate high-frequency-based volatility (HEAVY) models
Session CS27 Room: Gordon
Analysis of large-dimensional datasets: recent advances Monday 19.12.2011    16:15 - 17:55
Chair: Marco Lippi Organizer: Marco Lippi
  C241:   G. Motta, M. Barigozzi, M. Lippi
  Recent advances in factor analysis: from stationary to evolutionary
  C242:   A. Conti, M. Barigozzi, M. Luciani
  Do Euro area countries respond asymmetrically to the common monetary policy?
  C504:   B. Funovits, E. Felsenstein, B. Anderson, M. Deistler, W. Chen
  Generalized dynamic factor models and singular ARMA models
Session CS82 Room: S264
Computational econometrics and applications II Monday 19.12.2011    16:15 - 17:35
Chair: Roderick McCrorie Organizer: CFE 2011
  C101:   J. Juneja
  Validating the CPC model using parametric and non-parametric inference based empirical algorithmic methods
  C643:   S. Kriete-Dodds, D. Maringer
  Overconfidence and credit cards
  C901:   R. McCrorie, C. Liang
  Computational methods for pricing Asian options: An evaluation
  C745:   M. Vermorken, F. Medda, T. Schroeder
  ICA based asset allocation
Session CS62 Room: B35
Financial econometrics for risk management Monday 19.12.2011    16:15 - 17:35
Chair: Chung-Ming Kuan Organizer: Chung-Ming Kuan
  C791:   H. Chuang, C. Kuan
  Predicting defaults with regime switching intensity: Model and empirical evidence
  C077:   K. Kato
  Weighted-Nadaraya Watson estimation of conditional expected shortfall
  C783:   A. Fernandez-Perez, A. Fuertes, J. Miffre
  Idiosyncratic risk-based commodity strategies
  C613:   J. Yeh, M. Yun
  Identification of price jumps, cojumps and tail dependence in financial asset prices
Session CS71 Room: B33
Regression trees and structural breaks Monday 19.12.2011    16:15 - 17:35
Chair: Marco Reale Organizer: Marco Reale
  C317:   S. Grassi, P. Santucci de Magistris
  When long memory meets the Kalman filter: A comparative study
  C491:   M. Reale, W. Rea, L. Oxley, J. Brown
  Estimators for long range dependence: a simulation study
  C658:   L. Kristoufek
  Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
Session CS58 Room: G16
Contributions in econometrics and financial markets Monday 19.12.2011    16:15 - 17:35
Chair: Massimiliano Caporin Organizer: CFE 2011
  C162:   C. Zedan
  Competition and cascades in the financial markets: An agent-based network model of endogenous mergers
  C896:   P. Donati
  Modelling spillovers and measuring their persistence: Application to credit default swap premia
  C831:   C. Pakel
  Bias reduction in GARCH panels, with an analysis of hedge fund volatility
  C628:   M. Asai
  Heterogeneous markets effects for asymmetric dynamic conditional correlation model with stock return and range
Session CS73 Room: B34
Short-term macroeconomic forecasting: lessons from the crisis Monday 19.12.2011    16:15 - 17:35
Chair: Laurent Ferrara Organizer: Laurent Ferrara
  C200:   J. Castle, M. Clements, D. Hendry
  Forecasting by factors, by variables, by both, or neither
  C146:   M. Mogliani, L. Ferrara, M. Marcellino
  The return of non-linearity: Macroeconomic forecasting during the Great Recession
  C091:   L. Ferrara, F. Bec, O. Bouabdallah
  The possible shapes of recoveries in Markov-switching models
Session CS74 Room: B36
Computer intensive methods in econometrics Monday 19.12.2011    16:15 - 17:35
Chair: Oliver Scaillet Organizer: Dimitrios Thomakos and Dimitris Politis
  C180:   J. Maheu, M. Jensen
  Bayesian semiparametric multivariate GARCH modeling
  C194:   O. Scaillet, P. Gagliardini, E. Ossola
  Time-varying risk premium in large cross-sectional equity datasets
  C252:   M. La Rocca, F. Giordano, C. Perna
  Neural network sieve bootstrap for nonlinear time series analysis