CFE 2012

6th CSDA International Conference on
Computational and Financial Econometrics (CFE 2012)
1-3 December 2012, Conference Centre, Oviedo, Spain



Keynote talk1 Saturday 1.12.2012 09:00 - 09:50 Room: Auditorium
Bootstrapping prediction intervals
Speaker: E. Ruiz   Co-authors: Chair: Andrew Harvey
Keynote talk2 Saturday 1.12.2012 17:40 - 18:30 Room: Auditorium
Modeling structural changes in volatility
Speaker: L. Bauwens   Co-authors: Chair: Yasuhiro Omori
Keynote talk3 Monday 3.12.2012 17:15 - 18:05 Room: Auditorium
Portfolio--implied risk assessment
Speaker: S. Mittnik   Co-authors: Chair: Raquel Prado


Parallel session B: Saturday 1.12.2012 10:20 - 12:25

Session CSI03 - Invited Room: Auditorium
Bayesian econometrics Saturday 1.12.2012    10:20 - 12:25
Chair: Herman van Dijk Organizer: CFE 2012
  C489:   Y. Omori
  Multivariate realized stochastic volatility
  C660:   R. Prado
  Bayesian state-space models with structured priors for multiple time series
  C1043:   M. Villani, M. Quiroz
  Flexible mixture-of-experts models for longitudinal survival data
Session CS01 Room: 4
Modelling and forecasting financial time series Saturday 1.12.2012    10:20 - 12:25
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  C433:   G. Frasso, R. Siciliano, A. D'Ambrosio
  Penalized smoothed probability distance clustering of financial time series
  C451:   F. Violante, J. Rombouts, L. Stentoft
  A simple volatility risk premium model
  C459:   A. Parrini, G. Calzolari, R. Halbleib
  Indirect estimation of alpha-stable GARCH models
  C821:   M. Asai, M. So
  Long memory and asymmetry for matrix-exponential dynamic correlation processes
  C455:   A. Amendola, G. Storti
  Model uncertainty and forecast combination in high dimensional multivariate volatility prediction
Session CS35 Room: 6
Estimating agent based models Saturday 1.12.2012    10:20 - 12:25
Chair: Peter Winker Organizer: CFE 2012
  C250:   T. Di Matteo, W. Song, T. Aste
  Embedding financial market data on networks
  C775:   J. Kukacka, J. Barunik
  Behavioural breaks in the heterogeneous agent model
  C891:   C. Tsao, L. Tai
  Behavioral heterogeneity in futures markets
  C941:   N. Du, T. Murata
  Agent-based evaluation for signaling effects in markets with asymmetric information
  C942:   T. Murata, H. Arikawa
  Agent-based pension simulation for widely diverse employment patterns
Session CS46 Room: 1
Dimension reduction in time series Saturday 1.12.2012    10:20 - 12:25
Chair: Pilar Poncela Organizer: Pilar Poncela
  C279:   L. Sierra, P. Poncela, E. Senra
  Evidence of excess of co-movement in commodity prices at high frequencies
  C308:   L. Chen, J. Dolado, J. Gonzalo
  Detecting big structural breaks in large factor models
  C261:   S. Kaufmann, C. Schumacher
  Dynamic sparse factor models
  C475:   E. Senra, P. Poncela
  Factor models to assess consensus and disagreement in forecasting
  C543:   M. Camacho, G. Perez-Quiros, R. Alvarez
  Finite sample performance of small versus large scale dynamic factor models
Session CS53 Room: 3
Financial market and macro Saturday 1.12.2012    10:20 - 12:25
Chair: Willi Semmler Organizer: Willi Semmler
  C372:   E. Ernst
  Labour dynamics in macro models. Shock transmission through unemployment flows
  C742:   J. Parra Alvarez
  A comparison of numerical methods for the solution of continuous time DSGE models
  C714:   C. Proano
  Fiscal policy rules, the term structure and macroeconomic stability in monetary unions: A behavioral macro-finance approach
  C121:   L. Tiozzo Pezzoli, F. Pegoraro, A. Siegel
  Specification analysis of international treasury yield curve factors
  C590:   C. Sattarhoff
  Financial market efficiency during crisis periods: A new perspective based on multifractality
Session CS64 Room: 5
Inference in time series volatility models Saturday 1.12.2012    10:20 - 12:25
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C429:   E. Nejstgaard, P. Paruolo, A. Rahbek
  Likelihood-based inference in the ACR cointegrated model
  C810:   W. Kengne, J. Bardet
  Monitoring procedure for parameter change in causal time series
  C434:   O. Wintenberger, C. Sixiang
  Quasi likelihood estimation for continuously invertible models
  C591:   A. Brix, A. Lunde
  Estimating stochastic volatility models using prediction-based estimating functions
  C661:   T. Lee, C. Baek, M. Kim
  Tests for volatility shifts in GARCH against long-range dependence
Session CS63 Room: 2
Real-time analysis with revisions and volatility Saturday 1.12.2012    10:20 - 12:25
Chair: Peter Zadrozny Organizer: Peter Zadrozny
  C871:   A. Raknerud, B. Vatne
  The effects of banks' funding costs on interest rates and loan volumes
  C767:   S. Sarferaz, J. Jacobs, J. Sturm, S. van Norden
  Modeling multivariate data revisions
  C730:   M. Banbura, D. Giannone, M. Modugno, L. Reichlin
  Now-casting and the real-time data flow
  C817:   K. Wohlrabe, S. Mittnik, P. Zadrozny
  A Cholesky-factor regularization method for estimating a VARMA model of volatility
  C446:   P. Zadrozny
  Real-time state-space method for computing smoothed estimates of future revisions of U.S. monthly chained CPIU
Parallel session C: Saturday 1.12.2012 14:00 - 15:40

Session CS06 Room: 5
Statistical signal extraction and filtering I Saturday 1.12.2012    14:00 - 15:40
Chair: Stephen Pollock Organizer: Stephen Pollock
  C303:   M. Jerez, J. Casals, S. Sotoca
  Single versus multiple-source error models for signal extraction
  C494:   K. Triantafyllopoulos
  Multivariate stochastic volatility estimation using particle filters
  C519:   I. De Feis, U. Amato, A. Antoniadis
  Additive model selection
  C830:   D. De Canditiis
  A new frame based de-noising procedure for fast oscillating signals
Session CS70 Room: 4
Modelling credit risk in financial markets Saturday 1.12.2012    14:00 - 15:40
Chair: Alessandra Canepa Organizer: Alessandra Canepa
  C317:   D. Karim, R. Barrel
  Credit and crises: An investigation of housing markets and credit growth in the OECD
  C424:   A. Vouldis, D. Louzis, V. Metaxas
  Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios
  C1013:   M. Della Seta, S. Gryglewicz
  Profitability uncertainty, capital investment and the cross-section of stock returns
  C476:   A. Canepa, M. Costantini, M. Tajik
  Real estate prices and credit risk: An investigation on the US non-performing-loans
Session CS16 Room: Multipurpose
Massively parallel computations on GPUs Saturday 1.12.2012    14:00 - 15:40
Chair: Michael Creel Organizer: Michael Creel
  C117:   E. Aldrich
  Trading volume in general equilibrium with complete markets
  C188:   G. Durham, J. Geweke
  Adaptive sequential posterior simulators for massively parallel computing environments
  C741:   S. Grassi, M. Dziubinski
  Heterogeneous computing in economics: A simplified approach
  C190:   M. Creel, M. Zubair
  Econometrics on GPUs
Session CS33 Room: 1
Computational methods for flexible Bayesian models Saturday 1.12.2012    14:00 - 15:40
Chair: Roberto Leon-Gonzalez Organizer: Roberto Leon-Gonzalez
  C179:   R. Strachan, F. Carmignani, R. Tourky
  Estimation of the continuous piecewise linear model
  C544:   M. Jochmann
  Bayesian analysis of anchoring vignette data
  C245:   F. Yang, N. Hautsch, D. Hess
  Bayesian stochastic search for best predictors: Nowcasting GDP growth
  C180:   R. Leon
  Fat-tailed gamma autoregressive processes for stochastic volatility with jumps
Session CS40 Room: 3
Assets linkages, multivariate density prediction and portfolio optimization Saturday 1.12.2012    14:00 - 15:40
Chair: Florian Ielpo Organizer: Florian Ielpo and Marc Paolella
  C469:   J. Krause, M. Paolella
  Likelihood-based independent component analysis and mixture models
  C526:   P. Polak, M. Paolella
  MARC-MARS: Modeling asset returns via conditional multivariate asymmetric regime-switching
  C360:   M. Bonato, M. Caporin, A. Ranaldo
  Risk spillovers in international equity portfolios
  C421:   L. Boon, F. Ielpo
  Determining the maximum number of uncorrelated strategies in a global portfolio
Session CS43 Room: 6
Modelling and forecasting volatility and risk Saturday 1.12.2012    14:00 - 15:40
Chair: Ana Perez-Espartero Organizer: Ana Perez-Espartero
  C139:   J. Arteche
  Estimation of the volatility in local long memory in stochastic volatility models
  C266:   A. Virbickaite, C. Ausin, P. Galeano
  Bayesian non-parametric portfolio allocation and hedging risk with multivariate asymmetric GARCH
  C301:   G. Sucarrat, A. Harvey
  EGARCH models with fat tails, skewness and leverage
  C922:   M. Barunikova, J. Barunik
  Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
Session CS44 Room: 2
Theory and applications of regime specific behaviour Saturday 1.12.2012    14:00 - 15:40
Chair: Jean-Yves Pitarakis Organizer: Jean-Yves Pitarakis
  C423:   L. Prochownik
  Testing for structural breaks in predictive regressions
  C334:   J. Gonzalo, A. Taamouti
  The reaction of stock market returns to anticipated unemployment
  C338:   V. Berenguer-Rico, J. Gonzalo
  Co-summability: From linear to non-linear co-integration
  C330:   J. Pitarakis
  Inferring the predictability induced by a persistent regressor in a predictive threshold model
Parallel session E: Saturday 1.12.2012 16:15 - 17:30

Session CS09 Room: 7
Recent advances in the applied macroeconomics Saturday 1.12.2012    16:15 - 17:30
Chair: Fabio Canova Organizer: Fabio Canova
  C230:   L. Benati
  Why are recessions associated with financial crises different
  C1057:   G. Perez-Quiros, M. Gadea
  On the failure to predict financial crisis
  C679:   B. Christensen, M. Nielsen, J. Zhu
  The impact of financial crises on the risk-return tradeoff and the leverage effect
Session CS18 Room: 13
New developments in GARCH models and financial series modelling Saturday 1.12.2012    16:15 - 17:30
Chair: Christian Francq Organizer: Christian Francq
  C154:   M. Bessec, O. Bouabdallah
  Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
  C238:   J. Fermanian, H. Malongo
  Dynamic correlation models based on volatilities
  C341:   J. Zakoian, C. Francq, O. Wintenberger
  GARCH models without positivity constraints: Exponential or log GARCH
Session CS66 Room: 8
Credit rating models Saturday 1.12.2012    16:15 - 15:40
Chair: Silvia Figini Organizer: Paolo Giudici
  C239:   M. Restaino, A. Amendola, L. Sensini
  Determinants of multiple states business exit in Europe
  C246:   S. Figini, P. Giudici
  Model uncertainty in credit rating models
  C359:   R. Calabrese, S. Osmetti
  Default prediction of SMEs by a generalized extreme value additive model
Session CS21 Room: 3
Risks measures Saturday 1.12.2012    16:15 - 17:30
Chair: Hasinavonizaka Rahantamialisoa Organizer: Dominique Guegan
  C181:   F. Jouad, D. Guegan
  Aggregation of market risks using pair-copulas
  C480:   O. Tapiero
  A maximum (non-extensive) entropy approach to equity options bid-ask spread
  C294:   H. Rahantamialisoa, D. Guegan, B. Hassani
  Concepts of risk measure
Session CS24 Room: 4
Testing for common cycles in macroeconomic time series Saturday 1.12.2012    16:15 - 17:30
Chair: Alain Hecq Organizer: Alain Hecq
  C369:   M. Franchi, P. Paruolo
  DSGE models and cyclical co-movements in VARs
  C273:   G. Cubadda, E. Bernardini
  Macroeconomic forecasting through regularized reduced-rank regression
  C147:   A. Hecq, J. Urbain, T. Goetz
  Testing for common cycles with varied frequency data
Session CS29 Room: 9
Bayesian empirical macroeconomics Saturday 1.12.2012    16:15 - 17:30
Chair: Deborah Gefang Organizer: Gary Koop
  C638:   M. Belmonte, G. Koop
  Model switching in time-varying parameter regression models
  C739:   T. Dahlhaus
  Monetary policy transmission during financial crises: An empirical analysis
  C851:   D. Gefang
  Industry productivity in Europe
Session CS34 Room: 2
High dimensional Bayesian time series econometrics Saturday 1.12.2012    16:15 - 17:30
Chair: Richard Hahn Organizer: Hedibert Lopes
  C236:   D. Korobilis, G. Koop
  Large time-varying parameter VARs
  C363:   R. Hahn, H. Lopes
  Factor model shrinkage for linear instrumental variable analysis with many instruments
  C443:   P. Amir Ahmadi
  Credit shocks, monetary policy, and business cycles: Evidence from a structural time varying Bayesian FAVAR
Session CS58 Room: Multipurpose
Boostrapping panel and time series data: Theory and applications Saturday 1.12.2012    16:15 - 17:30
Chair: Jean-Pierre Urbain Organizer: Jean-Pierre Urbain
  C441:   N. Ahlgren, P. Catani
  Wild bootstrap tests for autocorrelation in vector autoregressive models
  C651:   N. van Giersbergen
  Bootstrapping subset test statistics in IV regression
  C842:   J. Urbain, S. Smeekes
  Unit root testing using modified wild bootstrap methods
Session CS60 Room: 5
Indirect estimation methods Saturday 1.12.2012    16:15 - 17:30
Chair: David Veredas Organizer: David Veredas
  C168:   R. Halbleib, D. Veredas, M. Barigozzi
  Which model to match
  C263:   P. Santucci de Magistris, E. Rossi
  Indirect inference for time series observed with error
  C311:   A. Gottard, G. Calzolari
  Indirect inference versus data cloning for estimating multiple-membership random effects logit models
Session CS93 Room: 12
Econometric modelling and applications Saturday 1.12.2012    16:15 - 17:30
Chair: Edoardo Otranto Organizer: CFE 2012
  C903:   R. Bernardini-Papalia, E. Fernandez-Vazquez
  A generalized maximum entropy approach to small area estimation
  C913:   S. Yin, C. Hsu, C. Lin
  Maximum likelihood estimation for linear mixed model with unobserved common correlated effects via EM algorithm
  C1030:   J. Mora, J. Muro
  Consistent estimation of pseudo panels in presence of selection bias
  C998:   M. Covrig, I. Mircea
  Mathematical models in the Romanian annuity market and pension funds
Session CS95 Room: 11
Factor models Saturday 1.12.2012    16:15 - 17:30
Chair: Alain Kabundi Organizer: CFE 2012
  C293:   S. De Lucas-Santos, M. Delgado-Rodriguez
  Using factor model recursive parameters for business cycle convergence analysis
  C747:   Q. Phan, V. Corradi
  A novel criterion in multivariate linear factor models selection
  C859:   G. Mesters, S. Koopman
  Inference for stochastic dynamic factor models
  C935:   R. Ouysse
  Efficient estimation of high dimensional factor models under cross sectional dependence
Session CS86 Room: 10
Volatility models Saturday 1.12.2012    16:15 - 17:30
Chair: Esther Ruiz Organizer: CFE 2012
  C602:   X. Mao , E. Ruiz Ortega, M. Veiga
  Encompassing asymmetric stochastic volatility models in just one model
  C694:   H. Seoane
  Time varying volatility, default and the sovereign risk premium
  C713:   C. Weiser, F. Heiss
  Stochastic and deterministic filtering for stochastic volatility models
  C715:   D. Banulescu, B. Candelon, C. Hurlin, S. Laurent
  On the need of intra-daily data to forecast daily volatility
Session CS71 Room: 6
Solving international portfolio models Saturday 1.12.2012    16:15 - 17:30
Chair: Michel Juillard Organizer: Michel Juillard
  C170:   O. de Groot
  Computing the risky steady state in DSGE models
  C549:   M. Juillard
  Solving portfolio models with a perturbation approach
  C385:   L. Gauvin
  Comparison of solutions to dynamic general equilibrium model with portfolio choice
Session CS28 Room: 1
Structural systems: dimensionality and identification Saturday 1.12.2012    16:15 - 17:30
Chair: John Galbraith Organizer: Lynda Khalaf
  C1005:   M. Voia, L. Khalaf, J. Bernard
  Confidence sets for ratios in dynamic panels: persistence and identification
  C979:   C. Saunders, L. Khalaf, M. Kichian, M. Voia
  Dynamic panels with MIDAS covariates: Estimation and fit
  C183:   J. Galbraith, L. Cheung
  Forecasting financial volatility with QML and LAD-ARCH estimators of the GARCH model
Parallel session I: Sunday 2.12.2012 08:45 - 10:25

Session CSI01 - Invited Room: Multipurpose
Advances in financial time series Sunday 2.12.2012    08:45 - 10:25
Chair: Monica Billio Organizer: CFE 2012
  C824:   A. Harvey, S. Thiele
  Time-varying parameters and changing association
  C1050:   A. Hecq, S. Laurent, F. Palm
  On the univariate representation of BEKK models with common factors
  C1065:   J. Rombouts
  Mixtures models, jumps and option pricing
Session CS89 Room: 4
Financial markets I Sunday 2.12.2012    08:45 - 10:25
Chair: Sylvia Kaufmann Organizer: CFE 2012
  C968:   E. Lin
  The effectiveness of changes in settlement procedures
  C994:   J. Baran
  Building synthetic OIS curves in emerging markets currencies
  C996:   B. Zawadzki, K. Daszynska-Zygadlo, T. Slonski
  Multivariate analysis of abnormal returns: The case of corporate social responsibility indices revisions
  C999:   P. Grau Carles, L. Doncel, J. Sainz
  Reliability and stability of different performance measures
  C1006:   L. Barbopoulos
  Earnout agreements in corporate acquisitions and bidders' gains
Session CS48 Room: 2
Business cycle analysis Sunday 2.12.2012    08:45 - 10:25
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  C344:   A. Jore, K. Aastveit, K. Gerdrup, F. Ravazzolo
  Short-term forecasting: Norges Bank's density combination approach
  C492:   A. Conti
  Money, credit, housing and the great recession: demand and supply channels
  C656:   A. den Reijer
  Pooling versus model selection for nowcasting with many and selected predictors
  C1054:   L. Thorsrud
  Global and regional business cycles: Shocks and propagations
Session CS56 Room: 3
Multivariate volatility models Sunday 2.12.2012    08:45 - 10:25
Chair: Luc Bauwens Organizer: Giuseppe Storti and Luc Bauwens
  C403:   Y. Feng
  Data-driven estimation of smooth correlation changes in a semiparametric dynamic conditional correlation model
  C409:   E. Otranto, L. Bauwens
  Modeling the dependence of conditional correlations on volatility
  C479:   G. Storti, L. Bauwens
  Computationally efficient inference procedures for vast dimensional realized covariance models
  C593:   G. Gallo, F. Cipollini
  Common dynamics in volatility: An additive common component vMEM approach
  C457:   D. Noureldin, N. Shephard, K. Sheppard
  Multivariate rotated ARCH models
Session CS61 Room: 1
Topics in time series and panel data econometrics Sunday 2.12.2012    08:45 - 10:25
Chair: Martin Wagner Organizer: Martin Wagner
  C269:   M. Wagner, S. Zeugner
  Principal components and model averaging
  C295:   R. Kunst
  Jittered phase diagrams for seasonal patterns in time series
  C559:   J. Mutl, L. Soegner
  Cointegrating relationship with spatial lags
  C249:   J. Schnurbus, H. Haupt
  Forecasting in nonlinear panel data regression by stepwise updating of product kernel weights
Session CS90 Room: 5
Time series econometrics I Sunday 2.12.2012    08:45 - 10:25
Chair: Gianluca Cubadda Organizer: CFE 2012
  C468:   M. Richiardi
  Forecasting with unobserved heterogeneity
  C914:   M. Gerolimetto, L. Bisaglia, S. Bordignon
  Forecasting integer autoregressive process of order 1: Analyzing whether INAR models are really better than AR
  C806:   L. Grigoryeva, J. Ortega
  Forecasting with estimated multi-frequency temporally aggregated linear processes
  C515:   P. Brand, A. Dechert
  Testing for trends and trend breaks in nonstationary long memory processes
Session CS73 Room: 6
Financial modelling Sunday 2.12.2012    08:45 - 10:25
Chair: Gianluca Fusai Organizer: CFE 2012
  C829:   W. Wang, H. Wong
  FFT-network for bivariate Levy option pricing
  C858:   C. Pun, H. Wong
  CEV asymptotics of American options
  C947:   L. Kristoufek
  Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling
  C951:   S. Chan, K. Lam
  Estimation of high-frequency volatility in duration-based approach
  C921:   C. Savva, A. Halunga
  Neglecting structural breaks in DCC models
Parallel session J: Sunday 2.12.2012 10:55 - 13:00

Session CS14 Room: 1
Modelling with heavy tails: Applications Sunday 2.12.2012    10:55 - 13:00
Chair: Svetlana Makarova Organizer: Wojtek Charemza and Svetlana Makarova
  C171:   D. Veredas
  On the European sovereign CDS prices
  C320:   M. Bianchi, S. Rachev
  Tempered Ornstein-Uhlenbeck processes: A practical view
  C356:   P. Jelonek
  Generating tempered stable random variates from mixture representation
  C362:   W. Charemza, S. Makarova, Y. Wang
  Simulated minimum distance estimators in macroeconomics
  C364:   A. Panorska, T. Kozubowski, F. Qeadan, A. Gershunov, D. Rominger
  Testing exponentiality versus Pareto via likelihood ratio
Session CS49 Room: 2
Multivariate time series Sunday 2.12.2012    10:55 - 13:00
Chair: Marco Reale Organizer: Marco Reale
  C426:   D. Delle Monache
  On the approximation of long-memory process by ARMA models
  C514:   A. Pierini, M. Reale, A. Naccarato
  The combined use of CVAR and BEKK models for portfolio selection of Italian stock-market
  C950:   J. Gallego, C. Diaz
  Modeling cointegrated time series with vector ARIMA models
  C700:   B. Sanhaji, A. Peguin Feissolle
  Testing the constancy of conditional correlations in multivariate type-GARCH models
  C545:   M. Reale, S. Lin, P. Wongsaart
  Sparse structural VAR's and multiple testing
Session CS52 Room: 5
Credit risk Sunday 2.12.2012    10:55 - 13:00
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C984:   P. Gapko, M. Smid, J. Vorisek
  Dynamic model of losses on a large mortgage portfolio
  C258:   A. Pallavicini, D. Perini, D. Brigo
  A comprehensive framework for bilateral collateralized CVA and funding costs
  C404:   G. Fusai, G. Germano, D. Marazzina
  Pricing credit derivatives in a Wiener-Hopf framework
  C882:   M. Kolman
  Risky coupon bond option pricing: An intensity approach
  C229:   S. Sanfelici, F. Barsotti
  Default probability estimation under microstructure effects
Session CS62 Room: 4
Sparse Bayesian model choice Sunday 2.12.2012    10:55 - 13:00
Chair: Helga Wagner Organizer: Helga Wagner
  C278:   G. Malsiner-Walli, S. Fruehwirth-Schnatter, B. Gruen
  Model-based clustering based on sparse finite Gaussian mixtures
  C496:   M. Kalli, J. Griffin
  Time-varying sparsity in dynamic regression models
  C550:   G. Consonni, D. Altomare, L. La Rocca
  Objective Bayesian search of Gaussian DAG models with non-local priors
  C587:   C. Carvalho, R. Hahn
  Decoupled shrinkage and selection in linear models
Session CS65 Room: 3
Advances in asymmetric and nonlinear financial econometrics Sunday 2.12.2012    10:55 - 13:00
Chair: Yasuhiro Omori Organizer: Zhengjun Zhang
  C131:   F. Yao, Y. Ying, S. Dai
  Asymmetric causal relationships between the stock markets of Europe and East Asian countries
  C197:   L. Shi, R. Md. Mostafizur, W. Gan
  Stepwise local influence in GARCH models
  C407:   M. Cheng, Y. Chen, H. Wu
  Analysis of the dynamics of the seasonality in a time series
  C548:   A. Malinowski, M. Schlather, Z. Zhang
  Tail dependence analysis for high-frequency transaction data
Session CS74 Room: 6
Commodity markets Sunday 2.12.2012    10:55 - 13:00
Chair: Ivan Petrella Organizer: Ana-Maria Fuertes
  C174:   I. Figuerola-Ferretti, R. McCrorie, C. Gilbert
  The recent behavior of commodity prices: Fundamentals, speculative bubbles and relation to the global economic environment
  C296:   P. Zerilli, C. Baum
  Spikes and stochastic volatility in commodity prices: Evidence from crude oil futures prices using conditional moments of integrated volatility
  C350:   I. Petrella, L. Juvenal
  Speculation in the oil market
  C848:   A. Laha, P. Raja
  Modeling commodity markets: The challenge of leptokurtic return distributions
  C936:   H. Suenaga
  Estimating two-factor Gaussian term-structure model with flexible variance of measurement errors
Session CP01 Room: Hall
Poster session Sunday 2.12.2012    10:55 - 13:00
Chair: Maria Jesus Garcia-Ligero Organizer: CFE 2012
  C645:   E. Druica
  Using (1+1) evolutionary algorithms to formalize the resistant to innovation behavior
  C759:   Y. Yen, T. Yen
  Solving norm constrained portfolio optimizations via coordinate-wise descent algorithms
  C861:   S. Orbe, M. Esteban
  Nonparametric betas for conditional factor models
  C933:   K. Avdulaj, J. Barunik
  Dynamic correlations in exchange rate time series: A copula approach
  C987:   J. Barunik, L. Vacha
  Realized wavelet jump-GARCH model: On the wavelet decomposition of volatility to improve forecasts
  C988:   L. Vacha, J. Barunik
  Wavelet-band least squares estimation of fractional cointegration
  C1067:   M. Lagoa-Varela, S. Iglesias Antelo
  Effects of systematic risk modelling in conditional version: Empirical evidence from the Madrid stock market
Parallel session K: Sunday 2.12.2012 14:30 - 16:10

Session CS11 Room: 1
Volatility modelling in the presence of outliers Sunday 2.12.2012    14:30 - 16:10
Chair: Angeles Carnero Organizer: Angeles Carnero
  C128:   J. Olmo, B. Kapar, R. Laborda
  Instabilities and breaks on European credit default swaps: Effects over a crisis period
  C163:   A. Carnero, A. Perez-Espartero, E. Ruiz
  Effects of outliers on asymmetric GARCH models
  C299:   K. Boudt, J. Danielsson, S. Koopman, A. Lucas
  Regime switches in volatility and correlation of financial institutions
  C912:   L. Sebastien, C. Lecourt, F. Palm
  Testing for jumps in GARCH models, a robust approach
Session CS12 Room: 4
Bayesian nonlinear econometrics Sunday 2.12.2012    14:30 - 16:10
Chair: Roberto Casarin Organizer: Roberto Casarin
  C373:   D. Bianchi
  Learning about long-run risk: Self-referential beliefs and equilibrium asset pricing
  C462:   F. Ravazzolo, K. Aastveit, H. van Dijk
  Nowcasting business cycle turning points in an uncertain environment
  C534:   C. Ausin
  Bayesian nonparametric copulas for multivariate time series
  C608:   R. Casarin, F. Leisen, F. Bassetti
  Beta-product dependent Pitman-Yor processes
Session CS27 Room: 2
Applications of penalized splines to economics Sunday 2.12.2012    14:30 - 16:10
Chair: Goeran Kauermann Organizer: Goeran Kauermann
  C134:   H. Haupt, P. Ng
  Smooth estimation of urban house price surfaces under conditional price and spatial heterogeneity
  C138:   T. Kneib, M. Wiesenfarth
  Bayesian nonparametric instrumental variable regression based on penalized splines and Dirichlet process mixtures
  C218:   M. Durban, L. Dae-Jin
  Smoothing and forecasting seasonal time series with P-spline mixed models
  C671:   M. Wegener
  Applications of penalized splines to economics
Session CS50 Room: 5
Correlation by volatility Sunday 2.12.2012    14:30 - 16:10
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  C222:   J. Rombouts, F. Violante, L. Stentoft
  The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
  C272:   L. Stentoft
  Option pricing with GARCH and flexible conditional distributions
  C474:   A. Dufays
  Infinite-states Markov-switching for dynamic volatility and covariance models
  C620:   C. Dorion, N. Chapados
  Volatility forecasting and explanatory variables: A tractable Bayesian approach to stochastic volatility
Session CS55 Room: 6
Continuous time financial models Sunday 2.12.2012    14:30 - 16:10
Chair: Leopold Soegner Organizer: Leopold Soegner
  C214:   L. Soegner, J. Hlouskova
  Method of moments estimation and affine term structure models
  C292:   J. Sass
  Filter based volatility and regime switching models in continuous time
  C569:   D. Uysal
  Doubly robust estimation of causal effects with multivalued treatments
  C1063:   K. Kvasnakova
  Analyzing whether imperfection is better: Evidence from predicting stock and bond returns
Session CS72 Room: 3
Advances in DSGE modeling Sunday 2.12.2012    14:30 - 16:10
Chair: Michel Juillard Organizer: Michel Juillard
  C169:   S. Villemot
  Accelerating the resolution of sovereign debt methods with an endogenous grid method
  C173:   A. Fasolo
  A note on particle filters applied to DSGE models
  C191:   A. Meyer-Gohde, H. Lan
  Moments and stable simulations of higher order DSGE models via a nonlinear moving average
  C199:   M. Marx, J. Barthelemy
  Generalizing the Taylor principle: New comments
Parallel session L: Sunday 2.12.2012 16:40 - 18:45

Session CSI02 - Invited Room: Multipurpose
New methods in dynamic modeling and econometrics Sunday 2.12.2012    16:40 - 18:45
Chair: Willi Semmler Organizer: Willi Semmler
  C1017:   W. Semmler, L. Grune, M. Stieler
  Using nonlinear model predictive control to solve dynamic decision problems in economics
  C1032:   J. Ramsey
  Functional representation, approximation, bases, and wavelets
  C1069:   M. Juillard, S. Adjemian
  Stochastic extended path
Session CS67 Room: 4
Non linear models for macroeconomics Sunday 2.12.2012    16:40 - 18:45
Chair: Monica Billio Organizer: Monica Billio
  C223:   D. Li
  Testing common nonlinear features in nonlinear vector autoregressive models
  C210:   P. Addo, M. Billio, D. Guegan
  An alternative methodology for turning-point detection in business cycle: A wavelet approach
  C778:   J. Gatfaoui, E. Girardin
  Comovement of the Chinese provincial business cycles
  C665:   E. Zanetti Chini
  Generalizing smooth transition autoregressions
  C805:   R. Valero, K. Judd, L. Maliar, S. Maliar
  A Smolyak method with an adaptive grid
Session CS10 Room: 6
Jumps in prices and volatilities Sunday 2.12.2012    16:40 - 18:45
Chair: Eduardo Rossi Organizer: Eduardo Rossi
  C553:   J. Jimenez-Martin, A. Novales Cinca
  Relevance of jumps in returns and jumps in volatility for VaR forecasting
  C782:   A. Dumitru
  Averaging tests for jumps
  C962:   T. Lee
  Potential over-detection of jumps with conventional sampling frequencies
  C538:   M. Fengler, F. Audrino
  On the consistendy of classical option pricing models with observed option second order moment characteristics
  C302:   E. Rossi, M. Caporin, P. Santucci de Magistris
  Multiplicative error model with jumps
Session CS19 Room: 5
Modelling and forecasting financial markets Sunday 2.12.2012    16:40 - 18:45
Chair: Dudley Gilder Organizer: Ana-Maria Fuertes and Elena Kalotychou
  C328:   L. Tsiaras
  Dynamic models of exchange rate dependence using option prices and historical returns
  C579:   D. Gilder, M. Shackleton, S. Taylor
  Covariance forecasting using high-frequency data and a single factor model
  C419:   P. Gomes, A. Afonso, A. Taamouti
  Sovereign credit ratings, market volatility information and financial gains
  C791:   S. Vrontos, E. Panopoulou
  Hedge fund return predictability
  C949:   M. Limam, V. Terraza, M. Terraza
  Hedge fund return dynamics: Long memory and regime switching
Session CS30 Room: 1
Time-varying parameter models Sunday 2.12.2012    16:40 - 18:45
Chair: Pawel Janus Organizer: Siem Jan Koopman
  C883:   S. Brave, A. Butters
  Financial conditions, crises, and uncertainty: A dynamic factor perspective
  C572:   C. Garcia-Martos, A. Alonso, G. Bastos
  Model averaging in dynamic factor models: An application to electricity prices forecasting
  C577:   I. Hindrayanto, J. de Winter, S. Koopman
  Collapsed dynamic factor model: Application for the eurozone
  C353:   F. Mokinski
  Estimating daily variation in aggregate expectations from daily survey responses
  C555:   P. Janus, S. Koopman
  Modeling daily financial covariance matrix by combining multiple realized measures
Session CS37 Room: 2
Numerical analysis and computation of unit root distributions Sunday 2.12.2012    16:40 - 18:45
Chair: Roderick McCrorie Organizer: Roderick McCrorie
  C566:   R. McCrorie
  The exact asymptotic first-order bias in least squares estimation of the AR(1) model under a unit root
  C516:   H. Xie, A. Tsui
  Closed-form approximations to moment values of an AR(1) model in unit-root and stationary cases
  C701:   L. Cao
  Simulating the asymptotic distributions and densities of the OLS estimator in autoregressive models with a unit root
  C310:   M. Kyriacou
  Overlapping sub-sampling and invariance to initial conditions
  C874:   I. Diaz-Emparanza
  Numerical distribution functions for seasonal unit root tests
Session CS22 Room: 3
Wavelets and macroeconomic analysis Sunday 2.12.2012    16:40 - 18:45
Chair: Marco Gallegati Organizer: Marco Gallegati
  C316:   L. Aguiar-Conraria, M. Soares, T. Rodrigues
  Oil shocks and the euro as an optimum currency area
  C325:   S. Pollock
  A framework for a nondyadic wavelets analysis
  C773:   M. Kiermeier
  Essay on wavelet analysis and the European term structure of interest rates
  C777:   J. Thong, J. Ramsey
  Time-scale and the S-Curve: A wavelet analysis of trade dynamics
  C993:   M. Gallegati, J. Ramsey, W. Semmler
  A wavelet-based index of financial distress
Parallel session M: Monday 3.12.2012 08:30 - 10:10

Session CSI04 - Invited Room: Auditorium
Advances in econometrics Monday 3.12.2012    08:30 - 10:10
Chair: Jean-Michel Zakoian Organizer: CFE 2012
  C336:   C. Francq, J. Zakoian
  Risk-parameter estimation in volatility models
  C641:   G. Gonzalez-Rivera, Y. Sun
  Evaluation of multivariate count models. Trading activity in U.S. large banks
  C658:   J. Maheu, M. Jensen, T. McCurdy
  A Bayesian nonparametric analysis of the relationship between returns and realized variance.
Session CS04 Room: 6
Quantitative evaluation of fiscal policies Monday 3.12.2012    08:30 - 10:10
Chair: Aurelien Eyquem Organizer: Stephane Auray and Aurelien Eyquem
  C570:   A. Eyquem, S. Auray, P. Gomme
  On tax policies in open economies
  C646:   S. Gnocchi, D. Hauser, E. Pappa
  Housework and fiscal expansions
  C655:   P. Levine, C. Cantore, G. Melina, J. Pearlman
  Optimal fiscal and monetary rules in normal and abnormal times
  C551:   J. Costain, B. de Blas
  Smoothing shocks and balancing budgets in a currency area
Session CS05 Room: 3
Bayesian econometrics with applications Monday 3.12.2012    08:30 - 10:10
Chair: Nalan Basturk Organizer: Nalan Basturk
  C237:   G. Kastner, S. Fruehwirth-Schnatter, H. Lopes
  Efficient Bayesian inference for multivariate factor stochastic volatility (SV) models
  C265:   A. Paccagnini
  Bayesian estimation of a DSGE model: A Monte Carlo experiment
  C552:   C. Cakmakli, N. Basturk, H. Van Dijk, P. Ceyhan
  Inflation regimes, technological change and weak identification in an NKPC model with forward looking price behavior
  C509:   N. Basturk, L. Hoogerheide, P. De Knijf, H. Van Dijk
  Bayesian testing for multimodality using mixture distributions
Session CS20 Room: 1
Risk management in energy markets: Market design and trading strategies Monday 3.12.2012    08:30 - 10:10
Chair: M. Dolores Furio Organizer: M. Dolores Furio
  C398:   R. Jimenez-Rodriguez
  Oil price shocks and stock markets: A non-linear approach
  C528:   S. Serrano Calle
  Assessment of volatility in oil markets: An entropy analysis
  C576:   A. Zarraga, A. Ciarreta
  Modelling price and volatility in the Iberian day-ahead electricity market
  C704:   P. Munoz, J. Sanchez, M. Marquez, S. Baena, P. Tencaliec
  Wind power forecast: Statistical analysis and economic benefits
Session CS23 Room: 4
Counterparty credit risk, a transversal financial regulation Monday 3.12.2012    08:30 - 10:10
Chair: Bertrand Hassani Organizer: Bertrand Hassani
  C348:   X. Zhao, D. Guegan, B. Hassani
  Sovereign rating adjustment using market information
  C461:   M. Frunza
  Analyzing whether the new counterparty risk regulation increase contagion
  C659:   P. Maugis, B. Hassani
  Asset pricing: Analyzing whether the counterparty credit risk is already taken into account
  C506:   B. Hassani, C. Naud
  Impact of counterparty credit risk on risk appetite measures
Session CS32 Room: 5
Financial markets liquidity Monday 3.12.2012    08:30 - 10:10
Chair: Serge Darolles Organizer: Gaelle Le Fol and Serge Darolles
  C283:   T. Wang, A. Menkveld
  C337:   R. Huang, N. Hautsch
  Identifying and analyzing hidden order placements
  C382:   F. Riva, L. Deville, A. Calamia
  Liquidity in ETFs
  C618:   G. Le Fol, S. Darolles, J. Dudek
  MLiq a Meta Liquidity Measure
Session CS45 Room: Multipurpose
Statistical signal extraction and filtering Monday 3.12.2012    08:30 - 10:10
Chair: Stephen Pollock Organizer: Stephen Pollock
  C529:   T. Cesaroni
  Credit default and macroeconomic factors: An empirical investigation
  C648:   M. Bujosa, A. Bujosa, A. Garcia-Ferrer
  A note on pseudo-spectra and pseudo-covariance generating functions
  C678:   A. Maravall
  Reliability of the (new) tramo-seats automatic identification of reg-ARIMA models
  C969:   C. Heinze
  SVD-based Kalman filtering and likelihood evaluation under linear constraints
Session CS59 Room: 2
Filtering and modelling financial time series Monday 3.12.2012    08:30 - 10:10
Chair: Helena Veiga Organizer: Helena Veiga
  C357:   D. Kristensen, C. Brownlees, Y. Shin
  Smooth filtering and likelihood inference in dynamic latent variables models
  C477:   C. Breto
  Maximum likelihood estimation of stochastic volatility models via iterated filtering
  C487:   J. Dias, S. Ramos
  Regime switching GARCH-based clustering of financial time series
  C159:   A. Taamouti, B. Feunou, J. Fontaine, R. Tedongap
  Risk premium, variance premium and the maturity structure of uncertainty
Parallel session N: Monday 3.12.2012 10:40 - 12:20

Session CS07 Room: Multipurpose
Measuring systemic risk Monday 3.12.2012    10:40 - 12:20
Chair: Lorenzo Frattarolo Organizer: Monica Billio
  C130:   A. Kabundi, A. Duncan
  International transmission of equity volatilities with application to financial crises
  C1042:   M. Cavicchioli
  Determining the number of regimes in Markov-switching VARMA models
  C541:   L. Frattarolo, M. Billio, L. Pelizzon
  Proximity-structured multivariate volatility models for systemic risk
  C486:   M. Billio, K. Mamo, L. Pelizzon
  Hedge fund tail risk and marginal risk contribution in fund of hedge funds
Session CS39 Room: 3
Bayesian financial econometrics Monday 3.12.2012    10:40 - 12:20
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C260:   T. Watanabe, M. Takahashi, Y. Omori
  Volatility and quantile forecasts of returns using realized stochastic volatility models with generalized hyperbolic distribution
  C513:   T. Ishihara, Y. Omori
  Multivariate realized stochastic volatility model with leverage
  C797:   S. Chan, K. Ho, H. Wong
  Bayesian analysis of structure credit risk models with micro-structure noises and jump diffusion
  C893:   K. McAlinn, T. Nakatsuma
  Bayesian quantile regression for financial factor models
Session CS17 Room: 1
Statistical signal processing applied to asset management Monday 3.12.2012    10:40 - 12:20
Chair: Serge Darolles Organizer: Serge Darrolles and Emmanuelle Jay
  C395:   G. Weisang
  A survey of filtering techniques applied to hedge fund replication
  C411:   E. Bacry, S. Delattre, M. Hoffmann, J. Muzy
  An agent-based model for microstructure noise and trade impacts.
  C498:   E. Jay, P. Duvaut, S. Darolles
  A regularized version of the Kalman filter for risk management and portfolio hedging
  C537:   D. Matteson, R. Tsay
  A new perspective on dependence within financial markets
Session CS41 Room: 2
Estimating the effects of fiscal policy Monday 3.12.2012    10:40 - 12:20
Chair: Evi Pappa Organizer: Evi Pappa
  C120:   M. Pisani, L. Forni
  Fiscal policy in open economy: Estimates for the euro area
  C352:   S. Simonelli, A. Acconcia, G. Corsetti
  Mafia and public spending: Evidence on the fiscal multiplier from a quasi-experiment
  C400:   E. Ilzetzki, K. Jin
  Spillovers from US monetary and fiscal policy
  C582:   E. Pappa, R. Calmuc, Y. Kulikova, S. Simonelli
  On the reaction of the Governmentto nature's attacks
Session CS97 Room: 4
Cointegration Monday 3.12.2012    10:40 - 12:20
Chair: Robert Kunst Organizer: CFE 2012
  C390:   A. Dechert
  Variance ratio testing for fractional cointegration in presence of trends and trend breaks
  C827:   A. Monticini
  A simple way to test for multiple cointegration with structural breaks
  C890:   L. Pun, N. Chan, P. Lee
  Cointegration pairs trading strategy on derivatives
  C1000:   T. Dubiel-Teleszynski
  Joint modeling of cointegration and mean reversion in a continuous time approach to statistical arbitrage
Session CS98 Room: 6
Financial time series I Monday 3.12.2012    10:40 - 12:20
Chair: John Galbraith Organizer: CFE 2012
  C464:   F. Mc Issac, F. Laudicina, M. Frunza
  Influence of weather variability on the orange juice prices
  C708:   G. Gozgor
  The application of stochastic processes in exchange rate forecasting: Benchmark test for the EUR/USD and the USD/TRY
  C1004:   S. Harbi
  Efficiency of stock markets: A GARCH application
  C845:   J. Alonso, D. Mercado Polo, C. Fajardo Toro
  Forecasting Colombian spot exchange rate: A comparison of different machine learning and data mining approaches
  C940:   A. Papana, C. Kyrtsou, C. Diks, D. Kugiumtzis
  Partial symbolic transfer entropy
Session CS03 Room: 5
Contributions to financial markets and macro Monday 3.12.2012    10:40 - 12:20
Chair: Willi Semmler Organizer: CFE 2012
  C630:   C. Valsan
  Financial markets as critical networks and computational models for allocating assets
  C836:   G. Camba-Mendez, D. Serwa, T. Werner
  Factors driving market's perception of sovereign credit risk in the Euro area during the financial crisis
  C1062:   D. Grechyna
  Technological progress and financial stability
  C749:   C. Marsilli, L. Ferrara, J. Ortega
  Macroeconomic forecasting using financial volatility: A MIDAS appraisal during the Great Recession
  C558:   N. Ferreira, R. Menezes, S. Bentes
  EU severe debt crisis: Strengthened links between interest rates and stock market returns
Parallel session P: Monday 3.12.2012 12:30 - 13:30

Session CS77 Room: 1
Unit root Monday 3.12.2012    12:30 - 13:30
Chair: Roderick McCrorie Organizer: CFE 2012
  C872:   J. Afonso Rodriguez
  Stochastic integration and cointegration tests under a randomized and a weak bilinear unit root process
  C887:   D. Vougas
  A new approach for parametric unit root testing
  C910:   I. Becheri, F. Drost, R. van den Akker
  Gaussian power envelope for panel unit root tests in the presence of cross-sectional dependence
Session CS78 Room: 10
Portfolio risk measures Monday 3.12.2012    12:30 - 13:30
Chair: Joern Sass Organizer: CFE 2012
  C531:   S. Dumitrescu, R. Lupu
  Time scaling properties of multivariate dynamic higher order moments using Cornish-Fisher expansion
  C846:   C. Fajardo Toro, E. Diaz Estrada, J. Alonso
  Using machine learning techniques to forecast the variance-covariance of a portfolio: Application to VaR's estimation
  C886:   P. Jablonsky
  Unbiased evaluation of the portfolio model performance by the expected utility efficient frontier
Session CS79 Room: 6
Financial econometrics: Models and applications Monday 3.12.2012    12:30 - 13:30
Chair: Ard Den Reijer Organizer: CFE 2012
  C264:   A. Saez-Castillo, F. Prieto, J. Sarabia
  The dPPS distribution in the modelling of financial returns
  C349:   K. Sirichand, S. Coleman
  International yield curve dynamics and interactions
  C937:   T. Ohnishi, T. Mizuno, C. Shimizu, T. Watanabe
  Using property price distribution to detect real estate bubbles
Session CS80 Room: 11
Markov switching models Monday 3.12.2012    12:30 - 13:30
Chair: Christian Francq Organizer: CFE 2012
  C495:   S. Zeng
  Cyclicality and bounce back effect in financial market
  C500:   F. Karame
  Hamilton smooth particle filters
  C710:   H. Do, R. Brooks, S. Treepongkaruna, E. Wu
  Modelling ratings impacts on stock return distributions within a multivariate regime switching long memory framework
Session CS81 Room: 13
Models for financial and commodity markets Monday 3.12.2012    12:30 - 13:30
Chair: Gonzalo Camba-Mendez Organizer: CFE 2012
  C875:   K. Tang, J. Tarn
  Hedging effectiveness of Malaysian crude palm oil futures contracts: The extended mean-Gini framework
  C955:   D. Buncic
  Forecasting commodity currencies with dynamic Bayesian models
  C990:   M. Smid
  Tractable and estimable general model of limit order markets
Session CS69 Room: 9
Financial markets and copulas Monday 3.12.2012    12:30 - 13:30
Chair: Jean-David Fermanian Organizer: CFE 2012
  C623:   L. Melo, R. Loaiza
  Latin American exchange rates dependencies: A regular vine copula approach
  C735:   N. Ponomareva, K. Ignatieva
  Commodity currencies and commodity prices: Modeling static and time-varying dependence
  C888:   D. Papla
  Example of using copula functions as a tool for researching contagion in financial markets
Session CS92 Room: 3
Financial econometrics: Inferences Monday 3.12.2012    12:30 - 13:30
Chair: Arvid Raknerud Organizer: CFE 2012
  C636:   G. Tsiotas
  Testing combinations in conditional quantiles: The case of Value-at-Risk (VaR)
  C666:   M. Augustyniak
  Estimation of the Markov-switching GARCH model with a maximum likelihood approach
  C643:   R. Siedlecki
  Log-logistic function estimation method and its application in finance and economics
Session CS94 Room: 2
Time series econometrics II Monday 3.12.2012    12:30 - 13:30
Chair: Dennis Kristensen Organizer: CFE 2012
  C867:   H. Kew, D. Harris
  An adaptive and robust Portmanteau test for uncorrelatedness under $q-$dependency and heteroskedasticity
  C897:   B. Koo, M. Seo
  Strucutral break models under misspecification: Implications for forecasting
  C454:   T. Holden
  Learning from learners
Session CS85 Room: 8
Financial markets II Monday 3.12.2012    12:30 - 13:30
Chair: Gaelle Le Fol Organizer: CFE 2012
  C948:   M. Vosvrda, L. Kristoufek
  Measuring capital market efficiency: Global and local correlations structure
  C884:   T. Katzschner
  Latency and quote duration: Limits to integration in fragmented markets
  C781:   H. Veiga, B. Martin-Barragan, S. Ramos
  Wavelet-based correlations: International evidence between stock market and oil returns
Session CS76 Room: Multipurpose
Contributions to Bayesian econometrics and applications Monday 3.12.2012    12:30 - 13:30
Chair: Helga Wagner Organizer: CFE 2012
  C672:   A. Vosseler
  Model averaging in Bayesian periodic autoregressive models to forecast seasonal time series
  C864:   A. Theophilopoulou, A. Carriero, H. Mumtaz
  Forecasting fiscal variables using Bayesian VARs with constant and drifting coefficients
  C878:   H. Nishino, K. Kakamu
  Bayesian estimation of beta type distribution parameters based upon grouped data
Session CS68 Room: 5
Panel data Monday 3.12.2012    12:30 - 13:30
Chair: Roberto Leon-Gonzalez Organizer: CFE 2012
  C380:   A. Pua
  Applying projected score methods to panel data models
  C366:   A. Soberon, J. Rodriguez-Poo
  Direct semiparametric estimation of fixed effects panel data varying coefficient models
  C410:   M. Gross, C. Kok
  A mixed-cross-section GVAR for countries and banks
Session CS25 Room: 4
Contributions on systemic risk Monday 3.12.2012    12:30 - 13:30
Chair: Gloria Gonzalez-Rivera Organizer: CFE 2012
  C729:   A. Alter, A. Beyer
  The dynamics of spillover effects during the European sovereign debt crisis
  C721:   C. Castro, J. Ordonez, C. Leon
  Measuring the effect of network externalities on financial distress: A spatial econometrics approach
  C726:   S. Benoit, G. Colletaz, C. Hurlin, C. Perignon
  A theoretical and empirical comparison of systemic risk measures
Session CS02 Room: 7
Forecasting financial markets Monday 3.12.2012    12:30 - 13:30
Chair: Massimiliano Pisani Organizer: CFE 2012
  C697:   E. Panopoulou, T. Pantelidis
  Speculative behavior and oil price predictability
  C725:   S. Plastira, E. Panopoulou
  Combination forecasts of bond and stock returns: An asset allocation perspective
  C825:   S. Mouabbi
  Determining currency risk premiums using a bilateral arbitrage free Nelson Siegel term structure model
Session CS83 Room: 12
Financial modelling and applications Monday 3.12.2012    12:30 - 13:30
Chair: Leopold Soegner Organizer: CFE 2012
  C952:   N. Handzic, R. Bhar
  Valuing CDS options under double exponential jump diffusion
  C1019:   L. Ductor Gomez, D. Grechyna
  Excess financial development and economic growth
  C1066:   T. Corzo Santamaria, M. Lagoa-Varela
  The optimal dividend yield range: the case of Europe and Spain during the period 2000-2009
Parallel session Q: Monday 3.12.2012 15:00 - 16:40

Session CS91 Room: 4
Computational methods in econometrics Monday 3.12.2012    15:00 - 16:40
Chair: John M. Maheu Organizer: CFE 2012
  C680:   E. Herbst, F. Schorfheide
  Sequential Monte Carlo for DSGE models
  C907:   F. Rosa-Gonzalez, E. Gonzalez-Davila, A. Arbelo-Alvarez
  On the use of the free distribution methodology for the analysis of business efficiency
  C427:   H. Katsura, K. McAlinn, T. Nakatsuma
  Parallel particle learning for Bayesian state space modeling
  C689:   C. Leong
  Bayesian network models of credit risk modeling
Session CS96 Room: 6
Financial econometrics Monday 3.12.2012    15:00 - 16:40
Chair: Niklas Ahlgren Organizer: CFE 2012
  C674:   D. Tafin Djoko, Y. Tille
  Balanced tracking portfolios
  C711:   M. Raddant
  Structure in the Italian overnight loan market
  C863:   S. Chung, H. Wong
  A closed-form solution for arithmetic Asian options under a mean reverting jump diffusion model
  C688:   W. Tarrant
  The flat tax in post-communist Europe
  C1026:   A. Mbairadjim Moussa, J. Sadefo Kamdem, M. Terraza
  Probability-possibility transformation and application to high frequency financial returns modeling
Session CS75 Room: Multipurpose
Financial time series II Monday 3.12.2012    15:00 - 16:40
Chair: Bent Jesper Christensen Organizer: CFE 2012
  C840:   R. Maderitsch, R. Jung
  Stock market linkages: New evidence on the dynamics of information transmission
  C192:   A. Lopez, R. Perez
  Financial forecasting accuracy: Exploring the M3-competition
  C756:   M. Scholz, J. Nielsen
  A nonparametrically improved sharpe ratio guided by prior knowledge
  C971:   J. Schaumburg
  Tail dependence breaks in financial time series
  C926:   R. Luger, X. Liu
  Unfolding GARCH models
Session CS31 Room: 5
Contributions to time-varying parameter models Monday 3.12.2012    15:00 - 16:40
Chair: Rodney Strachan Organizer: CFE 2012
  C760:   X. Chen, J. Gao, D. Li, P. Silvapulle
  Nonparametric calibration of time-varying coefficient realized volatility models
  C925:   K. Lee
  Modelling and forecasting implied volatility surface dynamics
  C943:   N. Nonejad, S. Grassi, P. Santucci de Magistris
  Bayesian model averaging and forecasting using self-perturbing Kalman filters
  C916:   F. Rondina
  Time varying SVARs, parameter histories, and the changing impact of oil prices on the US economy
  C609:   J. de Winter, X. Jin, J. Jansen
  Forecasting GPD growth in the Eurozone
Session CS42 Room: 1
Contributions to business cycle analysis Monday 3.12.2012    15:00 - 16:40
Chair: Toshiaki Watanabe Organizer: CFE 2012
  C686:   M. Klucik
  Composite leading indicators as nonlinear functions: Quantitative and qualitative forecasts
  C687:   J. Juriova
  The impact of foreign cyclical development on small open economy (SVAR analysis)
  C799:   L. Sun, S. Sen
  Monetary policy rules and business cycle in China-Bayesian DSGE model simulation
  C828:   E. Santoro, R. Distante, I. Petrella
  The cross-sectional origins of business cycle asymmetries
  C647:   D. Leiva-Leon
  Monitoring U.S. states business cycles synchronization: When and how a recession is coming
Session CS51 Room: 2
Contributions to jumps and volatilities Monday 3.12.2012    15:00 - 16:40
Chair: Sebastien Laurent Organizer: CFE 2012
  C706:   W. Maneesoonthorn, C. Forbes, G. Martin
  Inference on self-exciting jumps in prices and volatility using high frequency measures
  C956:   T. Takada, A. Inoue
  Multiple time scale volatility patterns before abrupt switching in financial markets
  C675:   J. Witzany
  Estimating correlated jumps and stochastic volatilities
  C709:   V. Jeleskovic
  Hidden decisions behind hidden volume: Analysis of incoming iceberg orders in electronic trading
Session CS84 Room: 3
Energy markets Monday 3.12.2012    15:00 - 16:40
Chair: Marc Gronwald Organizer: CFE 2012
  C727:   A. Aderounmu, R. Wolff, H. Thompson
  Modelling dependence of extreme price observations in connected electricity markets using tail copulas
  C895:   C. Lau, J. Laitenberger
  Measuring risk in electricity forward returns
  C762:   E. Caro, C. Garcia-Martos, M. Sanchez-Naranjo
  Optimal combined forecasts for electricity prices considering renewable energies
  C683:   M. Gronwald, S. Trueck
  The relationship between the carbon market and financial markets: A frequency domain analysis