4th Workshop on Financial Econometrics and Empirical Modeling of Financial Markets

The unprecedented changes in financial markets present a major task for econometric modeling. The increasing complexity of financial models requires equally sophisticated empirical methods. This workshop attempts to bring together researchers from different areas to address these challenges. We invite researchers to present their original work on related topics including, but not necessarily limited to, the following:


  • Macroeconomic effects of uncertainty
  • Forecast errors and overshooting of expectations
  • Spillover effects in expectations and uncertainty
  • Uncertainty and disagreement modeling
  • Monetary and fiscal policy transmission in times of uncertainty
  • Determinants and updates of individual forecasts
  • Information rigidities and heterogeneous expectations
  • Household and professional expectations
  • Experimental evidence on expectations and uncertainty
  • Modeling exchange rates, monetary policy and stock markets
  • Contagion and spillovers
  • Forecasting under model and parameter uncertainty
  • Bayesian modeling of financial markets


Date and Venue:

The workshop will be held on May 4 and 5, 2020 at Chemnitz University of Technology.


Program:

TBA


Organizing Committee:

Joscha Beckmann, University of Greifswald and Kiel Institute for the World Economy (joscha.beckmann@uni-greifswald.de)

Robert L. Czudaj, Chemnitz University of Technology (robert-lukas.czudaj@wirtschaft.tu-chemnitz.de)


Keynote Speaker:

Barbara Rossi (University of Pompeu Fabra)


Paper Submission:

Abstracts of papers or preferably full papers should be submitted electronically by February 29, 2020 using Conference Maker. Authors will be notified by no later than March 31, 2020.



Registration Fee:

The participation fee is €120 and €100 for PhD students and covers access to all sessions as well as lunch and dinner.


Special Issue:

The Journal of Economic Behavior & Organization will publish a special issue also featuring selected papers presented at the workshop. The topic of the special issue is “Survey Data, Expectations and the Macroeconomy”. For more details see the open Call for Papers on the webpage of the journal.


See here the programs of the first, second and third edition of the workshop.