Southampton Finance and Econometrics Workshop

May 4-5, 2017

May 4, 2017

Opening. 11:00-11.15. Room 2097

Registration and coffee

Session 1. 11:15-12:45. Room 2097

1. Peter Phillips (Yale University/Southampton)

Title: Econometric Measurement of Earth's Transient Climate Sensitivity, with Thomas Leirvik and Trude Storelvmo

2. Clifford Lam (London School of Economics)

Title: Nonlinear Shrinkage Estimation of Integrated Covariance Matrix Using Intraday Transactions Data

Lunch 13:00-14:30. Blue room (University restaurant)

Session 2. 14:30-16:00. Room 2097

1. Raffaella Giacomini (University College London)

Title: Uncertain identification, with T. Kitagawa and A. Volpicella

2. Simone Manganelli (European Central Bank)

Title: Deciding with judgement

Coffee break 16:00-16:30

Session 3 16:30-18:00. Room 2097

1. Walter Distaso (Imperial College)

Title: Testing for jump spillovers without testing for jumps, with Valentina Corradi and Marcelo Fernandes

2. Jean-Michel Zakoian (CREST)

Title: Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models, with Christian Francq

Dinner 19:30. Ceno’s (next to Highfield House Hotel)

May 5, 2017

Session 4. 09:00-10:30. Room 2097

1. James Wolter (Oxford University)

Title: Estimating Trading Rules with FIC Model Averaging, with Filip Klimenka

2. Jihyun Kim (Toulouse School of Economics)

Title: Mean Reversion and Stationarity in Financial Time Series Generated from Diffusion Models, with Joon Y. Park

Coffee Break 10:30-11:00

Session 5. 11:00-12:30. Room 2097

1. Enrique Sentana (CEMFI)

Title : Consistent non-Gaussian pseudo maximum likelihood estimators, with Gabriele Fiorentini

2. Bent Nielsen (Oxford University)

Title: Tightness of M-estimators for multiple linear regression in time series, with Soren Johansen

Buffet Lunch / Adjourn