Past Events

2023/2024 Edition

All videos are available on our YouTube channel.

11 April, Andrew Patton  (Duke). Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction. Guest Panellist: Nikolaus Hautsch (Vienna).

4 April,   Mihai Cucuringu (Oxford), Graph Clustering and Ranking for Multivariate Time Series with Applications to Statistical Arbitrage and Lead-Lag Detection. Guest Panellist: Alex Shestopaloff (Queen Mary).

28 March,   Siem Jan Koopman  (VU Amsterdam), The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models. Guest Panellist: Drew Creal (Notre Dame).

21 March,   Dick van Dijk  (Erasmus). CANCELLED

14 March,   Bent Nielsen  (Oxford), Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation. Guest Panellist: Jennifer Castle (Oxford).

7 March,   Regis Barnichon (San Francisco Fed), Evaluating Policy Makers : 100 Years of Monetary Policy. Guest Panellist: Dante Amengual (CEMFI). CANCELLED

22 February,   Barbara Rossi (UPF). Has the Phillips curve flattened? Guest Panellists: Domenico Giannone (IMF) and Jesus Gonzalo (Carlos III).

8 February,  Kostas Fokianos (Cyprus), Auto-Distance Covariance Function for Time Series Analysis. Guest Panellist(s): Adam Sykulski (Imperial).

1 February,  Almut Veraart (Imperial), Nonparametric Estimation of Trawl Processes: Theory and Applications. Guest Panellist: Orimar Sauri (Aalborg University).

7 December, Yoosoon Chang (Indiana), Unraveling Dynamic Interactions of Economic Activity and Climate Change. Guest Panellist: Mikkel Plagborg-Moller (Princeton).

30 November, Stephan Smeekes (Maastricht), Inference in Non-stationary High-Dimensional VARs. Guest Panellist: Giuseppe Cavaliere (Bologna & Exeter).

23 November, Karim Abadir (Imperial), Explicit Minimal Representation of Variance Matrices, and its Implication for Dynamic Volatility Models. Guest Panellist: Christian Conrad (Heidelberg).

16 November, Otilia Boldea (Tilburg), Bootstrapping GMM tests for an Unknown Threshold. Guest Panellist: Jean-Yves Pitarakis (Southampton).

9 November, Daniel Lewis (UCL), A Robust Test for Weak Instruments with Multiple Endogenous Regressors. Guest Panellist: Frank Windmeijer (Oxford).

2 November, Marie-Christine Düker (Friedrich-Alexander), Testing for Common Structures in High-Dimensional Factor Models. Guest Panellist: Younghoon Kim (Cornell).

26 October, Paul Ho (Richmond Fed), Averaging Impulse Responses Using Prediction Pools. Guest Panellist: Gianni Amisano (FED Board).

19 October, Christian Brownlees (UPF), Empirical Risk Minimization for Principal Component Regression. Guest Panellist: Jonas Striaukas (Copenhagen Business School).

12 October, Eric Eisenstat (Queensland), Singular Vector Autoregressions. Guest Panellist: Peter Zadrozny (Bureau of Labor Statistics).

5 October, Ed Herbst (Fed Board),  Bias in Local Projections. Guest Panellist: Giuseppe Ragusa (Sapienza).

21 September, Andrii Babii (UNC), Tensor Principal Component Analysis. Guest Panellists: Yao Zheng (Connecticut) and Mirco Rubin (EDHEC).

14 September, Alexander Aue (UC Davis), Random Matrix Theory for High-Dimensional Time Series. Guest Panellist: Alexei Onatski (Cambridge).

2022/2023 Edition

15 September, 2022, Peter R Hansen (UNC), A New Parametrization of Correlation Matrices: Finite Sample Properties and Applications. Guest Panellist: Otilia Boldea (Tilburg) and Ilya Archakov (Vienna). Video

22 September, 2022, Anna Mikusheva (MIT), Linear Regression with Weak Exogeneity. Guest Panellist: Mikkel Sølvsten (Aarhus). Video

29 September, 2022, Giuseppe Cavaliere (Bologna), Bootstrap Inference in the Presence of Bias. Guest Panellist: Valentina Corradi (Surrey).

6 October, 2022, Tatevik Sekhposyan (Texas A&M), Networking the Yield Curve Surprises: Implications for Monetary Policy. Guest Panellists: Julia Schaumburg (Vrije Universiteit Amsterdam) and Tatjana Dahlhaus (Bank of Canada). Video

13 October, 2022, Silvia Goncalves (McGill), When do state-dependent local projections work? Guest Panellists: Helmut Lütkepohl (DIW), Ana Maria Herrera (University of Kentucky), Lutz Kilian (Federal Reserve Bank of Dallas), and Elena Pesavento (Emory University). Video

20 October, 2022, Suhasini Subba Rao (Texas A&M), Graphical models for nonstationary time series. Guest Panellist: Sumanta Basu (Cornell) and Jonas Krampe (Mannheim). Video

27 October, 2022, Toru Kitagawa (Brown), Policy Choice in Time Series by Empirical Welfare Maximization. Guest Panellists: Weining Wang (York) and Mengshan Xu (Mannheim). Video

3 November, 2022, Anna Bykhovskaya (Duke), Asymptotics of Cointegration Tests for High-Dimensional VAR(k). Guest Panellist, Vadim Gorin (Wisconsin). Video

10 November, 2022, Christian Wolf (MIT), What Can Time-Series Regressions Tell Us About Policy Counterfactuals. Guest Panellist, Christian Matthes (Indiana). Video

17 November, 2022, Mikkel Plagborg-Moller (Princeton), Local Projections vs. VARs: Lessons From Thousands of DGPs. Guest Panellist, Raffaella Giacomini (UCL). Video

24 November, 2022, Anna Simoni (CREST – ENSAE), Bayesian Bi-level Sparse Group Regressions for Macroeconomic Forecasting. Guest Panellist, Matteo Mogliani (Banque de France).

1 December, 2022, Vladas Pipiras (UNC), Multivariate count (ordinal) time series modeling through latent Gaussian processes. Guest Panellist, Marie Duker. Video

19 January, 2023, David Matteson (Cornell), Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages. Guest Panellists: Yao Zheng (Connecticut) and Ines Wilms (Maastricht). Video

26 January, 2023, Helmut Lutkepohl (DIW Berlin), Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies. Guest Panellist: Silvia Goncalves (McGill). Video

2 February, 2023, Joshua Chan (Purdue), High-Dimensional Conditionally Gaussian State Space Models with Missing Data. Guest Panellist: James Mitchell (Cleveland FED). Video

9 February, 2023, Patricia Ning (TAMU), High-dimensional parameter learning over non-linear and non-Gaussian time series models. Guest Panellist: Edward Ionides (Michigan). Video

16 February, 2023, Carlos Velasco (UC3M), Directional predictability tests. Guest Panellists: Tatevik Sekhposyan (TAMU) and Tommaso Proietti (Rome Tor Vergata). Video

23 February, 2023, Peter Boswijk (Amsterdam), Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. Guest Panellist: Marine Carrasco (Montreal). Video

2 March, 2023, Sophocles Mavroeidis (Oxford), Cointegration with Occasionally Binding Constraints. Guest Panellist: Dennis Kristensen (UCL). Video

9 March, 2023, Jesus Gonzalo (UC3M), Warming Dominance. Guest Panellist: Eric Hillebrand (Aarhus). Video

16 March, 2023, Alexei Onatskiy (Cambridge), Trace Test for High-dimensional Cointegration. Guest Panellist: Anna Bykhovskaya (Duke). Video

23 March, 2023, Konrad Menzel (NYU), Central Limit Theory for Models of Strategic Network formation. Guest Panellist: Mingli Chen (Warwick) and Aureo de Paula (UCL). Video

30 March, 2023, Ben Wong (Monash), A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*. Guest Panellist: Saeed Zaman (Cleveland Fed). Video

2023 Workshop

Virtual Workshop for Junior Researchers in Time Series


Date and Time

20 April 2023 from 13:00 to 18:00 (London time).

Videos

To access recordings of the presentations, please click here.

Program

Listed times are relative to London time.

Session 1 Chair: Abderrahim Taamouti

13:00-13:20 Luca Neri (Bologna), Invalid Proxies and Volatility Changes

13:20-13:40 Yuning Li (York), Estimating Time-Varying Networks for High-Dimensional Time Series

13:40-14:00 Sascha Keweloh (Dortmund), Incorporating Prior Economic Knowledge into Structural Vector Autoregressions and the Interaction of the Oil and Stock Market

Session 2 Chair: Alessandra Luati

14:00-14:20 Francesco Fusari (Surrey), Monetary Policy Decisions and Higher Moments of Federal Reserve Forecasts

14:20-14:40 Pierluigi Vallarino (Aarhus), Time Varying Kernel Densities as Dynamic Infinite Mixture Models

14:40-15:00 Fabrizio Ghezzi (Pavia, UCSD), A New Class of Renyi-Type Monitoring Statistics

15:00-15:30 Break and informal chat with all participants

Session 3 Chair: Adriana Cornea-Madeira

15:30-15:50 Karsten Reichold (Dortmund), Smooth Transition Cointegrating Regressions: Modified Nonlinear Least Squares Estimation and Inference

15:50-16:10 Tilmann Hartl (Konstanz), Financial and Real Uncertainty Shocks: Insights from Synthetic Proxy Variables

16:10-16:30 Julia Koh (McGill), Bootstrap inference for group factor models

Session 4 Chair: Dimitris Korobilis

16:30-16:50 Elisabetta Mirto (Milano, Bologna), Partially Identified Heteroskedastic SVARs

16:50-17:10 Weifeng Jin (Barcelona), Estimation of Time Series Models Using the Empirical Distribution of Residuals

17:10-17:30 Miguel Angel Cabello Perez (Carlos III Madrid), Robust Estimation of non-Gaussian dimension in structural linear systems

17:30-18:00 Break and informal chat with all participants