Virtual Workshop for Junior Researchers in Time Series

Date and Time

18 April 2024 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: Adriana Cornea-Madeira & Abderrahim Taamouti

13:00-13:20 Martin Fankhauser (Bocconi), Conformal Quantile Estimation in Economics

13:20-13:40 Raimondo Pala (Rome Tor Vergata), The causal interpretation of Panel Vector Autoregressions

13:40-14:00 Brendan Martin (Imperial), NIRVAR: Network Informed Restricted Vector Autoregression

Session 2 chair: Michele Piffer

14:00-14:20 Andrea Viselli (Milan), Integration of European electricity markets in a reverse mixed-frequency panel

14:20-14:40 Sinian Zheng (UCD) Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models

14:40-15:00 Andrey Ramos (UC3M), An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity

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

Session 3 chair: Alessandra Luati

15:30-15:50 Frederik Krabbe (Aarhus), Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models

15:50-16:10 Pierluigi Vallarino (Erasmus), New rank-based tests and estimators for Common Dynamic Factors

16:10 - 16:30 Kenwin Maung (Rutgers), Estimating high-dimensional Markov-switching VARs

Session 4 chair: Geert Mesters

16:30-16:50 Ekaterina Ugulava (Amsterdam), Horizon-based estimation of volatility models: Application to Hausman-type Specification Testing and Forecasting

16:50-17:10 Shifan Yu (Lancaster), Realized Candlestick Wicks

17:10 - 17:30 Yasin Simsek (Duke), Intraday Variation in Systematic Risks and Information Flows

17:30 closing remarks