Virtual Workshop for Junior Researchers in Time Series

Date and Time

10 April 2025 from 13:00 to 18:00 (London time).

Registration

The workshop will take place in the same Zoom meeting room as the seminar. If you have not previously registered for the seminar, you can register here.

Program

Listed times are relative to London time.

Session 1: Dynamic Factor Models

13:00-13:20 Gabriele Mingoli (VU), Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model

13:20-13:40 Philipp Gersing (Vienna), A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)

13:40-14:00 Younghoon Kim (Cornell), Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series

Session 2: Graphical Models

14:00-14:20 Enrico Wegner (Maastricht), Transmission Channel Analysis in Dynamic Models

14:20-14:40 Michael Wieck-Sosa (CMU), Conditional Independence Testing in the Presence of Temporal Correlation and Nonstationarity

14:40-15:00 Panagiotis Andreou (UNC), Homogeneity Fusion for Grouped Network VAR Models

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

Session 3: Financial Econometrics

15:30-15:50 Frederik Krabbe (Aarhus), Causal Non-causal State Space Models and the Modelling of Financial Bubbles

15:50-16:10 Raul Riva (Northwestern), How much unspanned volatility can different shocks explain?

16:10-16:30 Fabrizio Ghezzi (UCSD), Do Regimes Matter for the Long-Run?

Session 4: Macroeconometrics

16:30-16:50 Jonas Striaukas (Copenhagen), Nowcasting and aggregation: Why small Euro area countries matter

16:50-17:10 Amedeo Andriollo (Warwick), Causality versus Serial Correlation: an Asymmetric Portmanteau Test

17:10-17:30 Joe Marlow (Surrey), Joint Bayesian Inference for DSGE Models

17:30 closing remarks