Barcelona Workshop in Financial Econometrics

Barcelona, May 18-19, 2023

Organizers: Christian Brownlees (Universitat Pompeu Fabra) and André B.M. Souza (ESADE Business School)


Thursday, 18th

  • 09:00-09:05: Christian Brownlees and André B.M. Souza
  • 09:05-09:50: Sébastien Laurent (Aix-Marseille School of Economics)
    Autoregressive Conditional Betas
    with Francisco Blasques and Christian Francq
  • 09:50-10:35: Julia Schaumburg (Vrije Universiteit Amsterdam)
    Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
    with Paolo Gorgi and Siem Jan Koopman
  • 10:35-11:00: Coffee Break
  • 11:00-11:45: Marcelo Medeiros (The University of Illinois at Urbana-Champaign)
    Bridging Factor and Sparse Models
    with Jianqing Fan and Ricardo P. Masini
  • 11:45-12:30: Valentina Corradi (University of Surrey)
    Machine Learning in International Trade Research: Evaluating the impact of Trade Agreements
    with Holger Breinlich, Nadia Rocha, Michele Ruta, Joao Santos-Silva and Tom Zylkin
  • 12:30-13:15: Juan Carlos Escanciano (Universidad Carlos III de Madrid)
    Extending the Scope of Inference About Predictive Ability to Machine Learning Methods
  • 13:15-14:30: Lunch
  • 14:30-15:15: Michael Wolf (University of Zurich)
    Improved Inference in Financial Factor Models
    with Elliot Beck and Gianluca De Nard
  • 15:15-16:00: Dick van Dijk (Erasmus University Rotterdam)
    Robust Observation-Driven Models Using Proximal-Parameter Updates
    with Rutger-Jan Lange and Bram van Os
  • 16:00-16:30: Coffee Break
  • 16:30-17:15: Federico M. Bandi (Johns Hopkins University)
    Local Edgeworth Expansions
    with Roberto Renò
  • 17:15-18:00: Enrique Sentana (CEMFI)
    Information matrix tests for Gaussian mixtures and switching regression models
    with Dante Amengual and Gabriele Fiorentini

Friday, 19th

  • 09:30-10:15: Dimitris Korobilis (University of Glasgow)
    Monitoring Multicountry Macroeconomic Risk
    with Maximilian Schroeder
  • 10:15-11:00: Dante Amengual (CEMFI)
    GDP Solera: The Ideal Vintage Mix
    with Martin Almuzara, Gabriele Fiorentini and Enrique Sentana
  • 11:00-11:30: Coffee Break
  • 11:30-12:15: Peter Hansen (University of North Carolina, Chapel Hill)
    Robust Estimation of Realized Correlation
  • 12:15-13:00: Roberto Renò (ESSEC Business School)
    BUMVU Estimators
    with Aleksey Kolokolov and Patrick Zoi
  • 13:00-14:00: Lunch
  • 14:00-14:45: Melanie Schienle (Karlsruhe Institute of Technology)
    Consistent model determination of ultra-high dimensional non-stationary time series
  • 14:45-15:30: Christian Francq (CREST)
    Inference on GARCH-MIDAS models without any small-order moment
    with Baye Matar Kandji and Jean-Michel Zakoian
  • 15:30-16:00: Coffee Break
  • 16:00-16:45: Ilze Kalnina (North Carolina State University)
    Cross-Sectional Dependence in Idiosyncratic Volatility
    with Kokouvi Tewou
  • 16:45-17:30: Giuseppe Cavaliere (University of Bologna)
    The Econometrics of Financial Duration Modeling
    with Thomas Mikosch, Anders Rahbek and Frederik Vilandt

Venue and Logistics

Conference Venue

The conference will be held at ESADE Business School, Building 3.

Avinguda d'Esplugues 92, 08034 Barcelona

Conference Dinner

The conference dinner is at JOK at 20:00, on Thursday 18th.

Carrer de Mallorca 275, 08008 Barcelona

Shuttle Bus

Barcelona Center (Eixample)/Conference Venue

A Shuttle Bus will be provided to take participants to and from the conference venue. The bus will depart from Carrer de Balmes with Carrer Provenca, and the exact pickup/drop-off location and schedule will be provided soon.

Carrer de Balmes with Carrer Provenca