Applied Time Series Econometrics Workshop
April 15, 2011
The Federal Reserve Bank of St. Louis will host a workshop on Applied Time Series Econometrics on April 15, 2011. The workshop is intended for scholarly research papers on topics in all areas of applied macroeconometrics, including forecasting and finance.
For more information about the conference or help with hotel reservations, please contact Denise Cain at (314) 444-8567 or firstname.lastname@example.org.
Please note that attendance is by invitation only.
Friday, April 15, 2011:
"Choice of Sample Split in Out-of-Sample Forecast Evaluation"
Peter Reinhard Hansen, Stanford University
"State Prices for Conditional Quantiles of S&P 500 Returns"
Aaron Smith, University of California, Davis
"Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals"
Eric Ghysels, University of NC-Chapel Hill
"Nonlinear Forecasting with Many Predictors Using Kernel Ridge Regression"
Dick van Dijk, Erasmus University Rotterdam
"The Role of Inventories and Speculative Trading in the Global Market for Crude Oil"
Lutz Killian, University of Michigan
Sarah Zubiary, Bank of Canada
"What Does Realized Volatility Tell Us About Macroeconomic Fluctuations?"
Zeynep Senyuz, University of New Hampshire
"Using a time-varying threshold STAR model to tilt currency hedge ratios"
Michael Dueker, Russell Investments