Predictive Methodology and Application in Economics and Finance

Preliminary Schedule

Tuesday, January 6, 2004

8 - 8:45am Clive W.J. Granger Opening Remarks

9 – 10:30am – Finance I (chair: Tim Bollerslev)

1 Eric Ghysels & Elena Andreou Monitoring and Forecasting Disruptions in Financial Markets

2 Hashem Pesaran & Paolo Zaffaroni Application of Bayesian Model Averaging to Volatility Forecasting and Risk Management

3 Xiaohong Chen and Yanqin Fan Estimation of A New Class of Semiparametric Copula-based Multivariate Dynamic Models

11 – 1:00pm – Time Series Methodology (chair: Graham Elliott)

1 Jean-Marie Dufour and Tarek Jouini Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection

and Causality Tests

2 Bruce Hansen Interval Forecasts and Parameter Uncertainty

3 David Hendry Unpredictability and the Foundations of Forecasting

4 Cheng Hsiao & Siyan Wang Modified Two Stage Least Squares Estimator for Nonstationary Structural Vector

Autoregressive Models

1 – 2:30pm – lunch

2:30 – 4:00pm – Predictive Evaluation (chair: Mike McCracken)

1 Valentina Corradi and Norm Swanson Predictive Density Evaluation In the Presence of Generic Misspecification

2 Yongmiao Hong Generalized Cross-Spectral Tests for Out-of-Sample Granger Causality in Mean

3 Halbert White Estimating the Effects of Natural Experiments Using Prediction Models

4:30 – 6:30pm – Finance II (chair: Clive W. J. Granger)

1 Torben Anderson, Tim Bollerslev, Frank Diebold & Ginger Wu Realized Beta: Persistence and Predictability

2 Marco Aiolfi and Allan Timmerman Persistence in Forecasting Performance

3 Michael Davis & James Hamilton Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices

4 Clive W.J. Granger and Mark Machina Structurally Induced Volatility Clusters

Wednesday, January 7, 2004

8 - 10:00am – Empirical Investigations and Forecast Model Assessment (chair: Alvaro Escribano)

1 Tae-Hwy Lee and Yang Yang Bagging Predictor for Time Series Using Generalized Loss Function

2 Timo Terasvirta & Dick van Dijk Smooth Transition Autoregressions, Neural Networks, and Linear Models in Forecasting

Macroeconomic Series: A Re-examination

3 Massimillano Marcelino, Jim Stock & Mark Watson A Comparison of Direct and Iterated AR Methods for Forecasting

Macroeconomic Series h-Steps Ahead

4 Todd E. Clark and Ken West Alternative Approximations for Inference About Predictive Ability

10:30-1:00pm – Econometric Modelling (chair: Norman R. Swanson)

1 Ted Anderson Reduced Rank Regression for Blocks of Simultaneous Equations

2 Jesus Gonzalo and Oscar Martinez TIMA models: Does Size Matter?

3 Niels Haldrup and Morten Orregaard A Markov Switching Model with Long Memory

4 Richard Carson Air Travel Passenger Demand Forecasting

5 Gawon Yoon A Modern Time Series Assessment of `A Statistical Model for Sunspot Activity' by CWJ Granger (1957)