21st Dynamic Econometrics Conference
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Presentation
Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic TermsTakamitsu Kurita* and Bent Nielsen
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Presentation
Monitoring Structural Breaks: A Bayesian Sequential Quickest Detection MethodHaixi Li and Xuguang (Simon) S. Sheng*
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Presentation
Detecting Crises, Jumps, and Changes in Regime with Saturation TechniquesNeil R. Ericsson
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Presentation
Forecasting FOMC ForecastsS. Yanki Kalfa and Jaime Marquez*
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Presentation
What's the Story? A New Perspective on the Value of Economic ForecastsSteve Sharpe, Nitish Sinha*, and Christopher A. Hollrah
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Presentation
Re-evaluating the Conduct of US Monetary Policy within the Context of Cointegration and Structural ChangePeter Sullivan*
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Poster
Do Sentiment and Exchange Rate Share Memories? An Application of Multifractional Process ModelingYanyan Yang
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Poster
Measuring Network Systemic Risk Contributions: A Leave-one-out ApproachYannick Lucotte
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Poster
Price Transmission in Phosphate Supply Chain. An Application of NARDL ModelBtissam El Bahraoui
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Poster
Gasoline Demand in Saudi Arabia: Are the Price and Income Elasticities Constant?Jeyhun Mikayilov
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Poster
Cointegration and Causality Between Export, Import, and the Exchange Rate: Evidence from NepalMitra Devkota
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Poster
A High Frequency Analysis of the Information Content of Trading VolumeGbenga Ibikunle
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Poster
Evaluating Strange ForecastsJames Reade
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Poster
The Dutch Disease and Monetary PolicyMichael Browne
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Ana Timberlake Memorial Lecture
Econometrics for Empirical Climate ModelingSir David F. Hendry*
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Presentation
Emissions and Growth: Trends and Cycles in a Globalized WorldGail Cohen, Joao Jalles, Prakash Loungani*, and Ricardo Marto
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Presentation
Investigating the Environmental Kuznets Curve for the US through the I(2) Cointegration ModelBjørnar Karlsen Kivedal*
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Presentation
From Fixed-event to Fixed-horizon Density Forecasts: Professional Forecasters’ View on Multi-horizon UncertaintyGergely Ganics, Barbara Rossi, and Tatevik Sekhposyan*
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Presentation
Some Forecasting Principles from the M4 CompetitionJennifer L. Castle, Jurgen A. Doornik*, and David F. Hendry
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Presentation
Modelling and Forecasting the Dollar-Pound Exchange Rate in the Presence of Structural BreaksJennifer L. Castle* and Takamitsu Kurita
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Presentation
Money Demand in the Arab Republic of Egypt: A Vector Equilibrium Correction ModelAhmed Rostom*
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Presentation
A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction CostsMarc S. Paolella, Pawel Polak*, and Patrick S. Walker
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Presentation
Modelling Volatility Interactions in Multivariate GARCH Models with Multiplicative DecompositionSusana Martins*
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Presentation
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and FinanceDobrislav Dobrev*, Derek Hansen, and Pawel J. Szerszen
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Presentation
Estimation of Large Precision Matrices using Autometrics, Lasso and Shrinkage methods, with an Application to Global Minimum-variance PortfolioSebastien Laurent* and Rosnel Sessinou
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Poster
Is Unemployment on Steroids in Advanced Economies?Francesco Grigoli
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Poster
Spatial Dynamic Models with Intertemporal Optimization: Specification and EstimationHanbat Jeong
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Poster
A Comparative Forecast Evaluation of the Trajectories of Post-Chornobyl Nuclear Accident Psycho-social SequelaeRobert A Yaffee
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Poster
Is Bank Lending Channel of Monetary Policy Transmission Evident in the Philippines? A Dynamic Panel Data ApproachJean Christine Armas
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Poster
The Effect of Macroeconomic Announcements on Credit Markets: An Autometric General-to-Specific Analysis of the Greenspan EraJim Forest
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Poster
Debt Intolerance: Threshold of Level and CompositionHideaki Matsuoka
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Poster
Is the US Phillips Curve Stable? Evidence from Bayesian VARsPär Österholm
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Poster
Impact of Macroeconomic Variables on Unemployment in East African CountriesSuleiman Ally Kayita
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Speed Presentation
Central Bank Bilateral Currency Swap and Trade Flows: An Implication for Renminbi InternationalizationAbdullahi Ahmed Mohammed
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Speed Presentation
Using Nighttime Lights to Measure Economic Growth: Bringing Venezuela to the SpotlightAdvitha Arun
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Speed Presentation
Economic Growth in Ethiopia and its Determinants: Lessons from South and East Asian Countries”Amare Berhanu
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Speed Presentation
Evaluating the Forecasting Accuracy of the Closed- and Open Economy Medium-sized DSGE ModelsPhuong Van Nguyen
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Speed Presentation
Network Interpretation for a Time-Varying Multi-Country Unobservable Components ModelMartin Rossi
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Speed Presentation
`Whatever It Takes' To Change Belief: Evidence from TwitterRemi Vives
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Speed Presentation
Government Spending and Heterogeneous Consumption DynamicsSebastian Laumer
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Presentation
Forecasting Conditional Covariance Matrices in High-dimensional Data using the General Dynamic Factor ModelCarlos Trucios, Joao H.G. Mazzeu, Mauricio Zevallos, Luiz K. Hotta, Pedro L. Valls Pereira*, and Marc Hallin
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Presentation
Foreign Exchange Rates and Macroeconomic Factors: Evidence from Time-varying LoadingsEric Hillebrand, Jakob Guldbaek Mikkelsen, and Giovanni Urga*
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Presentation
Round Table with OxMetrics DevelopersJurgen A. Doornik, David F. Hendry, Sébastien Laurent
