Workshop on Dynamic Models driven by the Score of Predictive Likelihoods
VU University Amsterdam
Tinbergen Institute
University of Cambridge

Program

The program in pdf is here.

    Thursday 17 January

    14:10 Welcome Lucas / Koopman
  1. 14:15 Drew Creal (Booth Business School University of Chicago) Latent dynamic factor models for mixed measurements
  2. 15:00 Xin Zhang (Sveriges Riksbank, Central Bank of Sweden, Stockholm) Measuring credit risk in a large banking system: econometric modeling and empirics
    15:30 Tea/Coffee
  3. 16:00 Pawel Janus (UBS Zurich) A Dynamic Model for Daily Equity Covariances Based on Multiple Measures
  4. 16:30 Philipp Andres (Cambridge U) The Dynamic Location/Scale Model: with applications to intra-day financial data
  5. 17:00 Ryoko Ito (Cambridge U) Modeling dynamic diurnal patterns in high frequency financial data
    17:30 Closure Day 1

    18:30 Walk from Weesperzijde to Noordermarkt: http://www.amsterdamlightfestival.com
    19:15 Speakers dinner

    Friday 18 January

  6. 10:00 Francisco Blasques (VU) Consistency en asymptotic normality of maximum likelihood estimators of parameters in a class of observation-driven time series models
  7. 10:30 Erkki Silde (VU) Stationarity and ergodicity of new models for correlation dynamics
    11:00 Tea/Coffee
  8. 11:30 Bernd Schwaab (European Central Bank) Conditional probabilities for Euro area sovereign default risk
  9. 12:00 Kris Boudt (KU Leuven & VU) Regime Switches in the Volatility and Correlation of Financial Institutions

    12:30 Lunch

  10. 13:30 Jiangyu Ji (VU) A New Semiparametric Volatility Model
  11. 14:00 Marcin Zamojski (VU) TBA
  12. 14:30 Siem Jan Koopman (VU) Predicting time-varying parameters with parameter-driven and observation-driven models
    15:00 Tea/Coffee
  13. 15:30 Francesco Calvori (U Florence, Italy) Parameter instability tests for alternative modeling frameworks
  14. 16:00 Stephen Thiele (Cambridge U) Time-varying parameters
  15. 16:30 Andrew Harvey (Cambridge U) Filtering with heavy tails

    17:15 Closure by Andre Lucas (VU)
    17:30 Farewell Drinks

Workshop papers

  1. Drew Creal : "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics, 2013, forthcoming. (2008 working paper version : Discussion Paper Tinbergen Institute)

    "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations", Journal of Business and Economic Statistics, 2011, Volume 29, Pages 552 - 563.

    "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk", 2011, Discussion Paper Tinbergen Institute.

  2. Xin Zhang : "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", 2011, Discussion Paper Tinbergen Institute.

    Xin Zhang : "Measuring credit risk in a large banking system: econometric modeling and empirics", 2012, Working Paper.

  3. Pawel Janus : "Long Memory Dynamics for Multivariate Dependence under Heavy Tails", 2011, Discussion Paper Tinbergen Institute.

    "A Dynamic Model for Daily Equity Covariances Based on Multiple Measures", 2013.

  4. Philipp Andres : "The Dynamic Location/Scale Model: with applications to intra-day financial data", 2012, Cambridge EconPapers.

  5. Ryoko Ito : "Modeling dynamic diurnal patterns in high frequency financial data", 2012, Cambridge EconPapers.

  6. Francisco Blasques : "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes", 2012, Discussion Paper Tinbergen Institute.

    "Consistency en asymptotic normality of maximum likelihood estimators of parameters in a class of observation-driven time series models", 2013.

  7. Erkki Silde : "Stationarity and ergodicity of new models for correlation dynamics", 2013.

  8. Bernd Schwaab : "Conditional Probabilities for Euro Area Sovereign Default Risk", 2012, ECB Working Paper.

  9. Kris Boudt : "Regime Switches in the Volatility and Correlation of Financial Institutions", 2012, link to Repec.

  10. Jiangyu Ji : "A New Semiparametric Volatility Model", 2012, Discussion Paper Tinbergen Institute.

  11. Marcin Zamojski : "TBA", 2013.

  12. Siem Jan Koopman : "Predicting time-varying parameters with parameter-driven and observation-driven models", 2012, Discussion Paper Tinbergen Institute.

  13. Francesco Calvori : "Parameter instability tests for alternative modeling frameworks", 2013, VU working paper.

  14. Stephen Thiele : "Time Varying Regression and Changing Correlation", 2013.

  15. Andrew Harvey : "Beta-t-(E)GARCH", 2008, link to Repec.

    "Filtering with heavy tails", 2012, Cambridge EconPapers.

Presentation slides

  1. Drew Creal : Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

  2. Xin Zhang : Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

  3. Pawel Janus : A Dynamic Model for Daily Equity Covariances Based on Multiple Measures

  4. Philipp Andres :

  5. Ryoko Ito : Modeling dynamic diurnal patterns in high frequency financial data

  6. Francisco Blasques :

  7. Erkki Silde : Stationarity and ergodicity of new models for correlation dynamics

  8. Bernd Schwaab : Conditional Probabilities for Euro Area Sovereign Default Risk

  9. Kris Boudt :

  10. Jiangyu Ji : A New Semiparametric Volatility Model

  11. Marcin Zamojski :

  12. Siem Jan Koopman :

  13. Francesco Calvori : Testing for Parameter Instability in Competing Modeling Frameworks

  14. Stephen Thiele : Time Varying Regression and Changing Correlation

  15. Andrew Harvey : Filtering with heavy tails